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Washington, D.C. 20549
(Mark One) | ||
þ | QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 | |
FOR THE QUARTERLY PERIOD ENDED SEPTEMBER 30, 2011 | ||
OR | ||
o | TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 | |
FOR THE TRANSITION PERIOD FROM TO |
Delaware (State or other jurisdiction of incorporation or organization) | 13-4075851 (I.R.S. Employer Identification No.) | |
200 Park Avenue, New York, N.Y. (Address of principal executive offices) | 10166-0188 (Zip Code) |
Large accelerated filerþ | Accelerated filero | |
Non-accelerated filero (Do not check if a smaller reporting company) | Smaller reporting companyo |
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E-1 | ||||||||
EX-10.2 | ||||||||
EX-10.3 | ||||||||
EX-10.4 | ||||||||
EX-31.1 | ||||||||
EX-31.2 | ||||||||
EX-32.1 | ||||||||
EX-32.2 | ||||||||
EX-101 INSTANCE DOCUMENT | ||||||||
EX-101 SCHEMA DOCUMENT | ||||||||
EX-101 CALCULATION LINKBASE DOCUMENT | ||||||||
EX-101 LABELS LINKBASE DOCUMENT | ||||||||
EX-101 PRESENTATION LINKBASE DOCUMENT | ||||||||
EX-101 DEFINITION LINKBASE DOCUMENT |
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• | should not in all instances be treated as categorical statements of fact, but rather as a way of allocating the risk to one of the parties if those statements prove to be inaccurate; | |
• | have been qualified by disclosures that were made to the other party in connection with the negotiation of the applicable agreement, which disclosures are not necessarily reflected in the agreement; | |
• | may apply standards of materiality in a way that is different from what may be viewed as material to investors; and | |
• | were made only as of the date of the applicable agreement or such other date or dates as may be specified in the agreement and are subject to more recent developments. |
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Item 1. | Financial Statements |
Interim Condensed Consolidated Balance Sheets
September 30, 2011 (Unaudited) and December 31, 2010
(In millions, except share and per share data)
September 30, 2011 | December 31, 2010 | |||||||
Assets | ||||||||
Investments: | ||||||||
Fixed maturity securitiesavailable-for-sale, at estimated fair value (amortized cost: $334,009 and $317,617, respectively; includes $3,265 and $3,330, respectively, relating to variable interest entities) | $ | 353,927 | $ | 324,797 | ||||
Equity securitiesavailable-for-sale, at estimated fair value (cost: $3,227 and $3,621, respectively) | 3,118 | 3,602 | ||||||
Trading and other securities, at estimated fair value (includes $415 and $463, respectively, of actively traded securities; and $321 and $387, respectively, relating to variable interest entities) | 18,698 | 18,589 | ||||||
Mortgage loans: | ||||||||
Held-for-investment, principally at amortized cost (net of valuation allowances of $529 and $664, respectively; includes $3,277 and $6,840, respectively, at estimated fair value, relating to variable interest entities) | 59,209 | 58,976 | ||||||
Held-for-sale, principally at estimated fair value | 3,740 | 3,321 | ||||||
Mortgage loans, net | 62,949 | 62,297 | ||||||
Policy loans | 11,932 | 11,761 | ||||||
Real estate and real estate joint ventures (includes $12 and $10, respectively, relating to variable interest entities) | 8,197 | 8,030 | ||||||
Other limited partnership interests (includes $319 and $298, respectively, relating to variable interest entities) | 6,538 | 6,416 | ||||||
Short-term investments, principally at estimated fair value | 15,913 | 9,384 | ||||||
Other invested assets, principally at estimated fair value (includes $98 and $104, respectively, relating to variable interest entities) | 23,138 | 15,430 | ||||||
Total investments | 504,410 | 460,306 | ||||||
Cash and cash equivalents, principally at estimated fair value (includes $37 and $69, respectively, relating to variable interest entities) | 10,001 | 12,957 | ||||||
Accrued investment income (includes $17 and $34, respectively, relating to variable interest entities) | 4,793 | 4,328 | ||||||
Premiums, reinsurance and other receivables (includes $2 and $2, respectively, relating to variable interest entities) | 23,137 | 19,799 | ||||||
Deferred policy acquisition costs and value of business acquired | 27,623 | 27,092 | ||||||
Goodwill | 12,006 | 11,781 | ||||||
Other assets (includes $5 and $6, respectively, relating to variable interest entities) | 8,340 | 8,174 | ||||||
Assets of subsidiariesheld-for-sale | 3,421 | 3,331 | ||||||
Separate account assets | 191,499 | 183,138 | ||||||
Total assets | $ | 785,230 | $ | 730,906 | ||||
Liabilities and Equity | ||||||||
Liabilities | ||||||||
Future policy benefits | $ | 182,736 | $ | 170,912 | ||||
Policyholder account balances | 217,764 | 210,757 | ||||||
Other policy-related balances | 15,451 | 15,750 | ||||||
Policyholder dividends payable | 871 | 830 | ||||||
Policyholder dividend obligation | 2,782 | 876 | ||||||
Payables for collateral under securities loaned and other transactions | 34,933 | 27,272 | ||||||
Bank deposits | 10,685 | 10,316 | ||||||
Short-term debt | 451 | 306 | ||||||
Long-term debt (includes $3,158 and $6,902, respectively, at estimated fair value, relating to variable interest entities) | 24,753 | 27,586 | ||||||
Collateral financing arrangements | 5,297 | 5,297 | ||||||
Junior subordinated debt securities | 3,192 | 3,191 | ||||||
Current income tax payable | 385 | 297 | ||||||
Deferred income tax liability | 7,214 | 1,856 | ||||||
Other liabilities (includes $73 and $93, respectively, relating to variable interest entities) | 23,121 | 20,366 | ||||||
Liabilities of subsidiariesheld-for-sale | 3,221 | 3,043 | ||||||
Separate account liabilities | 191,499 | 183,138 | ||||||
Total liabilities | 724,355 | 681,793 | ||||||
Contingencies, Commitments and Guarantees (Note 9) | ||||||||
Redeemable noncontrolling interests in partially owned consolidated subsidiaries | 130 | 117 | ||||||
Equity | ||||||||
MetLife, Inc.’s stockholders’ equity: | ||||||||
Preferred stock, par value $0.01 per share; 200,000,000 shares authorized: | ||||||||
Preferred stock, 84,000,000 shares issued and outstanding; $2,100 aggregate liquidation preference | 1 | 1 | ||||||
Convertible preferred stock, 0 and 6,857,000 shares issued and outstanding at September 30, 2011 and December 31, 2010, respectively | — | — | ||||||
Common stock, par value $0.01 per share; 3,000,000,000 shares authorized; 1,060,754,366 and 989,031,704 shares issued at September 30, 2011 and December 31, 2010, respectively; 1,057,560,479 and 985,837,817 shares outstanding at September 30, 2011 and December 31, 2010, respectively | 11 | 10 | ||||||
Additional paid-in capital | 26,744 | 26,423 | ||||||
Retained earnings | 26,951 | 21,363 | ||||||
Treasury stock, at cost; 3,193,887 shares at September 30, 2011 and December 31, 2010 | (172 | ) | (172 | ) | ||||
Accumulated other comprehensive income (loss) | 6,813 | 1,000 | ||||||
Total MetLife, Inc.’s stockholders’ equity | 60,348 | 48,625 | ||||||
Noncontrolling interests | 397 | 371 | ||||||
Total equity | 60,745 | 48,996 | ||||||
Total liabilities and equity | $ | 785,230 | $ | 730,906 | ||||
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Interim Condensed Consolidated Statements of Operations
For the Three Months and Nine Months Ended September 30, 2011 and 2010 (Unaudited)
(In millions, except per share data)
Three Months | Nine Months | |||||||||||||||
Ended | Ended | |||||||||||||||
September 30, | September 30, | |||||||||||||||
2011 | 2010 | 2011 | 2010 | |||||||||||||
Revenues | ||||||||||||||||
Premiums | $ | 9,342 | $ | 6,484 | $ | 27,190 | $ | 19,856 | ||||||||
Universal life and investment-type product policy fees | 1,998 | 1,452 | 5,856 | 4,339 | ||||||||||||
Net investment income | 4,257 | 4,364 | 14,669 | 12,745 | ||||||||||||
Other revenues | 720 | 624 | 1,878 | 1,681 | ||||||||||||
Net investment gains (losses): | ||||||||||||||||
Other-than-temporary impairments on fixed maturity securities | (95 | ) | (143 | ) | (525 | ) | (538 | ) | ||||||||
Other-than-temporary impairments on fixed maturity securities transferred to other comprehensive income (loss) | (189 | ) | 24 | (5 | ) | 181 | ||||||||||
Other net investment gains (losses) | 229 | (223 | ) | 221 | 33 | |||||||||||
Total net investment gains (losses) | (55 | ) | (342 | ) | (309 | ) | (324 | ) | ||||||||
Net derivative gains (losses) | 4,196 | (244 | ) | 4,233 | 1,278 | |||||||||||
Total revenues | 20,458 | 12,338 | 53,517 | 39,575 | ||||||||||||
Expenses | ||||||||||||||||
Policyholder benefits and claims | 9,017 | 7,309 | 26,367 | 21,703 | ||||||||||||
Interest credited to policyholder account balances | 738 | 1,264 | 4,104 | 3,454 | ||||||||||||
Policyholder dividends | 384 | 391 | 1,130 | 1,156 | ||||||||||||
Other expenses | 5,013 | 2,989 | 13,410 | 9,330 | ||||||||||||
Total expenses | 15,152 | 11,953 | 45,011 | 35,643 | ||||||||||||
Income (loss) from continuing operations before provision for income tax | 5,306 | 385 | 8,506 | 3,932 | ||||||||||||
Provision for income tax expense (benefit) | 1,734 | 68 | 2,681 | 1,251 | ||||||||||||
Income (loss) from continuing operations, net of income tax | 3,572 | 317 | 5,825 | 2,681 | ||||||||||||
Income (loss) from discontinued operations, net of income tax | 4 | 3 | (6 | ) | 20 | |||||||||||
Net income (loss) | 3,576 | 320 | 5,819 | 2,701 | ||||||||||||
Less: Net income (loss) attributable to noncontrolling interests | (6 | ) | 4 | (6 | ) | (7 | ) | |||||||||
Net income (loss) attributable to MetLife, Inc. | 3,582 | 316 | 5,825 | 2,708 | ||||||||||||
Less: Preferred stock dividends | 30 | 30 | 91 | 91 | ||||||||||||
Preferred stock redemption premium | — | — | 146 | — | ||||||||||||
Net income (loss) available to MetLife, Inc.’s common shareholders | $ | 3,552 | $ | 286 | $ | 5,588 | $ | 2,617 | ||||||||
Income (loss) from continuing operations, net of income tax, available to MetLife, Inc.’s common shareholders per common share: | ||||||||||||||||
Basic | $ | 3.35 | $ | 0.33 | $ | 5.29 | $ | 3.09 | ||||||||
Diluted | $ | 3.33 | $ | 0.32 | $ | 5.24 | $ | 3.07 | ||||||||
Net income (loss) available to MetLife, Inc.’s common shareholders per common share: | ||||||||||||||||
Basic | $ | 3.35 | $ | 0.33 | $ | 5.28 | $ | 3.11 | ||||||||
Diluted | $ | 3.33 | $ | 0.32 | $ | 5.23 | $ | 3.09 | ||||||||
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Accumulated Other Comprehensive Income (Loss) | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Net | Foreign | Defined | Total | |||||||||||||||||||||||||||||||||||||||||||||||||
Convertible | Additional | Treasury | Unrealized | Other-Than- | Currency | Benefit | MetLife, Inc.’s | |||||||||||||||||||||||||||||||||||||||||||||
Preferred | Preferred | Common | Paid-in | Retained | Stock | Investment | Temporary | Translation | Plans | Stockholders’ | Noncontrolling | Total | ||||||||||||||||||||||||||||||||||||||||
Stock | Stock | Stock | Capital | Earnings | at Cost | Gains (Losses) | Impairments | Adjustments | Adjustment | Equity | Interests (1) | Equity | ||||||||||||||||||||||||||||||||||||||||
Balance at December 31, 2010 | $ | 1 | $ | — | $ | 10 | $ | 26,423 | $ | 21,363 | $ | (172 | ) | $ | 3,356 | $ | (366 | ) | $ | (541 | ) | $ | (1,449 | ) | $ | 48,625 | $ | 371 | $ | 48,996 | ||||||||||||||||||||||
Redemption of convertible preferred stock | — | (2,805 | ) | (2,805 | ) | (2,805 | ) | |||||||||||||||||||||||||||||||||||||||||||||
Preferred stock redemption premium | (146 | ) | (146 | ) | (146 | ) | ||||||||||||||||||||||||||||||||||||||||||||||
Common stock issuance — newly issued shares | 1 | 2,949 | 2,950 | 2,950 | ||||||||||||||||||||||||||||||||||||||||||||||||
Stock-based compensation | 177 | 177 | 177 | |||||||||||||||||||||||||||||||||||||||||||||||||
Dividends on preferred stock | (91 | ) | (91 | ) | (91 | ) | ||||||||||||||||||||||||||||||||||||||||||||||
Change in equity of noncontrolling interests | 48 | 48 | ||||||||||||||||||||||||||||||||||||||||||||||||||
Comprehensive income (loss): | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Net income (loss) | 5,825 | 5,825 | 1 | 5,826 | ||||||||||||||||||||||||||||||||||||||||||||||||
Other comprehensive income (loss): | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Unrealized gains (losses) on derivative instruments, net of income tax | 1,005 | 1,005 | 1,005 | |||||||||||||||||||||||||||||||||||||||||||||||||
Unrealized investment gains (losses), net of related offsets and income tax | 4,503 | (51 | ) | 4,452 | (5 | ) | 4,447 | |||||||||||||||||||||||||||||||||||||||||||||
Foreign currency translation adjustments, net of income tax | 291 | 291 | (18 | ) | 273 | |||||||||||||||||||||||||||||||||||||||||||||||
Defined benefit plans adjustment, net of income tax | 65 | 65 | 65 | |||||||||||||||||||||||||||||||||||||||||||||||||
Other comprehensive income (loss) | 5,813 | (23 | ) | 5,790 | ||||||||||||||||||||||||||||||||||||||||||||||||
Comprehensive income (loss) | 11,638 | (22 | ) | 11,616 | ||||||||||||||||||||||||||||||||||||||||||||||||
Balance at September 30, 2011 | $ | 1 | $ | — | $ | 11 | $ | 26,744 | $ | 26,951 | $ | (172 | ) | $ | 8,864 | $ | (417 | ) | $ | (250 | ) | $ | (1,384 | ) | $ | 60,348 | $ | 397 | $ | 60,745 | ||||||||||||||||||||||
(1) | Net income (loss) attributable to noncontrolling interests excludes gains (losses) of redeemable noncontrolling interests in partially owned consolidated subsidiaries of ($7) million. |
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Interim Condensed Consolidated Statements of Equity — (Continued)
For the Nine Months Ended September 30, 2010 (Unaudited)
Accumulated Other Comprehensive Income (Loss) | ||||||||||||||||||||||||||||||||||||||||||||||||
Net | Foreign | Defined | Total | |||||||||||||||||||||||||||||||||||||||||||||
Additional | Treasury | Unrealized | Other-Than- | Currency | Benefit | MetLife, Inc.’s | ||||||||||||||||||||||||||||||||||||||||||
Preferred | Common | Paid-in | Retained | Stock | Investment | Temporary | Translation | Plans | Stockholders’ | Noncontrolling | Total | |||||||||||||||||||||||||||||||||||||
Stock | Stock | Capital | Earnings | at Cost | Gains (Losses) | Impairments | Adjustments | Adjustment | Equity | Interests | Equity | |||||||||||||||||||||||||||||||||||||
Balance at December 31, 2009 | $ | 1 | $ | 8 | $ | 16,859 | $ | 19,501 | $ | (190 | ) | $ | (817 | ) | $ | (513 | ) | $ | (183 | ) | $ | (1,545 | ) | $ | 33,121 | $ | 377 | $ | 33,498 | |||||||||||||||||||
Cumulative effect of change in accounting principle, net of income tax | (12 | ) | 31 | 11 | 30 | 30 | ||||||||||||||||||||||||||||||||||||||||||
Balance at January 1, 2010 | 1 | 8 | 16,859 | 19,489 | (190 | ) | (786 | ) | (502 | ) | (183 | ) | (1,545 | ) | 33,151 | 377 | 33,528 | |||||||||||||||||||||||||||||||
Cumulative effect of change in accounting principle, net of income tax | (10 | ) | 10 | — | — | |||||||||||||||||||||||||||||||||||||||||||
Common stock issuance — newly issued shares | 1 | 3,528 | 3,529 | 3,529 | ||||||||||||||||||||||||||||||||||||||||||||
Stock-based compensation | 64 | 18 | 82 | 82 | ||||||||||||||||||||||||||||||||||||||||||||
Dividends on preferred stock | (91 | ) | (91 | ) | (91 | ) | ||||||||||||||||||||||||||||||||||||||||||
Change in equity of noncontrolling interests | (22 | ) | (22 | ) | ||||||||||||||||||||||||||||||||||||||||||||
Comprehensive income (loss): | ||||||||||||||||||||||||||||||||||||||||||||||||
Net income (loss) | 2,708 | 2,708 | (7 | ) | 2,701 | |||||||||||||||||||||||||||||||||||||||||||
Other comprehensive income (loss): | ||||||||||||||||||||||||||||||||||||||||||||||||
Unrealized gains (losses) on derivative instruments, net of income tax | 409 | 409 | 409 | |||||||||||||||||||||||||||||||||||||||||||||
Unrealized investment gains (losses), net of related offsets and income tax | 6,268 | 357 | 6,625 | (1 | ) | 6,624 | ||||||||||||||||||||||||||||||||||||||||||
Foreign currency translation adjustments, net of income tax | (92 | ) | (92 | ) | 7 | (85 | ) | |||||||||||||||||||||||||||||||||||||||||
Defined benefit plans adjustment, net of income tax | 94 | 94 | 94 | |||||||||||||||||||||||||||||||||||||||||||||
Other comprehensive income (loss) | 7,036 | 6 | 7,042 | |||||||||||||||||||||||||||||||||||||||||||||
Comprehensive income (loss) | 9,744 | (1 | ) | 9,743 | ||||||||||||||||||||||||||||||||||||||||||||
Balance at September 30, 2010 | $ | 1 | $ | 9 | $ | 20,451 | $ | 22,096 | $ | (172 | ) | $ | 5,901 | $ | (145 | ) | $ | (275 | ) | $ | (1,451 | ) | $ | 46,415 | $ | 354 | $ | 46,769 | ||||||||||||||||||||
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Interim Condensed Consolidated Statements of Cash Flows
For the Nine Months Ended September 30, 2011 and 2010 (Unaudited)
(In millions)
Nine Months | ||||||||
Ended | ||||||||
September 30, | ||||||||
2011 | 2010 | |||||||
Net cash provided by operating activities | $ | 9,040 | $ | 5,193 | ||||
Cash flows from investing activities | ||||||||
Sales, maturities and repayments of: | ||||||||
Fixed maturity securities | 81,918 | 55,618 | ||||||
Equity securities | 1,342 | 1,002 | ||||||
Mortgage loans | 8,784 | 4,474 | ||||||
Real estate and real estate joint ventures | 856 | 135 | ||||||
Other limited partnership interests | 852 | 311 | ||||||
Purchases of: | ||||||||
Fixed maturity securities | (95,660 | ) | (69,997 | ) | ||||
Equity securities | (869 | ) | (638 | ) | ||||
Mortgage loans | (12,248 | ) | (5,888 | ) | ||||
Real estate and real estate joint ventures | (608 | ) | (474 | ) | ||||
Other limited partnership interests | (849 | ) | (745 | ) | ||||
Cash received in connection with freestanding derivatives | 2,841 | 1,717 | ||||||
Cash paid in connection with freestanding derivatives | (3,102 | ) | (1,949 | ) | ||||
Sale of interest in joint venture | 265 | — | ||||||
Net change in policy loans | (84 | ) | (169 | ) | ||||
Net change in short-term investments | (6,508 | ) | (3,152 | ) | ||||
Net change in other invested assets | (175 | ) | 501 | |||||
Other, net | (104 | ) | (115 | ) | ||||
Net cash used in investing activities | (23,349 | ) | (19,369 | ) | ||||
Cash flows from financing activities | ||||||||
Policyholder account balances: | ||||||||
Deposits | 69,911 | 53,709 | ||||||
Withdrawals | (67,001 | ) | (50,126 | ) | ||||
Net change in payables for collateral under securities loaned and other transactions | 7,661 | 7,695 | ||||||
Net change in bank deposits | 296 | (959 | ) | |||||
Net change in short-term debt | 145 | 1,145 | ||||||
Long-term debt issued | 1,346 | 4,590 | ||||||
Long-term debt repaid | (1,192 | ) | (689 | ) | ||||
Cash received in connection with collateral financing arrangements | 100 | — | ||||||
Debt issuance costs | (1 | ) | (14 | ) | ||||
Common stock issued, net of issuance costs | 2,950 | 3,529 | ||||||
Stock options exercised | 77 | 32 | ||||||
Redemption of convertible preferred stock | (2,805 | ) | — | |||||
Preferred stock redemption premium | (146 | ) | — | |||||
Dividends on preferred stock | (91 | ) | (91 | ) | ||||
Other, net | (68 | ) | (192 | ) | ||||
Net cash provided by financing activities | 11,182 | 18,629 | ||||||
Effect of change in foreign currency exchange rates on cash and cash equivalents balances | 133 | (8 | ) | |||||
Change in cash and cash equivalents | (2,994 | ) | 4,445 | |||||
Cash and cash equivalents, beginning of period | 13,046 | 10,112 | ||||||
Cash and cash equivalents, end of period | $ | 10,052 | $ | 14,557 | ||||
Cash and cash equivalents, subsidiariesheld-for-sale, beginning of period | $ | 89 | $ | 88 | ||||
Cash and cash equivalents, subsidiariesheld-for-sale, end of period | $ | 51 | $ | 78 | ||||
Cash and cash equivalents, from continuing operations, beginning of period | $ | 12,957 | $ | 10,024 | ||||
Cash and cash equivalents, from continuing operations, end of period | $ | 10,001 | $ | 14,479 | ||||
Supplemental disclosures of cash flow information: | ||||||||
Net cash paid during the period for: | ||||||||
Interest | $ | 1,184 | $ | 997 | ||||
Income tax | $ | 668 | $ | 109 | ||||
Non-cash transactions during the period: | ||||||||
Real estate and real estate joint ventures acquired in satisfaction of debt | $ | 106 | $ | 92 | ||||
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1. | Business, Basis of Presentation and Summary of Significant Accounting Policies |
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2. | Acquisitions and Dispositions |
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• | Fixed Annuities - This block of business provides a fixed rate of return to the policyholders. A decrease in market interest rates since the time of issuance was the primary driver that resulted in the fair value of the liabilities associated with this block being significantly greater than the initial policy reserves assumed at the Acquisition Date. | |
• | Interest Sensitive Whole Life and Retirement Savings Products - These contracts contain guaranteed minimum benefit features. The recorded reserves for these guarantees increase ratably over the life of the policies in relation to future gross revenues. In contrast, the fair value of the guaranteed minimum benefit component of the initial policy reserves assumed represents the amount that would be required to be transferred to a market participant to assume the full liability at the acquisition date, implicitly incorporating market participant views as to all expected future cash flows. This results in a fair value significantly in excess of the initial guaranteed minimum benefit liability assumed at the Acquisition Date. |
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Three Months | Nine Months | |||||||
Ended | Ended | |||||||
September 30, | September 30, | |||||||
2011 | 2011 | |||||||
(In millions) | ||||||||
Balance, beginning of period | $ | 9 | $ | 10 | ||||
Restructuring charges | 7 | 31 | ||||||
Cash payments | (7 | ) | (32 | ) | ||||
Balance, end of period | $ | 9 | $ | 9 | ||||
Restructuring charges incurred in current period | $ | 7 | $ | 31 | ||||
Total restructuring charges incurred since inception of plans | $ | 41 | $ | 41 | ||||
3. | Investments |
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September 30, 2011 | ||||||||||||||||||||||||
Cost or | Gross Unrealized | Estimated | ||||||||||||||||||||||
Amortized | Temporary | OTTI | Fair | % of | ||||||||||||||||||||
Cost | Gains | Losses | Losses | Value | Total | |||||||||||||||||||
(In millions) | ||||||||||||||||||||||||
Fixed Maturity Securities: | ||||||||||||||||||||||||
U.S. corporate securities | $ | 99,832 | $ | 8,219 | $ | 1,476 | $ | — | $ | 106,575 | 30.1 | % | ||||||||||||
Foreign corporate securities (1) | 61,013 | 3,616 | 1,108 | (1 | ) | 63,522 | 18.0 | |||||||||||||||||
Foreign government securities | 50,243 | 2,936 | 220 | — | 52,959 | 15.0 | ||||||||||||||||||
Residential mortgage-backed securities (“RMBS”) | 40,799 | 2,383 | 698 | 591 | 41,893 | 11.8 | ||||||||||||||||||
U.S. Treasury and agency securities | 36,159 | 5,686 | 11 | — | 41,834 | 11.8 | ||||||||||||||||||
Commercial mortgage-backed securities (“CMBS”) | 19,259 | 635 | 307 | 2 | 19,585 | 5.5 | ||||||||||||||||||
Asset-backed securities (“ABS”) | 14,765 | 322 | 583 | 86 | 14,418 | 4.1 | ||||||||||||||||||
State and political subdivision securities | 11,939 | 1,371 | 169 | — | 13,141 | 3.7 | ||||||||||||||||||
Other fixed maturity securities | — | — | — | — | — | — | ||||||||||||||||||
Total fixed maturity securities (2), (3) | $ | 334,009 | $ | 25,168 | $ | 4,572 | $ | 678 | $ | 353,927 | 100.0 | % | ||||||||||||
Equity Securities: | ||||||||||||||||||||||||
Common stock | $ | 2,173 | $ | 80 | $ | 42 | $ | — | $ | 2,211 | 70.9 | % | ||||||||||||
Non-redeemable preferred stock (2) | 1,054 | 39 | 186 | — | 907 | 29.1 | ||||||||||||||||||
Total equity securities | $ | 3,227 | $ | 119 | $ | 228 | $ | — | $ | 3,118 | 100.0 | % | ||||||||||||
December 31, 2010 | ||||||||||||||||||||||||
Cost or | Gross Unrealized | Estimated | ||||||||||||||||||||||
Amortized | Temporary | OTTI | Fair | % of | ||||||||||||||||||||
Cost | Gains | Losses | Losses | Value | Total | |||||||||||||||||||
(In millions) | ||||||||||||||||||||||||
Fixed Maturity Securities: | ||||||||||||||||||||||||
U.S. corporate securities | $ | 88,905 | $ | 4,469 | $ | 1,602 | $ | — | $ | 91,772 | 28.3 | % | ||||||||||||
Foreign corporate securities | 65,487 | 3,326 | 925 | — | 67,888 | 20.9 | ||||||||||||||||||
Foreign government securities | 40,871 | 1,733 | 602 | — | 42,002 | 12.9 | ||||||||||||||||||
RMBS | 44,468 | 1,652 | 917 | 470 | 44,733 | 13.8 | ||||||||||||||||||
U.S. Treasury and agency securities | 32,469 | 1,394 | 559 | — | 33,304 | 10.2 | ||||||||||||||||||
CMBS | 20,213 | 740 | 266 | 12 | 20,675 | 6.4 | ||||||||||||||||||
ABS | 14,722 | 274 | 590 | 119 | 14,287 | 4.4 | ||||||||||||||||||
State and political subdivision securities | 10,476 | 171 | 518 | — | 10,129 | 3.1 | ||||||||||||||||||
Other fixed maturity securities | 6 | 1 | — | — | 7 | — | ||||||||||||||||||
Total fixed maturity securities (2), (3) | $ | 317,617 | $ | 13,760 | $ | 5,979 | $ | 601 | $ | 324,797 | 100.0 | % | ||||||||||||
Equity Securities: | ||||||||||||||||||||||||
Common stock | $ | 2,059 | $ | 146 | $ | 12 | $ | — | $ | 2,193 | 60.9 | % | ||||||||||||
Non-redeemable preferred stock (2) | 1,562 | 76 | 229 | — | 1,409 | 39.1 | ||||||||||||||||||
Total equity securities | $ | 3,621 | $ | 222 | $ | 241 | $ | — | $ | 3,602 | 100.0 | % | ||||||||||||
(1) | OTTI losses as presented above represent the noncredit portion of OTTI losses that is included in accumulated other comprehensive income (loss). OTTI losses include both the initial recognition of noncredit losses, and the effects of subsequent increases and decreases in estimated fair value for those fixed maturity securities that were previously noncredit loss impaired. The noncredit loss component of OTTI losses for foreign corporate securities was in an unrealized gain (loss) position of $1 million at September 30, 2011 due to increases in estimated fair value subsequent to initial recognition of noncredit losses on such securities. See also “— Net Unrealized Investment Gains (Losses).” |
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(2) | Upon acquisition, the Company classifies perpetual securities that have attributes of both debt and equity as fixed maturity securities if the security has an interest ratestep-up feature which, when combined with other qualitative factors, indicates that the security has more debt-like characteristics; while those with more equity-like characteristics are classified as equity securities within non-redeemable preferred stock. Many of such securities have been issued bynon-U.S. financial institutions that are accorded Tier 1 and Upper Tier 2 capital treatment by their respective regulatory bodies and are commonly referred to as “perpetual hybrid securities.” The following table presents the perpetual hybrid securities held by the Company at: |
September 30, | December 31, | |||||||||||
2011 | 2010 | |||||||||||
Estimated | Estimated | |||||||||||
Classification | Fair | Fair | ||||||||||
Consolidated Balance Sheets | Sector Table | Primary Issuers | Value | Value | ||||||||
(In millions) | ||||||||||||
Fixed maturity securities | Foreign corporate securities | Non-U.S. financial institutions | $ | 632 | $ | 2,008 | ||||||
Fixed maturity securities | U.S. corporate securities | U.S. financial institutions | $ | 181 | $ | 83 | ||||||
Equity securities | Non-redeemable preferred stock | Non-U.S. financial institutions | $ | 481 | $ | 1,043 | ||||||
Equity securities | Non-redeemable preferred stock | U.S. financial institutions | $ | 381 | $ | 236 |
(3) | The Company’s holdings in redeemable preferred stock with stated maturity dates, commonly referred to as “capital securities,” were primarily issued by U.S. financial institutions and have cumulative interest deferral features. The Company held $2.0 billion and $2.7 billion at estimated fair value of such securities at September 30, 2011 and December 31, 2010, respectively, which are included in the U.S. and foreign corporate securities sectors within fixed maturity securities. |
September 30, 2011 | December 31, 2010 | |||||||
(In millions) | ||||||||
Below investment grade or non-rated fixed maturity securities: | ||||||||
Estimated fair value | $ | 24,494 | $ | 24,870 | ||||
Net unrealized gains (losses) | $ | (1,683 | ) | $ | (696 | ) | ||
Non-income producing fixed maturity securities: | ||||||||
Estimated fair value | $ | 145 | $ | 130 | ||||
Net unrealized gains (losses) | $ | (54 | ) | $ | (23 | ) |
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September 30, 2011 | December 31, 2010 | |||||||
Carrying Value (1) | ||||||||
(In millions) | ||||||||
Government and agency fixed maturity securities: | ||||||||
United States | $ | 41,834 | $ | 33,304 | ||||
Japan | $ | 20,644 | $ | 15,591 | ||||
Mexico (2) | $ | — | $ | 5,050 | ||||
U.S. Treasury and agency fixed-income securities included in: | ||||||||
Short-term investments | $ | 13,565 | $ | 4,048 | ||||
Cash equivalents | $ | 2,847 | $ | 5,762 |
(1) | Represents estimated fair value for fixed maturity securities; amortized cost, which approximates estimated fair value or estimated fair value, if available, for short-term investments; and amortized cost, which approximates estimated fair value, for cash equivalents. | |
(2) | The Company’s investment in Mexico government and agency fixed maturity securities at September 30, 2011 of $5,028 million is less than 10% of the Company’s equity. |
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September 30, 2011 | December 31, 2010 | |||||||||||||||
Estimated | Estimated | |||||||||||||||
Fair | % of | Fair | % of | |||||||||||||
Value | Total | Value | Total | |||||||||||||
(In millions) | (In millions) | |||||||||||||||
Corporate fixed maturity securities — by sector: | ||||||||||||||||
Foreign corporate fixed maturity securities (1) | $ | 63,522 | 37.3 | % | $ | 67,888 | 42.5 | % | ||||||||
U.S. corporate fixed maturity securities — by industry: | ||||||||||||||||
Industrial | 27,245 | 16.0 | 22,070 | 13.8 | ||||||||||||
Consumer | 26,414 | 15.5 | 21,482 | 13.5 | ||||||||||||
Finance | 21,864 | 12.9 | 20,785 | 13.0 | ||||||||||||
Utility | 19,152 | 11.3 | 16,902 | 10.6 | ||||||||||||
Communications | 8,318 | 4.9 | 7,335 | 4.6 | ||||||||||||
Other | 3,582 | 2.1 | 3,198 | 2.0 | ||||||||||||
Total | $ | 170,097 | 100.0 | % | $ | 159,660 | 100.0 | % | ||||||||
(1) | Includes U.S. dollar-denominated debt obligations of foreign obligors and other foreign fixed maturity securities. |
September 30, 2011 | December 31, 2010 | |||||||||||||||
Estimated | Estimated | |||||||||||||||
Fair | % of Total | Fair | % of Total | |||||||||||||
Value | Investments | Value | Investments | |||||||||||||
(In millions) | (In millions) | |||||||||||||||
Concentrations within corporate fixed maturity securities: | ||||||||||||||||
Largest exposure to a single issuer | $ | 1,883 | 0.4 | % | $ | 2,291 | 0.5 | % | ||||||||
Holdings in ten issuers with the largest exposures | $ | 11,955 | 2.4 | % | $ | 14,247 | 3.1 | % |
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September 30, 2011 | December 31, 2010 | |||||||||||||||
Estimated | Estimated | |||||||||||||||
Fair | % of | Fair | % of | |||||||||||||
Value | Total | Value | Total | |||||||||||||
(In millions) | (In millions) | |||||||||||||||
By security type: | ||||||||||||||||
Collateralized mortgage obligations | $ | 22,903 | 54.7 | % | $ | 22,303 | 49.9 | % | ||||||||
Pass-through securities | 18,990 | 45.3 | 22,430 | 50.1 | ||||||||||||
Total RMBS | $ | 41,893 | 100.0 | % | $ | 44,733 | 100.0 | % | ||||||||
By risk profile: | ||||||||||||||||
Agency | $ | 31,386 | 74.9 | % | $ | 34,254 | 76.6 | % | ||||||||
Prime | 5,935 | 14.2 | 6,258 | 14.0 | ||||||||||||
Alternative residential mortgage loans | 4,572 | 10.9 | 4,221 | 9.4 | ||||||||||||
Total RMBS | $ | 41,893 | 100.0 | % | $ | 44,733 | 100.0 | % | ||||||||
Rated Aaa/AAA | $ | 32,452 | 77.5 | % | $ | 36,085 | 80.7 | % | ||||||||
Rated NAIC 1 | $ | 36,543 | 87.2 | % | $ | 38,984 | 87.1 | % | ||||||||
September 30, 2011 | December 31, 2010 | |||||||||||||||
Estimated | Estimated | |||||||||||||||
Fair | % of | Fair | % of | |||||||||||||
Value | Total | Value | Total | |||||||||||||
(In millions) | (In millions) | |||||||||||||||
Vintage Year: | ||||||||||||||||
2005 & Prior | $ | 1,632 | 35.7 | % | $ | 1,576 | 37.3 | % | ||||||||
2006 | 1,294 | 28.3 | 1,013 | 24.0 | ||||||||||||
2007 | 997 | 21.8 | 922 | 21.8 | ||||||||||||
2008 | — | — | 7 | 0.2 | ||||||||||||
2009 (1) | 615 | 13.5 | 671 | 15.9 | ||||||||||||
2010 (1) | 34 | 0.7 | 32 | 0.8 | ||||||||||||
2011 | — | — | — | — | ||||||||||||
Total | $ | 4,572 | 100.0 | % | $ | 4,221 | 100.0 | % | ||||||||
(1) | All of the Company’s Alt-A RMBS holdings in the 2009 and 2010 vintage years are resecuritization of real estate mortgage investment conduit (“Re-REMIC”) Alt-A RMBS that were purchased in 2009 and 2010 and are comprised of original issue vintage year 2005 through 2007 Alt-A RMBS. All of the Company’s Re-REMIC Alt-A RMBS holdings are NAIC 1 rated. |
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September 30, 2011 | December 31, 2010 | |||||||||||||||
% of | % of | |||||||||||||||
Amount | Total | Amount | Total | |||||||||||||
(In millions) | (In millions) | |||||||||||||||
Net unrealized gains (losses) | $ | (824 | ) | $ | (670 | ) | ||||||||||
Rated Aa/AA or better | 12.7 | % | 15.9 | % | ||||||||||||
Rated NAIC 1 | 47.1 | % | 39.5 | % | ||||||||||||
Distribution of holdings — at estimated fair value — by collateral type: | ||||||||||||||||
Fixed rate mortgage loans collateral | 92.7 | % | 90.7 | % | ||||||||||||
Hybrid adjustable rate mortgage loans collateral | 7.3 | 9.3 | ||||||||||||||
Total Alt-A RMBS | 100.0 | % | 100.0 | % | ||||||||||||
September 30, 2011 | ||||||||||||||||||||||||||||||||||||||||||||||||
Below | ||||||||||||||||||||||||||||||||||||||||||||||||
Investment | ||||||||||||||||||||||||||||||||||||||||||||||||
Aaa | Aa | A | Baa | Grade | Total | |||||||||||||||||||||||||||||||||||||||||||
Estimated | Estimated | Estimated | Estimated | Estimated | Estimated | |||||||||||||||||||||||||||||||||||||||||||
Amortized | Fair | Amortized | Fair | Amortized | Fair | Amortized | Fair | Amortized | Fair | Amortized | Fair | |||||||||||||||||||||||||||||||||||||
Cost | Value | Cost | Value | Cost | Value | Cost | Value | Cost | Value | Cost | Value | |||||||||||||||||||||||||||||||||||||
(In millions) | ||||||||||||||||||||||||||||||||||||||||||||||||
2003 & Prior | $ | 5,936 | 6,040 | 178 | 176 | 105 | 101 | 58 | 55 | 21 | 20 | $ | 6,298 | $ | 6,392 | |||||||||||||||||||||||||||||||||
2004 | 3,698 | 3,823 | 447 | 455 | 134 | 126 | 92 | 89 | 33 | 26 | 4,404 | 4,519 | ||||||||||||||||||||||||||||||||||||
2005 | 3,117 | 3,316 | 400 | 401 | 324 | 311 | 168 | 153 | 37 | 26 | 4,046 | 4,207 | ||||||||||||||||||||||||||||||||||||
2006 | 1,733 | 1,813 | 229 | 217 | 91 | 87 | 147 | 135 | 157 | 137 | 2,357 | 2,389 | ||||||||||||||||||||||||||||||||||||
2007 | 700 | 714 | 439 | 362 | 163 | 137 | 39 | 38 | 126 | 117 | 1,467 | 1,368 | ||||||||||||||||||||||||||||||||||||
2008 | — | — | — | — | — | — | — | — | 24 | 29 | 24 | 29 | ||||||||||||||||||||||||||||||||||||
2009 | 2 | 2 | — | — | — | — | — | — | — | — | 2 | 2 | ||||||||||||||||||||||||||||||||||||
2010 | 2 | 3 | — | — | 60 | 66 | — | — | — | — | 62 | 69 | ||||||||||||||||||||||||||||||||||||
2011 | 505 | 513 | — | — | 94 | 97 | — | — | — | — | 599 | 610 | ||||||||||||||||||||||||||||||||||||
Total | $ | 15,693 | $ | 16,224 | $ | 1,693 | $ | 1,611 | $ | 971 | $ | 925 | $ | 504 | $ | 470 | $ | 398 | $ | 355 | $ | 19,259 | $ | 19,585 | ||||||||||||||||||||||||
Ratings Distribution | 82.8 | % | 8.3 | % | 4.7 | % | 2.4 | % | 1.8 | % | 100.0 | % | ||||||||||||||||||||||||||||||||||||
December 31, 2010 | ||||||||||||||||||||||||||||||||||||||||||||||||
Below | ||||||||||||||||||||||||||||||||||||||||||||||||
Investment | ||||||||||||||||||||||||||||||||||||||||||||||||
Aaa | Aa | A | Baa | Grade | Total | |||||||||||||||||||||||||||||||||||||||||||
Estimated | Estimated | Estimated | Estimated | Estimated | Estimated | |||||||||||||||||||||||||||||||||||||||||||
Amortized | Fair | Amortized | Fair | Amortized | Fair | Amortized | Fair | Amortized | Fair | Amortized | Fair | |||||||||||||||||||||||||||||||||||||
Cost | Value | Cost | Value | Cost | Value | Cost | Value | Cost | Value | Cost | Value | |||||||||||||||||||||||||||||||||||||
(In millions) | ||||||||||||||||||||||||||||||||||||||||||||||||
2003 & Prior | $ | 7,411 | $ | 7,640 | $ | 282 | $ | 282 | $ | 228 | $ | 227 | $ | 74 | $ | 71 | $ | 28 | $ | 24 | $ | 8,023 | $ | 8,244 | ||||||||||||||||||||||||
2004 | 3,489 | 3,620 | 277 | 273 | 216 | 209 | 181 | 175 | 91 | 68 | 4,254 | 4,345 | ||||||||||||||||||||||||||||||||||||
2005 | 3,113 | 3,292 | 322 | 324 | 286 | 280 | 263 | 255 | 73 | 66 | 4,057 | 4,217 | ||||||||||||||||||||||||||||||||||||
2006 | 1,463 | 1,545 | 159 | 160 | 168 | 168 | 385 | 398 | 166 | 156 | 2,341 | 2,427 | ||||||||||||||||||||||||||||||||||||
2007 | 840 | 791 | 344 | 298 | 96 | 95 | 119 | 108 | 122 | 133 | 1,521 | 1,425 | ||||||||||||||||||||||||||||||||||||
2008 | 2 | 2 | — | — | — | — | — | — | — | — | 2 | 2 | ||||||||||||||||||||||||||||||||||||
2009 | 3 | 3 | — | — | — | — | — | — | — | — | 3 | 3 | ||||||||||||||||||||||||||||||||||||
2010 | 8 | 8 | — | — | 4 | 4 | — | — | — | — | 12 | 12 | ||||||||||||||||||||||||||||||||||||
Total | $ | 16,329 | $ | 16,901 | $ | 1,384 | $ | 1,337 | $ | 998 | $ | 983 | $ | 1,022 | $ | 1,007 | $ | 480 | $ | 447 | $ | 20,213 | $ | 20,675 | ||||||||||||||||||||||||
Ratings Distribution | 81.7 | % | 6.4 | % | 4.8 | % | 4.9 | % | 2.2 | % | 100.0 | % | ||||||||||||||||||||||||||||||||||||
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Table of Contents
September 30, 2011 | December 31, 2010 | |||||||
NAIC 1 | 94.3 | % | 93.7 | % | ||||
NAIC 2 | 4.1 | % | 3.2 | % | ||||
NAIC 3 | 0.5 | % | 1.8 | % | ||||
NAIC 4 | 0.7 | % | 1.0 | % | ||||
NAIC 5 | — | % | 0.3 | % | ||||
NAIC 6 | 0.4 | % | — | % |
September 30, 2011 | December 31, 2010 | |||||||||||||||
Estimated | Estimated | |||||||||||||||
Fair | % of | Fair | % of | |||||||||||||
Value | Total | Value | Total | |||||||||||||
(In millions) | (In millions) | |||||||||||||||
By collateral type: | ||||||||||||||||
Credit card loans | $ | 4,444 | 30.8 | % | $ | 6,027 | 42.2 | % | ||||||||
Student loans | 2,645 | 18.4 | 2,416 | 16.9 | ||||||||||||
Collateralized debt obligations | 2,578 | 17.9 | 1,798 | 12.6 | ||||||||||||
Automobile loans | 1,039 | 7.2 | 605 | 4.2 | ||||||||||||
RMBS backed bysub-prime mortgage loans | 997 | 6.9 | 1,119 | 7.8 | ||||||||||||
Other loans | 2,715 | 18.8 | 2,322 | 16.3 | ||||||||||||
Total | $ | 14,418 | 100.0 | % | $ | 14,287 | 100.0 | % | ||||||||
Rated Aaa/AAA | $ | 9,250 | 64.2 | % | $ | 10,411 | 72.9 | % | ||||||||
Rated NAIC 1 | $ | 13,324 | 92.4 | % | $ | 13,133 | 91.9 | % | ||||||||
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Table of Contents
September 30, 2011 | December 31, 2010 | |||||||||||||||
Estimated | Estimated | |||||||||||||||
Amortized | Fair | Amortized | Fair | |||||||||||||
Cost | Value | Cost | Value | |||||||||||||
(In millions) | ||||||||||||||||
Due in one year or less | $ | 13,713 | $ | 13,813 | $ | 8,580 | $ | 8,702 | ||||||||
Due after one year through five years | 68,498 | 70,234 | 65,143 | 66,796 | ||||||||||||
Due after five years through ten years | 83,338 | 88,497 | 76,508 | 79,571 | ||||||||||||
Due after ten years | 93,637 | 105,487 | 87,983 | 90,033 | ||||||||||||
Subtotal | 259,186 | 278,031 | 238,214 | 245,102 | ||||||||||||
RMBS, CMBS and ABS | 74,823 | 75,896 | 79,403 | 79,695 | ||||||||||||
Total fixed maturity securities | $ | 334,009 | $ | 353,927 | $ | 317,617 | $ | 324,797 | ||||||||
24
Table of Contents
September 30, 2011 | December 31, 2010 | |||||||
(In millions) | ||||||||
Fixed maturity securities | $ | 20,703 | $ | 7,817 | ||||
Fixed maturity securities with noncredit OTTI losses in accumulated other comprehensive income (loss) | (678 | ) | (601 | ) | ||||
Total fixed maturity securities | 20,025 | 7,216 | ||||||
Equity securities | (95 | ) | (3 | ) | ||||
Derivatives | 1,486 | (59 | ) | |||||
Other | 63 | 42 | ||||||
Subtotal | 21,479 | 7,196 | ||||||
Amounts allocated from: | ||||||||
Insurance liability loss recognition | (3,946 | ) | (672 | ) | ||||
DAC and VOBA related to noncredit OTTI losses recognized in accumulated other comprehensive income (loss) | 41 | 38 | ||||||
DAC and VOBA | (2,070 | ) | (1,205 | ) | ||||
Policyholder dividend obligation | (2,782 | ) | (876 | ) | ||||
Subtotal | (8,757 | ) | (2,715 | ) | ||||
Deferred income tax benefit (expense) related to noncredit OTTI losses recognized in accumulated other comprehensive income (loss) | 220 | 197 | ||||||
Deferred income tax benefit (expense) | (4,504 | ) | (1,692 | ) | ||||
Net unrealized investment gains (losses) | 8,438 | 2,986 | ||||||
Net unrealized investment gains (losses) attributable to noncontrolling interests | 9 | 4 | ||||||
Net unrealized investment gains (losses) attributable to MetLife, Inc. | $ | 8,447 | $ | 2,990 | ||||
September 30, 2011 | December 31, 2010 | |||||||
(In millions) | ||||||||
Balance, beginning of period | $ | (601 | ) | $ | (859 | ) | ||
Noncredit OTTI losses recognized (1) | 5 | (212 | ) | |||||
Transferred to retained earnings (2) | — | 16 | ||||||
Securities sold with previous noncredit OTTI loss | 99 | 137 | ||||||
Subsequent changes in estimated fair value | (181 | ) | 317 | |||||
Balance, end of period | $ | (678 | ) | $ | (601 | ) | ||
(1) | Noncredit OTTI losses recognized, net of DAC, were $6 million and ($202) million for the periods ended September 30, 2011 and December 31, 2010, respectively. |
25
Table of Contents
(2) | Amounts transferred to retained earnings were in connection with the adoption of guidance related to the consolidation of VIEs as described in Note 1 of the Notes to the Consolidated Financial Statements included in the 2010 Annual Report. |
Nine Months | ||||
Ended | ||||
September 30, 2011 | ||||
(In millions) | ||||
Balance, beginning of period | $ | 2,990 | ||
Fixed maturity securities on which noncredit OTTI losses have been recognized | (77 | ) | ||
Unrealized investment gains (losses) during the period | 14,360 | |||
Unrealized investment gains (losses) relating to: | ||||
Insurance liability gain (loss) recognition | (3,274 | ) | ||
DAC and VOBA related to noncredit OTTI losses recognized in accumulated other comprehensive income (loss) | 3 | |||
DAC and VOBA | (865 | ) | ||
Policyholder dividend obligation | (1,906 | ) | ||
Deferred income tax benefit (expense) related to noncredit OTTI losses recognized in accumulated other comprehensive income (loss) | 23 | |||
Deferred income tax benefit (expense) | (2,812 | ) | ||
Net unrealized investment gains (losses) | 8,442 | |||
Net unrealized investment gains (losses) attributable to noncontrolling interests | 5 | |||
Balance, end of period | $ | 8,447 | ||
Change in net unrealized investment gains (losses) | $ | 5,452 | ||
Change in net unrealized investment gains (losses) attributable to noncontrolling interests | 5 | |||
Change in net unrealized investment gains (losses) attributable to MetLife, Inc. | $ | 5,457 | ||
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Table of Contents
September 30, 2011 | ||||||||||||||||||||||||
Equal to or Greater | ||||||||||||||||||||||||
Less than 12 Months | than 12 Months | Total | ||||||||||||||||||||||
Estimated | Gross | Estimated | Gross | Estimated | Gross | |||||||||||||||||||
Fair | Unrealized | Fair | Unrealized | Fair | Unrealized | |||||||||||||||||||
Value | Losses | Value | Losses | Value | Losses | |||||||||||||||||||
(In millions, except number of securities) | ||||||||||||||||||||||||
Fixed Maturity Securities: | ||||||||||||||||||||||||
U.S. corporate securities | $ | 18,303 | $ | 597 | $ | 4,981 | $ | 879 | $ | 23,284 | $ | 1,476 | ||||||||||||
Foreign corporate securities | 16,560 | 846 | 1,480 | 261 | 18,040 | 1,107 | ||||||||||||||||||
Foreign government securities | 8,092 | 208 | 158 | 12 | 8,250 | 220 | ||||||||||||||||||
RMBS | 3,761 | 324 | 4,501 | 965 | 8,262 | 1,289 | ||||||||||||||||||
U.S. Treasury and agency securities | 8,937 | 9 | 39 | 2 | 8,976 | 11 | ||||||||||||||||||
CMBS | 4,974 | 200 | 620 | 109 | 5,594 | 309 | ||||||||||||||||||
ABS | 4,670 | 189 | 2,087 | 480 | 6,757 | 669 | ||||||||||||||||||
State and political subdivision securities | 416 | 6 | 981 | 163 | 1,397 | 169 | ||||||||||||||||||
Other fixed maturity securities | — | — | — | — | — | — | ||||||||||||||||||
Total fixed maturity securities | $ | 65,713 | $ | 2,379 | $ | 14,847 | $ | 2,871 | $ | 80,560 | $ | 5,250 | ||||||||||||
Equity Securities: | ||||||||||||||||||||||||
Common stock | $ | 416 | $ | 41 | $ | 23 | $ | 1 | $ | 439 | $ | 42 | ||||||||||||
Non-redeemable preferred stock | 227 | 30 | 386 | 156 | 613 | 186 | ||||||||||||||||||
Total equity securities | $ | 643 | $ | 71 | $ | 409 | $ | 157 | $ | 1,052 | $ | 228 | ||||||||||||
Total number of securities in an unrealized loss position | 4,414 | 1,340 | ||||||||||||||||||||||
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Table of Contents
December 31, 2010 | ||||||||||||||||||||||||
Equal to or Greater | ||||||||||||||||||||||||
Less than 12 Months | than 12 Months | Total | ||||||||||||||||||||||
Estimated | Gross | Estimated | Gross | Estimated | Gross | |||||||||||||||||||
Fair | Unrealized | Fair | Unrealized | Fair | Unrealized | |||||||||||||||||||
Value | Losses | Value | Losses | Value | Losses | |||||||||||||||||||
(In millions, except number of securities) | ||||||||||||||||||||||||
Fixed Maturity Securities: | ||||||||||||||||||||||||
U.S. corporate securities | $ | 22,954 | $ | 447 | $ | 8,319 | $ | 1,155 | $ | 31,273 | $ | 1,602 | ||||||||||||
Foreign corporate securities | 22,415 | 410 | 3,976 | 515 | 26,391 | 925 | ||||||||||||||||||
Foreign government securities | 26,659 | 585 | 189 | 17 | 26,848 | 602 | ||||||||||||||||||
RMBS | 7,588 | 212 | 6,700 | 1,175 | 14,288 | 1,387 | ||||||||||||||||||
U.S. Treasury and agency securities | 13,401 | 530 | 118 | 29 | 13,519 | 559 | ||||||||||||||||||
CMBS | 3,787 | 29 | 1,363 | 249 | 5,150 | 278 | ||||||||||||||||||
ABS | 2,713 | 42 | 3,026 | 667 | 5,739 | 709 | ||||||||||||||||||
State and political subdivision securities | 5,061 | 246 | 988 | 272 | 6,049 | 518 | ||||||||||||||||||
Other fixed maturity securities | 1 | — | — | — | 1 | — | ||||||||||||||||||
Total fixed maturity securities | $ | 104,579 | $ | 2,501 | $ | 24,679 | $ | 4,079 | $ | 129,258 | $ | 6,580 | ||||||||||||
Equity Securities: | ||||||||||||||||||||||||
Common stock | $ | 89 | $ | 12 | $ | 1 | $ | — | $ | 90 | $ | 12 | ||||||||||||
Non-redeemable preferred stock | 191 | 9 | 824 | 220 | 1,015 | 229 | ||||||||||||||||||
Total equity securities | $ | 280 | $ | 21 | $ | 825 | $ | 220 | $ | 1,105 | $ | 241 | ||||||||||||
Total number of securities in an unrealized loss position | 5,609 | 1,704 | ||||||||||||||||||||||
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September 30, 2011 | ||||||||||||||||||||||||
Cost or Amortized Cost | Gross Unrealized Losses | Number of Securities | ||||||||||||||||||||||
Less than | 20% or | Less than | 20% or | Less than | 20% or | |||||||||||||||||||
20% | more | 20% | more | 20% | more | |||||||||||||||||||
(In millions, except number of securities) | ||||||||||||||||||||||||
Fixed Maturity Securities: | ||||||||||||||||||||||||
Less than six months | $ | 50,785 | $ | 5,026 | $ | 1,365 | $ | 1,377 | 2,871 | 290 | ||||||||||||||
Six months or greater but less than nine months | 1,747 | 349 | 68 | 106 | 200 | 23 | ||||||||||||||||||
Nine months or greater but less than twelve months | 13,543 | 147 | 367 | 41 | 1,126 | 9 | ||||||||||||||||||
Twelve months or greater | 11,858 | 2,355 | 1,018 | 908 | 971 | 181 | ||||||||||||||||||
Total | $ | 77,933 | $ | 7,877 | $ | 2,818 | $ | 2,432 | ||||||||||||||||
Percentage of amortized cost | 4 | % | 31 | % | ||||||||||||||||||||
Equity Securities: | ||||||||||||||||||||||||
Less than six months | $ | 571 | $ | 304 | $ | 36 | $ | 89 | 168 | 54 | ||||||||||||||
Six months or greater but less than nine months | 10 | — | 1 | — | 7 | 3 | ||||||||||||||||||
Nine months or greater but less than twelve months | 46 | 1 | 4 | 1 | 14 | 9 | ||||||||||||||||||
Twelve months or greater | 125 | 223 | 12 | 85 | 11 | 13 | ||||||||||||||||||
Total | $ | 752 | $ | 528 | $ | 53 | $ | 175 | ||||||||||||||||
Percentage of cost | 7 | % | 33 | % | ||||||||||||||||||||
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December 31, 2010 | ||||||||||||||||||||||||
Cost or Amortized Cost | Gross Unrealized Losses | Number of Securities | ||||||||||||||||||||||
Less than | 20% or | Less than | 20% or | Less than | 20% or | |||||||||||||||||||
20% | more | 20% | more | 20% | more | |||||||||||||||||||
(In millions, except number of securities) | ||||||||||||||||||||||||
Fixed Maturity Securities: | ||||||||||||||||||||||||
Less than six months | $ | 105,301 | $ | 1,403 | $ | 2,348 | $ | 368 | 5,320 | 121 | ||||||||||||||
Six months or greater but less than nine months | 1,125 | 376 | 29 | 102 | 104 | 29 | ||||||||||||||||||
Nine months or greater but less than twelve months | 371 | 89 | 28 | 27 | 50 | 9 | ||||||||||||||||||
Twelve months or greater | 21,627 | 5,546 | 1,863 | 1,815 | 1,245 | 311 | ||||||||||||||||||
Total | $ | 128,424 | $ | 7,414 | $ | 4,268 | $ | 2,312 | ||||||||||||||||
Percentage of amortized cost | 3 | % | 31 | % | ||||||||||||||||||||
Equity Securities: | ||||||||||||||||||||||||
Less than six months | $ | 247 | $ | 94 | $ | 10 | $ | 22 | 106 | 33 | ||||||||||||||
Six months or greater but less than nine months | 29 | 65 | 5 | 16 | 3 | 2 | ||||||||||||||||||
Nine months or greater but less than twelve months | 6 | 47 | — | 16 | 3 | 2 | ||||||||||||||||||
Twelve months or greater | 518 | 340 | 56 | 116 | 35 | 14 | ||||||||||||||||||
Total | $ | 800 | $ | 546 | $ | 71 | $ | 170 | ||||||||||||||||
Percentage of cost | 9 | % | 31 | % | ||||||||||||||||||||
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Table of Contents
September 30, 2011 | December 31, 2010 | |||||||
Sector: | ||||||||
U.S. corporate securities | 27 | % | 23 | % | ||||
RMBS | 24 | 20 | ||||||
Foreign corporate securities | 20 | 14 | ||||||
ABS | 12 | 10 | ||||||
CMBS | 6 | 4 | ||||||
Foreign government securities | 4 | 9 | ||||||
State and political subdivision securities | 3 | 8 | ||||||
U.S. Treasury and agency securities | — | 8 | ||||||
Other | 4 | 4 | ||||||
Total | 100 | % | 100 | % | ||||
Industry: | ||||||||
Mortgage-backed | 30 | % | 24 | % | ||||
Finance | 25 | 21 | ||||||
Asset-backed | 12 | 10 | ||||||
Utility | 8 | 5 | ||||||
Consumer | 7 | 4 | ||||||
Foreign government securities | 4 | 9 | ||||||
Communications | 4 | 2 | ||||||
State and political subdivision securities | 3 | 8 | ||||||
Industrial | 3 | 2 | ||||||
U.S. Treasury and agency securities | — | 8 | ||||||
Other | 4 | 7 | ||||||
Total | 100 | % | 100 | % | ||||
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September 30, 2011 | December 31, 2010 | |||||||||||||||
Fixed Maturity | Equity | Fixed Maturity | Equity | |||||||||||||
Securities | Securities | Securities | Securities | |||||||||||||
(In millions, except number of securities) | ||||||||||||||||
Number of securities | 86 | 5 | 107 | 6 | ||||||||||||
Total gross unrealized losses | $ | 1,612 | $ | 79 | $ | 2,014 | $ | 103 | ||||||||
Percentage of total gross unrealized losses | 31 | % | 34 | % | 31 | % | 43 | % |
Non-Redeemable Preferred Stock | ||||||||||||||||||||||||||||||||
All Types of | ||||||||||||||||||||||||||||||||
All Equity | Non-Redeemable | Investment Grade | ||||||||||||||||||||||||||||||
Securities | Preferred Stock | All Industries | Financial Services Industry | |||||||||||||||||||||||||||||
Gross | Gross | % of All | Gross | % of All | Gross | % A | ||||||||||||||||||||||||||
Unrealized | Unrealized | Equity | Unrealized | Non-Redeemable | Unrealized | % of All | Rated or | |||||||||||||||||||||||||
Losses | Losses | Securities | Losses | Preferred Stock | Losses | Industries | Better | |||||||||||||||||||||||||
(In millions) | (In millions) | (In millions) | ||||||||||||||||||||||||||||||
Less than six months | $ | 89 | $ | 67 | 75 | % | $ | 52 | 78 | % | $ | 52 | 100 | % | 52 | % | ||||||||||||||||
Six months or greater but less than twelve months | 1 | — | — | % | — | — | % | — | — | % | — | % | ||||||||||||||||||||
Twelve months or greater | 85 | 85 | 100 | % | 85 | 100 | % | 85 | 100 | % | 72 | % | ||||||||||||||||||||
All equity securities with gross unrealized losses of 20% or more | $ | 175 | $ | 152 | 87 | % | $ | 137 | 90 | % | $ | 137 | 100 | % | 64 | % | ||||||||||||||||
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Table of Contents
September 30, 2011 | December 31, 2010 | |||||||
(In millions) | ||||||||
Actively Traded Securities | $ | 415 | $ | 463 | ||||
FVO general account securities | 269 | 131 | ||||||
FVO contractholder-directed unit-linked investments | 17,874 | 17,794 | ||||||
FVO securities held by CSEs | 140 | 201 | ||||||
Total trading and other securities — at estimated fair value | $ | 18,698 | $ | 18,589 | ||||
Actively Traded Securities — at estimated fair value | $ | 415 | $ | 463 | ||||
Short sale agreement liabilities — at estimated fair value | (67 | ) | (46 | ) | ||||
Net long/short position — at estimated fair value | $ | 348 | $ | 417 | ||||
Investments pledged to secure short sale agreement liabilities | $ | 467 | $ | 465 | ||||
33
Table of Contents
Three Months | Nine Months | |||||||||||||||
Ended | Ended | |||||||||||||||
September 30, | September 30, | |||||||||||||||
2011 | 2010 | 2011 | 2010 | |||||||||||||
(In millions) | ||||||||||||||||
Total gains (losses) on fixed maturity securities: | ||||||||||||||||
Total OTTI losses recognized | $ | (95 | ) | $ | (143 | ) | $ | (525 | ) | $ | (538 | ) | ||||
Less: Noncredit portion of OTTI losses transferred to and recognized in other comprehensive income (loss) | (189 | ) | 24 | (5 | ) | 181 | ||||||||||
Net OTTI losses on fixed maturity securities recognized in earnings | (284 | ) | (119 | ) | (530 | ) | (357 | ) | ||||||||
Fixed maturity securities — net gains (losses) on sales and disposals | 101 | 54 | 79 | 99 | ||||||||||||
Total gains (losses) on fixed maturity securities | (183 | ) | (65 | ) | (451 | ) | (258 | ) | ||||||||
Other net investment gains (losses): | ||||||||||||||||
Equity securities | (3 | ) | (1 | ) | (37 | ) | 100 | |||||||||
Trading and other securities — FVO general account securities — changes in estimated fair value | (3 | ) | — | (3 | ) | — | ||||||||||
Mortgage loans | 45 | 37 | 160 | 20 | ||||||||||||
Real estate and real estate joint ventures | 139 | (1 | ) | 144 | (50 | ) | ||||||||||
Other limited partnership interests | — | (4 | ) | 8 | (15 | ) | ||||||||||
Other investment portfolio gains (losses) | — | (67 | ) | (2 | ) | 9 | ||||||||||
Subtotal — investment portfolio gains (losses) | (5 | ) | (101 | ) | (181 | ) | (194 | ) | ||||||||
FVO CSEs — changes in estimated fair value: | ||||||||||||||||
Commercial mortgage loans | (64 | ) | 114 | (39 | ) | 767 | ||||||||||
Securities | 2 | (26 | ) | 1 | (47 | ) | ||||||||||
Long-term debt — related to commercial mortgage loans | 56 | (109 | ) | 48 | (744 | ) | ||||||||||
Long-term debt — related to securities | (1 | ) | 37 | (8 | ) | 48 | ||||||||||
Other gains (losses) (1) | (43 | ) | (257 | ) | (130 | ) | (154 | ) | ||||||||
Subtotal FVO CSEs and other gains (losses) | (50 | ) | (241 | ) | (128 | ) | (130 | ) | ||||||||
Total net investment gains (losses) | $ | (55 | ) | $ | (342 | ) | $ | (309 | ) | $ | (324 | ) | ||||
(1) | Other gains (losses) for the three months and nine months ended September 30, 2011 includes a loss of $0 and $87 million, respectively, related to the sale of the Company’s investment in MSI MetLife. See Note 2. Other gains (losses) for both the three months and nine months ended September 30, 2011 includes a loss of $65 million related to goodwill impairment. See Note 6. |
34
Table of Contents
Three Months Ended September 30, | ||||||||||||||||||||||||
2011 | 2010 | 2011 | 2010 | 2011 | 2010 | |||||||||||||||||||
Fixed Maturity Securities | Equity Securities | Total | ||||||||||||||||||||||
(In millions) | ||||||||||||||||||||||||
Proceeds | $ | 19,368 | $ | 10,747 | $ | 169 | $ | 96 | $ | 19,537 | $ | 10,843 | ||||||||||||
Gross investment gains | $ | 252 | $ | 190 | $ | 9 | $ | 7 | $ | 261 | $ | 197 | ||||||||||||
Gross investment losses | (151 | ) | (136 | ) | (7 | ) | (7 | ) | (158 | ) | (143 | ) | ||||||||||||
Total OTTI losses recognized in earnings: | ||||||||||||||||||||||||
Credit-related | (269 | ) | (107 | ) | — | — | (269 | ) | (107 | ) | ||||||||||||||
Other (1) | (15 | ) | (12 | ) | (5 | ) | (1 | ) | (20 | ) | (13 | ) | ||||||||||||
Total OTTI losses recognized in earnings | (284 | ) | (119 | ) | (5 | ) | (1 | ) | (289 | ) | (120 | ) | ||||||||||||
Net investment gains (losses) | $ | (183 | ) | $ | (65 | ) | $ | (3 | ) | $ | (1 | ) | $ | (186 | ) | $ | (66 | ) | ||||||
Nine Months Ended September 30, | ||||||||||||||||||||||||
2011 | 2010 | 2011 | 2010 | 2011 | 2010 | |||||||||||||||||||
Fixed Maturity Securities | Equity Securities | Total | ||||||||||||||||||||||
(In millions) | ||||||||||||||||||||||||
Proceeds | $ | 55,216 | $ | 32,585 | $ | 974 | $ | 539 | $ | 56,190 | $ | 33,124 | ||||||||||||
Gross investment gains | $ | 680 | $ | 568 | $ | 83 | $ | 114 | $ | 763 | $ | 682 | ||||||||||||
Gross investment losses | (601 | ) | (469 | ) | (62 | ) | (11 | ) | (663 | ) | (480 | ) | ||||||||||||
Total OTTI losses recognized in earnings: | ||||||||||||||||||||||||
Credit-related | (382 | ) | (339 | ) | — | — | (382 | ) | (339 | ) | ||||||||||||||
Other (1) | (148 | ) | (18 | ) | (58 | ) | (3 | ) | (206 | ) | (21 | ) | ||||||||||||
Total OTTI losses recognized in earnings | (530 | ) | (357 | ) | (58 | ) | (3 | ) | (588 | ) | (360 | ) | ||||||||||||
Net investment gains (losses) | $ | (451 | ) | $ | (258 | ) | $ | (37 | ) | $ | 100 | $ | (488 | ) | $ | (158 | ) | |||||||
(1) | Other OTTI losses recognized in earnings include impairments on equity securities, impairments on perpetual hybrid securities classified within fixed maturity securities where the primary reason for the impairment was the severity and/or the duration of an unrealized loss position and fixed maturity securities where there is an intent to sell or it is more likely than not that the Company will be required to sell the security before recovery of the decline in estimated fair value. |
35
Table of Contents
Three Months | Nine Months | |||||||||||||||
Ended | Ended | |||||||||||||||
September 30, | September 30, | |||||||||||||||
2011 | 2010 | 2011 | 2010 | |||||||||||||
(In millions) | ||||||||||||||||
Sector: | ||||||||||||||||
U.S. and foreign corporate securities — by industry: | ||||||||||||||||
Finance | $ | 7 | $ | 54 | $ | 48 | $ | 82 | ||||||||
Consumer | 6 | 8 | 35 | 31 | ||||||||||||
Communications | 12 | 9 | 26 | 12 | ||||||||||||
Utility | 6 | — | 7 | 3 | ||||||||||||
Total U.S. and foreign corporate securities | 31 | 71 | 116 | 128 | ||||||||||||
Foreign government securities | 206 | — | 295 | — | ||||||||||||
RMBS | 34 | 19 | 88 | 76 | ||||||||||||
ABS | 8 | 26 | 23 | 89 | ||||||||||||
CMBS | 5 | 3 | 8 | 64 | ||||||||||||
Total | $ | 284 | $ | 119 | $ | 530 | $ | 357 | ||||||||
Three Months | Nine Months | |||||||||||||||
Ended | Ended | |||||||||||||||
September 30, | September 30, | |||||||||||||||
2011 | 2010 | 2011 | 2010 | |||||||||||||
(In millions) | ||||||||||||||||
Sector: | ||||||||||||||||
Non-redeemable preferred stock | $ | — | $ | — | $ | 38 | $ | — | ||||||||
Common stock | 5 | 1 | 20 | 3 | ||||||||||||
Total | $ | 5 | $ | 1 | $ | 58 | $ | 3 | ||||||||
Industry: | ||||||||||||||||
Financial services industry — perpetual hybrid securities | $ | — | $ | — | $ | 38 | $ | — | ||||||||
Other industries | 5 | 1 | 20 | 3 | ||||||||||||
Total | $ | 5 | $ | 1 | $ | 58 | $ | 3 | ||||||||
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Table of Contents
Three Months | Nine Months | |||||||||||||||
Ended | Ended | |||||||||||||||
September 30, | September 30, | |||||||||||||||
2011 | 2010 | 2011 | 2010 | |||||||||||||
(In millions) | ||||||||||||||||
Balance, beginning of period | $ | 401 | $ | 491 | $ | 443 | $ | 581 | ||||||||
Additions: | ||||||||||||||||
Initial impairments — credit loss OTTI recognized on securities not previously impaired | 6 | 13 | 32 | 94 | ||||||||||||
Additional impairments — credit loss OTTI recognized on securities previously impaired | 39 | 34 | 79 | 104 | ||||||||||||
Reductions: | ||||||||||||||||
Due to sales (maturities, pay downs or prepayments) during the period of securities previously impaired as credit loss OTTI | (8 | ) | (97 | ) | (63 | ) | (231 | ) | ||||||||
Due to securities de-recognized in connection with the adoption of new guidance related to the consolidation of VIEs | — | — | — | (100 | ) | |||||||||||
Due to securities impaired to net present value of expected future cash flows | (1 | ) | — | (45 | ) | — | ||||||||||
Due to increases in cash flows — accretion of previous credit loss OTTI | — | (2 | ) | (9 | ) | (9 | ) | |||||||||
Balance, end of period | $ | 437 | $ | 439 | $ | 437 | $ | 439 | ||||||||
37
Table of Contents
Three Months | Nine Months | |||||||||||||||
Ended | Ended | |||||||||||||||
September 30, | September 30, | |||||||||||||||
2011 | 2010 | 2011 | 2010 | |||||||||||||
(In millions) | ||||||||||||||||
Investment income: | ||||||||||||||||
Fixed maturity securities | $ | 3,770 | $ | 3,060 | $ | 11,244 | $ | 9,126 | ||||||||
Equity securities | 28 | 19 | 106 | 83 | ||||||||||||
Trading and other securities — Actively Traded Securities and FVO general account securities (1) | (38 | ) | 45 | 6 | 56 | |||||||||||
Mortgage loans | 806 | 713 | 2,331 | 2,081 | ||||||||||||
Policy loans | 162 | 155 | 482 | 488 | ||||||||||||
Real estate and real estate joint ventures | 213 | 131 | 557 | 300 | ||||||||||||
Other limited partnership interests | 180 | 170 | 582 | 596 | ||||||||||||
Cash, cash equivalents and short-term investments | 41 | 26 | 131 | 64 | ||||||||||||
International joint ventures (2) | 7 | 19 | (3 | ) | (61 | ) | ||||||||||
Other | 82 | (7 | ) | 151 | 181 | |||||||||||
Subtotal | 5,251 | 4,331 | 15,587 | 12,914 | ||||||||||||
Less: Investment expenses | 271 | 222 | 774 | 654 | ||||||||||||
Subtotal, net | 4,980 | 4,109 | 14,813 | 12,260 | ||||||||||||
Trading and other securities — FVO contractholder-directed unit-linked investments (1) | (824 | ) | 149 | (437 | ) | 161 | ||||||||||
FVO CSEs: | ||||||||||||||||
Commercial mortgage loans | 95 | 102 | 286 | 312 | ||||||||||||
Securities | 6 | 4 | 7 | 12 | ||||||||||||
Subtotal | (723 | ) | 255 | (144 | ) | 485 | ||||||||||
Net investment income | $ | 4,257 | $ | 4,364 | $ | 14,669 | $ | 12,745 | ||||||||
(1) | Changes in estimated fair value subsequent to purchase included in net investment income were: |
Trading and other securities — Actively Traded Securities and FVO general account securities | $ | (46 | ) | $ | 29 | $ | (25 | ) | $ | 16 | ||||||
Trading and other securities — FVO contractholder-directed unit-linked investments | $ | (873 | ) | $ | 124 | $ | (641 | ) | $ | 111 |
(2) | Amounts are presented net of changes in estimated fair value of derivatives related to economic hedges of the Company’s investment in these equity method international joint venture investments that do not qualify for hedge accounting of $0 and ($23) million for the three months and nine months ended September 30, 2011, respectively, and ($12) million and $65 million for the three months and nine months ended September 30, 2010, respectively. |
38
Table of Contents
September 30, 2011 | December 31, 2010 | |||||||
(In millions) | ||||||||
Securities on loan: | ||||||||
Amortized cost | $ | 22,488 | $ | 23,715 | ||||
Estimated fair value | $ | 26,040 | $ | 24,230 | ||||
Aging of cash collateral liability: | ||||||||
Open (1) | $ | 2,440 | $ | 2,752 | ||||
Less than thirty days | 14,993 | 12,301 | ||||||
Thirty days or greater but less than sixty days | 5,405 | 4,399 | ||||||
Sixty days or greater but less than ninety days | 2,057 | 2,291 | ||||||
Ninety days or greater | 908 | 2,904 | ||||||
Total cash collateral liability | $ | 25,803 | $ | 24,647 | ||||
Security collateral on deposit from counterparties | $ | 613 | $ | — | ||||
Reinvestment portfolio — estimated fair value | $ | 25,520 | $ | 24,177 | ||||
(1) | Open — meaning that the related loaned security could be returned to the Company on the next business day, requiring the Company to immediately return the cash collateral. |
39
Table of Contents
September 30, 2011 | December 31, 2010 | |||||||
(In millions) | ||||||||
Invested assets on deposit: | ||||||||
Regulatory agencies | $ | 2,050 | $ | 2,110 | ||||
Invested assets held in trust: | ||||||||
Collateral financing arrangements | 5,342 | 5,340 | ||||||
Reinsurance arrangements | 4,885 | 3,090 | ||||||
Invested assets pledged as collateral: | ||||||||
Funding agreements and advances — Federal Home Loan Bank (“FHLB”) of New York | 21,385 | 21,975 | ||||||
Funding agreements — Federal Agricultural Mortgage Corporation | 3,160 | 3,159 | ||||||
Funding agreements — FHLB of Des Moines | 904 | — | ||||||
Funding agreements — FHLB of Boston | 529 | 211 | ||||||
Federal Reserve Bank of New York | 1,686 | 1,822 | ||||||
Collateral financing arrangements | 273 | 112 | ||||||
Derivative transactions | 1,029 | 1,726 | ||||||
Short sale agreements | 467 | 465 | ||||||
Total invested assets on deposit, held in trust and pledged as collateral | $ | 41,710 | $ | 40,010 | ||||
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Table of Contents
September 30, 2011 | December 31, 2010 | |||||||||||||||
Carrying | % of | Carrying | % of | |||||||||||||
Value | Total | Value | Total | |||||||||||||
(In millions) | (In millions) | |||||||||||||||
Mortgage loansheld-for-investment: | ||||||||||||||||
Commercial | $ | 40,120 | 63.8 | % | $ | 37,818 | 60.7 | % | ||||||||
Agricultural | 12,967 | 20.6 | 12,751 | 20.4 | ||||||||||||
Residential | 3,424 | 5.4 | 2,231 | 3.7 | ||||||||||||
Subtotal | 56,511 | 89.8 | 52,800 | 84.8 | ||||||||||||
Valuation allowances | (529 | ) | (0.8 | ) | (664 | ) | (1.1 | ) | ||||||||
Subtotal mortgage loansheld-for-investment, net | 55,982 | 89.0 | 52,136 | 83.7 | ||||||||||||
Commercial mortgage loans held by CSEs — FVO | 3,227 | 5.1 | 6,840 | 11.0 | ||||||||||||
Total mortgage loansheld-for-investment, net | 59,209 | 94.1 | 58,976 | 94.7 | ||||||||||||
Mortgage loansheld-for-sale: | ||||||||||||||||
Residential — FVO | 2,590 | 4.1 | 2,510 | 4.0 | ||||||||||||
Mortgage loans — lower of amortized cost or estimated fair value | 1,150 | 1.8 | 811 | 1.3 | ||||||||||||
Total mortgage loansheld-for-sale | 3,740 | 5.9 | 3,321 | 5.3 | ||||||||||||
Total mortgage loans, net | $ | 62,949 | 100.0 | % | $ | 62,297 | 100.0 | % | ||||||||
41
Table of Contents
Commercial | Agricultural | Residential | Total | |||||||||||||
(In millions) | ||||||||||||||||
September 30, 2011: | ||||||||||||||||
Mortgage loans: | ||||||||||||||||
Evaluated individually for credit losses | $ | 211 | $ | 150 | $ | 7 | $ | 368 | ||||||||
Evaluated collectively for credit losses | 39,909 | 12,817 | 3,417 | 56,143 | ||||||||||||
Total mortgage loans | 40,120 | 12,967 | 3,424 | 56,511 | ||||||||||||
Valuation allowances: | ||||||||||||||||
Specific credit losses | 70 | 46 | 1 | 117 | ||||||||||||
Non-specifically identified credit losses | 358 | 36 | 18 | 412 | ||||||||||||
Total valuation allowances | 428 | 82 | 19 | 529 | ||||||||||||
Mortgage loans, net of valuation allowance | $ | 39,692 | $ | 12,885 | $ | 3,405 | $ | 55,982 | ||||||||
December 31, 2010: | ||||||||||||||||
Mortgage loans: | ||||||||||||||||
Evaluated individually for credit losses | $ | 120 | $ | 146 | $ | 13 | $ | 279 | ||||||||
Evaluated collectively for credit losses | 37,698 | 12,605 | 2,218 | 52,521 | ||||||||||||
Total mortgage loans | 37,818 | 12,751 | 2,231 | 52,800 | ||||||||||||
Valuation allowances: | ||||||||||||||||
Specific credit losses | 36 | 52 | — | 88 | ||||||||||||
Non-specifically identified credit losses | 526 | 36 | 14 | 576 | ||||||||||||
Total valuation allowances | 562 | 88 | 14 | 664 | ||||||||||||
Mortgage loans, net of valuation allowance | $ | 37,256 | $ | 12,663 | $ | 2,217 | $ | 52,136 | ||||||||
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Mortgage Loan Valuation Allowances | ||||||||||||||||
Commercial | Agricultural | Residential | Total | |||||||||||||
(In millions) | ||||||||||||||||
For the Three Months Ended September 30, 2011: | ||||||||||||||||
Balance, beginning of period | $ | 469 | $ | 79 | $ | 18 | $ | 566 | ||||||||
Provision (release) | (41 | ) | 3 | 2 | (36 | ) | ||||||||||
Charge-offs, net of recoveries | — | — | (1 | ) | (1 | ) | ||||||||||
Balance, end of period | $ | 428 | $ | 82 | $ | 19 | $ | 529 | ||||||||
For the Three Months Ended September 30, 2010: | ||||||||||||||||
Balance, beginning of period | $ | 621 | $ | 96 | $ | 17 | $ | 734 | ||||||||
Provision (release) | (27 | ) | 1 | 3 | (23 | ) | ||||||||||
Charge-offs, net of recoveries | (21 | ) | (21 | ) | (3 | ) | (45 | ) | ||||||||
Balance, end of period | $ | 573 | $ | 76 | $ | 17 | $ | 666 | ||||||||
For the Nine Months Ended September 30, 2011: | ||||||||||||||||
Balance, beginning of period | $ | 562 | $ | 88 | $ | 14 | $ | 664 | ||||||||
Provision (release) | (134 | ) | (3 | ) | 7 | (130 | ) | |||||||||
Charge-offs, net of recoveries | — | (3 | ) | (2 | ) | (5 | ) | |||||||||
Balance, end of period | $ | 428 | $ | 82 | $ | 19 | $ | 529 | ||||||||
For the Nine Months Ended September 30, 2010: | ||||||||||||||||
Balance, beginning of period | $ | 589 | $ | 115 | $ | 17 | $ | 721 | ||||||||
Provision (release) | 6 | — | 5 | 11 | ||||||||||||
Charge-offs, net of recoveries | (22 | ) | (39 | ) | (5 | ) | (66 | ) | ||||||||
Balance, end of period | $ | 573 | $ | 76 | $ | 17 | $ | 666 | ||||||||
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Commercial | ||||||||||||||||||||||||||||
Recorded Investment | ||||||||||||||||||||||||||||
Debt Service Coverage Ratios | Estimated | |||||||||||||||||||||||||||
> 1.20x | 1.00x - 1.20x | < 1.00x | Total | % of Total | Fair Value | % of Total | ||||||||||||||||||||||
(In millions) | (In millions) | |||||||||||||||||||||||||||
September 30, 2011: | ||||||||||||||||||||||||||||
Loan-to-value ratios: | ||||||||||||||||||||||||||||
Less than 65% | $ | 22,293 | $ | 438 | $ | 565 | $ | 23,296 | 58.1 | % | $ | 24,587 | 59.2 | % | ||||||||||||||
65% to 75% | 9,243 | 426 | 383 | 10,052 | 25.0 | 10,404 | 25.1 | |||||||||||||||||||||
76% to 80% | 1,848 | 251 | 156 | 2,255 | 5.6 | 2,301 | 5.6 | |||||||||||||||||||||
Greater than 80% | 3,070 | 922 | 525 | 4,517 | 11.3 | 4,183 | 10.1 | |||||||||||||||||||||
Total | $ | 36,454 | $ | 2,037 | $ | 1,629 | $ | 40,120 | 100.0 | % | $ | 41,475 | 100.0 | % | ||||||||||||||
December 31, 2010: | ||||||||||||||||||||||||||||
Loan-to-value ratios: | ||||||||||||||||||||||||||||
Less than 65% | $ | 16,663 | $ | 125 | $ | 483 | $ | 17,271 | 45.7 | % | $ | 18,183 | 46.9 | % | ||||||||||||||
65% to 75% | 9,022 | 765 | 513 | 10,300 | 27.2 | 10,685 | 27.6 | |||||||||||||||||||||
76% to 80% | 3,033 | 304 | 135 | 3,472 | 9.2 | 3,535 | 9.1 | |||||||||||||||||||||
Greater than 80% | 4,155 | 1,813 | 807 | 6,775 | 17.9 | 6,374 | 16.4 | |||||||||||||||||||||
Total | $ | 32,873 | $ | 3,007 | $ | 1,938 | $ | 37,818 | 100.0 | % | $ | 38,777 | 100.0 | % | ||||||||||||||
Agricultural | ||||||||||||||||
September 30, 2011 | December 31, 2010 | |||||||||||||||
Recorded Investment | % of Total | Recorded Investment | % of Total | |||||||||||||
(In millions) | (In millions) | |||||||||||||||
Loan-to-value ratios: | ||||||||||||||||
Less than 65% | $ | 11,818 | 91.1 | % | $ | 11,483 | 90.1 | % | ||||||||
65% to 75% | 740 | 5.7 | 885 | 6.9 | ||||||||||||
76% to 80% | 19 | 0.2 | 48 | 0.4 | ||||||||||||
Greater than 80% | 390 | 3.0 | 335 | 2.6 | ||||||||||||
Total | $ | 12,967 | 100.0 | % | $ | 12,751 | 100.0 | % | ||||||||
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Residential | ||||||||||||||||
September 30, 2011 | December 31, 2010 | |||||||||||||||
Recorded Investment | % of Total | Recorded Investment | % of Total | |||||||||||||
(In millions) | (In millions) | |||||||||||||||
Performance indicators: | ||||||||||||||||
Performing | $ | 3,399 | 99.3 | % | $ | 2,149 | 96.3 | % | ||||||||
Nonperforming | 25 | 0.7 | 82 | 3.7 | ||||||||||||
Total | $ | 3,424 | 100.0 | % | $ | 2,231 | 100.0 | % | ||||||||
Greater than 90 Days Past Due | ||||||||||||||||||||||||
Past Due | Still Accruing Interest | Nonaccrual Status | ||||||||||||||||||||||
September 30, 2011 | December 31, 2010 | September 30, 2011 | December 31, 2010 | September 30, 2011 | December 31, 2010 | |||||||||||||||||||
(In millions) | ||||||||||||||||||||||||
Commercial | $ | 155 | $ | 58 | $ | 115 | $ | 1 | $ | 60 | $ | 7 | ||||||||||||
Agricultural | 141 | 159 | 7 | 13 | 165 | 177 | ||||||||||||||||||
Residential | 33 | 79 | 8 | 11 | 23 | 25 | ||||||||||||||||||
Total | $ | 329 | $ | 296 | $ | 130 | $ | 25 | $ | 248 | $ | 209 | ||||||||||||
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Impaired Mortgage Loans | ||||||||||||||||||||||||||||||||
Loans without | ||||||||||||||||||||||||||||||||
Loans with a Valuation Allowance | a Valuation Allowance | All Impaired Loans | ||||||||||||||||||||||||||||||
Unpaid | Unpaid | Unpaid | ||||||||||||||||||||||||||||||
Principal | Recorded | Valuation | Carrying | Principal | Recorded | Principal | Carrying | |||||||||||||||||||||||||
Balance (1) | Investment | Allowances | Value | Balance (1) | Investment | Balance (1) | Value | |||||||||||||||||||||||||
(In millions) | ||||||||||||||||||||||||||||||||
September 30, 2011: | ||||||||||||||||||||||||||||||||
Commercial | $ | 211 | $ | 211 | $ | 70 | $ | 141 | $ | 240 | $ | 228 | $ | 451 | $ | 369 | ||||||||||||||||
Agricultural | 150 | 150 | 46 | 104 | 84 | 81 | 234 | 185 | ||||||||||||||||||||||||
Residential | 7 | 7 | 1 | 6 | 14 | 14 | 21 | 20 | ||||||||||||||||||||||||
Total | $ | 368 | $ | 368 | $ | 117 | $ | 251 | $ | 338 | $ | 323 | $ | 706 | $ | 574 | ||||||||||||||||
December 31, 2010: | ||||||||||||||||||||||||||||||||
Commercial | $ | 120 | $ | 120 | $ | 36 | $ | 84 | $ | 99 | $ | 87 | $ | 219 | $ | 171 | ||||||||||||||||
Agricultural | 146 | 146 | 52 | 94 | 123 | 119 | 269 | 213 | ||||||||||||||||||||||||
Residential | 3 | 3 | — | 3 | 16 | 16 | 19 | 19 | ||||||||||||||||||||||||
Total | $ | 269 | $ | 269 | $ | 88 | $ | 181 | $ | 238 | $ | 222 | $ | 507 | $ | 403 | ||||||||||||||||
(1) | Unpaid principal balance is generally prior to any charge-offs. |
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Impaired Mortgage Loans | ||||||||||||
Average Investment | Interest Income Recognized | |||||||||||
Cash Basis | Accrual Basis | |||||||||||
(In millions) | ||||||||||||
For the Three Months Ended September 30, 2011: | ||||||||||||
Commercial | $ | 330 | $ | — | $ | — | ||||||
Agricultural | 229 | 1 | — | |||||||||
Residential | 17 | — | — | |||||||||
Total | $ | 576 | $ | 1 | $ | — | ||||||
For the Three Months Ended September 30, 2010: | ||||||||||||
Commercial | $ | 148 | $ | — | $ | — | ||||||
Agricultural | 286 | — | 1 | |||||||||
Residential | 18 | — | — | |||||||||
Total | $ | 452 | $ | — | $ | 1 | ||||||
For the Nine Months Ended September 30, 2011: | ||||||||||||
Commercial | $ | 308 | $ | 1 | $ | — | ||||||
Agricultural | 258 | 3 | 1 | |||||||||
Residential | 26 | — | — | |||||||||
Total | $ | 592 | $ | 4 | $ | 1 | ||||||
For the Nine Months Ended September 30, 2010: | ||||||||||||
Commercial | $ | 147 | $ | 4 | $ | 1 | ||||||
Agricultural | 288 | 3 | 1 | |||||||||
Residential | 15 | — | — | |||||||||
Total | $ | 450 | $ | 7 | $ | 2 | ||||||
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Mortgage Loans Modified in a Troubled Debt | ||||||||||||
Restructuring | ||||||||||||
September 30,2011 | ||||||||||||
Number of | ||||||||||||
Mortgage | Carrying Value after Specific | |||||||||||
Loans | Valuation Allowance | |||||||||||
Pre- | Post- | |||||||||||
Modification | Modification | |||||||||||
(In millions) | ||||||||||||
Commercial | 5 | $ | 147 | $ | 109 | |||||||
Agricultural | 9 | 36 | 37 | |||||||||
Residential | 3 | 1 | 1 | |||||||||
Total | 17 | $ | 184 | $ | 147 | |||||||
Fixed Maturity Securities | Mortgage Loans | |||||||||||||||
September 30, 2011 | December 31, 2010 | September 30, 2011 | December 31, 2010 | |||||||||||||
(In millions) | ||||||||||||||||
Outstanding principal and interest balance (1) | $ | 3,685 | $ | 1,548 | $ | 542 | $ | 504 | ||||||||
Carrying value (2) | $ | 2,536 | $ | 1,050 | $ | 225 | $ | 195 |
(1) | Represents the contractually required payments which is the sum of contractual principal, whether or not currently due, and accrued interest. |
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(2) | Estimated fair value plus accrued interest for fixed maturity securities and amortized cost, plus accrued interest, less any valuation allowances, for mortgage loans. |
Fixed Maturity Securities | Mortgage Loans | |||||||||||||||
Nine Months | Nine Months | |||||||||||||||
Ended | Ended | |||||||||||||||
September 30, | September 30, | |||||||||||||||
2011 | 2010 | 2011 | 2010 | |||||||||||||
(In millions) | ||||||||||||||||
Contractually required payments (including interest) | $ | 3,528 | $ | 1,544 | $ | — | $ | — | ||||||||
Cash flows expected to be collected (1) | $ | 3,275 | $ | 1,479 | $ | — | $ | — | ||||||||
Fair value of investments acquired | $ | 1,816 | $ | 889 | $ | — | $ | — |
(1) | Represents undiscounted principal and interest cash flow expectations at the date of acquisition. |
Fixed Maturity Securities | Mortgage Loans | |||||||||||||||||||||||||||||||
Three Months | Nine Months | Three Months | Nine Months | |||||||||||||||||||||||||||||
Ended | Ended | Ended | Ended | |||||||||||||||||||||||||||||
September 30, | September 30, | September 30, | September 30, | |||||||||||||||||||||||||||||
2011 | 2010 | 2011 | 2010 | 2011 | 2010 | 2011 | 2010 | |||||||||||||||||||||||||
(In millions) | ||||||||||||||||||||||||||||||||
Accretable yield, beginning of period | $ | 1,891 | $ | 369 | $ | 541 | $ | — | $ | 258 | $ | — | $ | 170 | $ | — | ||||||||||||||||
Investments purchased | 238 | 202 | 1,459 | 590 | — | — | — | — | ||||||||||||||||||||||||
Accretion recognized in net investment income | (23 | ) | (27 | ) | (72 | ) | (34 | ) | (6 | ) | — | (38 | ) | — | ||||||||||||||||||
Disposals | — | — | (69 | ) | — | — | — | — | — | |||||||||||||||||||||||
Reclassification (to) from nonaccretable difference | 68 | (41 | ) | 315 | (53 | ) | 17 | — | 137 | — | ||||||||||||||||||||||
Accretable yield, end of period | $ | 2,174 | $ | 503 | $ | 2,174 | $ | 503 | $ | 269 | $ | — | $ | 269 | $ | — | ||||||||||||||||
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September 30, 2011 | December 31, 2010 | |||||||||||||||
Total | Total | Total | Total | |||||||||||||
Assets | Liabilities | Assets | Liabilities | |||||||||||||
(In millions) | ||||||||||||||||
Consolidated securitization entities (1) | $ | 3,397 | $ | 3,204 | $ | 7,114 | $ | 6,892 | ||||||||
MRSC collateral financing arrangement (2) | 3,317 | — | 3,333 | — | ||||||||||||
Other limited partnership interests | 343 | 7 | 319 | 85 | ||||||||||||
Trading and other securities | 181 | — | 186 | — | ||||||||||||
Other invested assets | 102 | 1 | 108 | 1 | ||||||||||||
Real estate joint ventures | 13 | 19 | 20 | 17 | ||||||||||||
Total | $ | 7,353 | $ | 3,231 | $ | 11,080 | $ | 6,995 | ||||||||
(1) | The Company consolidates former qualified special purpose entities (“QSPEs”) that are structured as CMBS and former QSPEs that are structured as collateralized debt obligations. The assets of these entities can only be used to settle their respective liabilities, and under no circumstances is the Company or any of its subsidiaries or affiliates liable for any principal or interest shortfalls should any arise. The Company’s exposure was limited to that of its remaining investment in the former QSPEs of $170 million and $201 million at estimated fair value at September 30, 2011 and December 31, 2010, respectively. The long-term debt referred to below bears interest at primarily fixed rates ranging from 2.25% to 5.57%, payable primarily on a monthly basis and is expected to be repaid over the next six years. Interest expense related to these obligations, included in other expenses, was $97 million and $281 million for the three months and nine months ended September 30, 2011, respectively, and $103 million and $312 million for the three months and nine months ended September 30, 2010, respectively. The Company sold certain of these CMBS investments in the third quarter of 2011, resulting in the |
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deconsolidation of such entities and their related mortgage loansheld-for-investment and long-term debt. The assets and liabilities of these CSEs, at estimated fair value, were as follows at: |
September 30, 2011 | December 31, 2010 | |||||||
(In millions) | ||||||||
Assets: | ||||||||
Mortgage loansheld-for-investment (commercial mortgage loans) | $ | 3,227 | $ | 6,840 | ||||
Trading and other securities | 140 | 201 | ||||||
Accrued investment income | 17 | 34 | ||||||
Cash and cash equivalents | 13 | 39 | ||||||
Total assets | $ | 3,397 | $ | 7,114 | ||||
Liabilities: | ||||||||
Long-term debt | $ | 3,157 | $ | 6,820 | ||||
Other liabilities | 47 | 72 | ||||||
Total liabilities | $ | 3,204 | $ | 6,892 | ||||
(2) | See Note 12 of the Notes to the Consolidated Financial Statements included in the 2010 Annual Report for a description of the MetLife Reinsurance Company of South Carolina (“MRSC”) collateral financing arrangement. These assets consist of the following, at estimated fair value, at: |
September 30, 2011 | December 31, 2010 | |||||||
(In millions) | ||||||||
Fixed maturity securitiesavailable-for-sale: | ||||||||
ABS | $ | 1,391 | $ | 1,333 | ||||
U.S. corporate securities | 787 | 893 | ||||||
RMBS | 522 | 547 | ||||||
CMBS | 399 | 383 | ||||||
Foreign corporate securities | 126 | 139 | ||||||
State and political subdivision securities | 40 | 30 | ||||||
Foreign government securities | — | 5 | ||||||
Mortgage loans | 50 | — | ||||||
Cash and cash equivalents | 2 | 3 | ||||||
Total | $ | 3,317 | $ | 3,333 | ||||
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September 30, 2011 | December 31, 2010 | |||||||||||||||
Maximum | Maximum | |||||||||||||||
Carrying | Exposure | Carrying | Exposure | |||||||||||||
Amount | to Loss (1) | Amount | to Loss (1) | |||||||||||||
(In millions) | ||||||||||||||||
Fixed maturity securitiesavailable-for-sale: | ||||||||||||||||
RMBS (2) | $ | 41,893 | $ | 41,893 | $ | 44,733 | $ | 44,733 | ||||||||
CMBS (2) | 19,585 | 19,585 | 20,675 | 20,675 | ||||||||||||
ABS (2) | 14,418 | 14,418 | 14,287 | 14,287 | ||||||||||||
U.S. corporate securities | 2,978 | 2,978 | 2,435 | 2,435 | ||||||||||||
Foreign corporate securities | 2,252 | 2,252 | 2,950 | 2,950 | ||||||||||||
Other limited partnership interests | 4,419 | 6,166 | 4,383 | 6,479 | ||||||||||||
Trading and other securities | 737 | 737 | 789 | 789 | ||||||||||||
Other invested assets | 624 | 1,206 | 576 | 773 | ||||||||||||
Mortgage loans | 513 | 513 | 350 | 350 | ||||||||||||
Real estate joint ventures | 65 | 83 | 40 | 108 | ||||||||||||
Total | $ | 87,484 | $ | 89,831 | $ | 91,218 | $ | 93,579 | ||||||||
(1) | The maximum exposure to loss relating to the fixed maturity and trading and other securities is equal to the carrying amounts or carrying amounts of retained interests. The maximum exposure to loss relating to the other limited partnership interests and real estate joint ventures is equal to the carrying amounts plus any unfunded commitments of the Company. Such a maximum loss would be expected to occur only upon bankruptcy of the issuer or investee. The maximum exposure to loss relating to mortgage loans is equal to the carrying amounts plus any unfunded commitments of the Company. For certain of its investments in other invested assets, the Company’s return is in the form of income tax credits which are guaranteed by a creditworthy third party. For such investments, the maximum exposure to loss is equal to the carrying amounts plus any unfunded commitments, reduced by income tax credits guaranteed by third parties of $281 million and $231 million at September 30, 2011 and December 31, 2010, respectively. | |
(2) | For these variable interests, the Company’s involvement is limited to that of a passive investor. |
4. | Derivative Financial Instruments |
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September 30, 2011 | December 31, 2010 | |||||||||||||||||||||||||
Estimated Fair | Estimated Fair | |||||||||||||||||||||||||
Primary Underlying | Notional | Value (1) | Notional | Value (1) | ||||||||||||||||||||||
Risk Exposure | Instrument Type | Amount | Assets | Liabilities | Amount | Assets | Liabilities | |||||||||||||||||||
(In millions) | ||||||||||||||||||||||||||
Interest rate | Interest rate swaps | $ | 72,828 | $ | 7,717 | $ | 2,092 | $ | 54,803 | $ | 2,654 | $ | 1,516 | |||||||||||||
Interest rate floors | 23,866 | 1,231 | 165 | 23,866 | 630 | 66 | ||||||||||||||||||||
Interest rate caps | 38,727 | 70 | — | 35,412 | 176 | 1 | ||||||||||||||||||||
Interest rate futures | 15,429 | 16 | 28 | 9,385 | 43 | 17 | ||||||||||||||||||||
Interest rate options | 18,088 | 1,100 | 20 | 8,761 | 144 | 23 | ||||||||||||||||||||
Interest rate forwards | 16,812 | 300 | 94 | 10,374 | 106 | 135 | ||||||||||||||||||||
Synthetic GICs | 4,420 | — | — | 4,397 | — | — | ||||||||||||||||||||
Foreign currency | Foreign currency swaps | 16,823 | 1,311 | 1,042 | 17,626 | 1,616 | 1,282 | |||||||||||||||||||
Foreign currency forwards | 10,029 | 361 | 54 | 10,443 | 119 | 91 | ||||||||||||||||||||
Currency futures | 633 | 1 | 1 | 493 | 2 | — | ||||||||||||||||||||
Currency options | 2,502 | 13 | — | 5,426 | 50 | — | ||||||||||||||||||||
Non-derivative hedging instruments (2) | — | — | — | 169 | — | 185 | ||||||||||||||||||||
Credit | Credit default swaps | 13,450 | 383 | 173 | 10,957 | 173 | 104 | |||||||||||||||||||
Credit forwards | 20 | 3 | — | 90 | 2 | 3 | ||||||||||||||||||||
Equity market | Equity futures | 6,845 | 163 | 19 | 8,794 | 21 | 9 | |||||||||||||||||||
Equity options | 17,413 | 3,207 | 204 | 33,688 | 1,843 | 1,197 | ||||||||||||||||||||
Variance swaps | 19,394 | 377 | 67 | 18,022 | 198 | 118 | ||||||||||||||||||||
Total rate of return swaps | 1,612 | 31 | — | 1,547 | — | — | ||||||||||||||||||||
Total | $ | 278,891 | $ | 16,284 | $ | 3,959 | $ | 254,253 | $ | 7,777 | $ | 4,747 | ||||||||||||||
(1) | The estimated fair value of all derivatives in an asset position is reported within other invested assets in the consolidated balance sheets and the estimated fair value of all derivatives in a liability position is reported within other liabilities in the consolidated balance sheets. | |
(2) | The estimated fair value of non-derivative hedging instruments represents the amortized cost of the instruments, as adjusted for foreign currency transaction gains or losses. Non-derivative hedging instruments are reported within policyholder account balances in the consolidated balance sheets. |
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September 30, 2011 | December 31, 2010 | |||||||||||||||||||||||
Notional | Estimated Fair Value | Notional | Estimated Fair Value | |||||||||||||||||||||
Derivatives Designated as Hedging Instruments | Amount | Assets | Liabilities | Amount | Assets | Liabilities | ||||||||||||||||||
(In millions) | ||||||||||||||||||||||||
Fair value hedges: | ||||||||||||||||||||||||
Foreign currency swaps | $ | 3,241 | $ | 535 | $ | 97 | $ | 4,524 | $ | 907 | $ | 145 | ||||||||||||
Interest rate swaps | 5,155 | 1,830 | 104 | 5,108 | 823 | 169 | ||||||||||||||||||
Subtotal | 8,396 | 2,365 | 201 | 9,632 | 1,730 | 314 | ||||||||||||||||||
Cash flow hedges: | ||||||||||||||||||||||||
Foreign currency swaps | 6,428 | 420 | 282 | 5,556 | 213 | 347 | ||||||||||||||||||
Interest rate swaps | 3,380 | 918 | — | 3,562 | 102 | 116 | ||||||||||||||||||
Interest rate forwards | 1,010 | 204 | — | 1,140 | — | 107 | ||||||||||||||||||
Credit forwards | 20 | 3 | — | 90 | 2 | 3 | ||||||||||||||||||
Subtotal | 10,838 | 1,545 | 282 | 10,348 | 317 | 573 | ||||||||||||||||||
Foreign operations hedges: | ||||||||||||||||||||||||
Foreign currency forwards | 1,915 | 147 | 1 | 1,935 | 9 | 26 | ||||||||||||||||||
Non-derivative hedging instruments | — | — | — | 169 | — | 185 | ||||||||||||||||||
Subtotal | 1,915 | 147 | 1 | 2,104 | 9 | 211 | ||||||||||||||||||
Total qualifying hedges | $ | 21,149 | $ | 4,057 | $ | 484 | $ | 22,084 | $ | 2,056 | $ | 1,098 | ||||||||||||
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September 30, 2011 | December 31, 2010 | |||||||||||||||||||||||
Derivatives Not Designated or Not | Notional | Estimated Fair Value | Notional | Estimated Fair Value | ||||||||||||||||||||
Qualifying as Hedging Instruments | Amount | Assets | Liabilities | Amount | Assets | Liabilities | ||||||||||||||||||
(In millions) | ||||||||||||||||||||||||
Interest rate swaps | $ | 64,293 | $ | 4,969 | $ | 1,988 | $ | 46,133 | $ | 1,729 | $ | 1,231 | ||||||||||||
Interest rate floors | 23,866 | 1,231 | 165 | 23,866 | 630 | 66 | ||||||||||||||||||
Interest rate caps | 38,727 | 70 | — | 35,412 | 176 | 1 | ||||||||||||||||||
Interest rate futures | 15,429 | 16 | 28 | 9,385 | 43 | 17 | ||||||||||||||||||
Interest rate options | 18,088 | 1,100 | 20 | 8,761 | 144 | 23 | ||||||||||||||||||
Interest rate forwards | 15,802 | 96 | 94 | 9,234 | 106 | 28 | ||||||||||||||||||
Synthetic GICs | 4,420 | — | — | 4,397 | — | — | ||||||||||||||||||
Foreign currency swaps | 7,154 | 356 | 663 | 7,546 | 496 | 790 | ||||||||||||||||||
Foreign currency forwards | 8,114 | 214 | 53 | 8,508 | 110 | 65 | ||||||||||||||||||
Currency futures | 633 | 1 | 1 | 493 | 2 | — | ||||||||||||||||||
Currency options | 2,502 | 13 | — | 5,426 | 50 | — | ||||||||||||||||||
Credit default swaps | 13,450 | 383 | 173 | 10,957 | 173 | 104 | ||||||||||||||||||
Equity futures | 6,845 | 163 | 19 | 8,794 | 21 | 9 | ||||||||||||||||||
Equity options | 17,413 | 3,207 | 204 | 33,688 | 1,843 | 1,197 | ||||||||||||||||||
Variance swaps | 19,394 | 377 | 67 | 18,022 | 198 | 118 | ||||||||||||||||||
Total rate of return swaps | 1,612 | 31 | — | 1,547 | — | — | ||||||||||||||||||
Total non-designated or non-qualifying derivatives | $ | 257,742 | $ | 12,227 | $ | 3,475 | $ | 232,169 | $ | 5,721 | $ | 3,649 | ||||||||||||
Three Months | Nine Months | |||||||||||||||
Ended | Ended | |||||||||||||||
September 30, | September 30, | |||||||||||||||
2011 | 2010 | 2011 | 2010 | |||||||||||||
(In millions) | ||||||||||||||||
Derivatives and hedging gains (losses) (1) | $ | 6,504 | $ | (327 | ) | $ | 5,992 | $ | 2,872 | |||||||
Embedded derivatives | (2,308 | ) | 83 | (1,759 | ) | (1,594 | ) | |||||||||
Total net derivative gains (losses) | $ | 4,196 | $ | (244 | ) | $ | 4,233 | $ | 1,278 | |||||||
(1) | Includes foreign currency transaction gains (losses) on hedged items in cash flow and non-qualifying hedge relationships, which are not presented elsewhere in this note. |
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Three Months | Nine Months | |||||||||||||||
Ended | Ended | |||||||||||||||
September 30, | September 30, | |||||||||||||||
2011 | 2010 | 2011 | 2010 | |||||||||||||
(In millions) | ||||||||||||||||
Qualifying hedges: | ||||||||||||||||
Net investment income | $ | 28 | $ | 17 | $ | 70 | $ | 58 | ||||||||
Interest credited to policyholder account balances | 51 | 64 | 169 | 177 | ||||||||||||
Other expenses | (1 | ) | (1 | ) | (2 | ) | (5 | ) | ||||||||
Non-qualifying hedges: | ||||||||||||||||
Net investment income | (2 | ) | (1 | ) | (6 | ) | (3 | ) | ||||||||
Other revenues | 22 | 25 | 55 | 81 | ||||||||||||
Net derivative gains (losses) | 352 | (30 | ) | 357 | 143 | |||||||||||
Policyholder benefits and claims | 19 | — | 19 | — | ||||||||||||
Total | $ | 469 | $ | 74 | $ | 662 | $ | 451 | ||||||||
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Net Derivative | Net Derivative | Ineffectiveness | ||||||||||||
Gains (Losses) | Gains (Losses) | Recognized in | ||||||||||||
Derivatives in Fair Value | Hedged Items in Fair Value | Recognized | Recognized for | Net Derivative | ||||||||||
Hedging Relationships | Hedging Relationships | for Derivatives | Hedged Items | Gains (Losses) | ||||||||||
(In millions) | ||||||||||||||
For the Three Months Ended September 30, 2011: | ||||||||||||||
Interest rate swaps: | Fixed maturity securities | $ | (26 | ) | $ | 22 | $ | (4 | ) | |||||
Policyholder account balances (1) | 957 | (944 | ) | 13 | ||||||||||
Foreign currency swaps: | Foreign-denominated fixed maturity securities | 1 | (1 | ) | — | |||||||||
Foreign-denominated policyholder account balances (2) | (221 | ) | 189 | (32 | ) | |||||||||
Total | $ | 711 | $ | (734 | ) | $ | (23 | ) | ||||||
For the Three Months Ended September 30, 2010: | ||||||||||||||
Interest rate swaps: | Fixed maturity securities | $ | (13 | ) | $ | 13 | $ | — | ||||||
Policyholder account balances (1) | 212 | (221 | ) | (9 | ) | |||||||||
Foreign currency swaps: | Foreign-denominated fixed maturity securities | (5 | ) | 5 | — | |||||||||
Foreign-denominated policyholder account balances (2) | 415 | (395 | ) | 20 | ||||||||||
Total | $ | 609 | $ | (598 | ) | $ | 11 | |||||||
For the Nine Months Ended September 30, 2011: | ||||||||||||||
Interest rate swaps: | Fixed maturity securities | $ | (31 | ) | $ | 27 | $ | (4 | ) | |||||
Policyholder account balances (1) | 1,000 | (978 | ) | 22 | ||||||||||
Foreign currency swaps: | Foreign-denominated fixed maturity securities | — | — | — | ||||||||||
Foreign-denominated policyholder account balances (2) | 14 | (53 | ) | (39 | ) | |||||||||
Total | $ | 983 | $ | (1,004 | ) | $ | (21 | ) | ||||||
For the Nine Months Ended September 30, 2010: | ||||||||||||||
Interest rate swaps: | Fixed maturity securities | $ | (38 | ) | $ | 38 | $ | — | ||||||
Policyholder account balances (1) | 678 | (675 | ) | 3 | ||||||||||
Foreign currency swaps: | Foreign-denominated fixed maturity securities | 11 | (12 | ) | (1 | ) | ||||||||
Foreign-denominated policyholder account balances (2) | 47 | (51 | ) | (4 | ) | |||||||||
Total | $ | 698 | $ | (700 | ) | $ | (2 | ) | ||||||
(1) | Fixed rate liabilities. | |
(2) | Fixed rate or floating rate liabilities. |
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Three Months | Nine Months | |||||||||||||||
Ended | Ended | |||||||||||||||
September 30, | September 30, | |||||||||||||||
2011 | 2010 | 2011 | 2010 | |||||||||||||
(In millions) | ||||||||||||||||
Accumulated other comprehensive income (loss), balance at beginning of period | $ | (165 | ) | $ | 593 | $ | (59 | ) | $ | (76 | ) | |||||
Gains (losses) deferred in other comprehensive income (loss) on the effective portion of cash flow hedges | 1,630 | (40 | ) | 1,527 | 577 | |||||||||||
Amounts reclassified to net derivative gains (losses) | 17 | (1 | ) | 9 | 50 | |||||||||||
Amounts reclassified to net investment income | 1 | 1 | 2 | 3 | ||||||||||||
Amounts reclassified to other expenses | 3 | — | 7 | (1 | ) | |||||||||||
Accumulated other comprehensive income (loss), balance at end of period | $ | 1,486 | $ | 553 | $ | 1,486 | $ | 553 | ||||||||
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Amount of Gains | Amount and Location | |||||||||||||||||||||||
(Losses) Deferred | of Gains (Losses) | Amount and Location | ||||||||||||||||||||||
in Accumulated Other | Reclassified from | of Gains (Losses) | ||||||||||||||||||||||
Derivatives in Cash Flow | Comprehensive Income | Accumulated Other Comprehensive | Recognized in Income (Loss) | |||||||||||||||||||||
Hedging Relationships | (Loss) on Derivatives | Income (Loss) into Income (Loss) | on Derivatives | |||||||||||||||||||||
(Ineffective Portion and | ||||||||||||||||||||||||
Amount Excluded from | ||||||||||||||||||||||||
(Effective Portion) | (Effective Portion) | Effectiveness Testing) | ||||||||||||||||||||||
Net Derivative | Net Investment | Other | Net Derivative | Net Investment | ||||||||||||||||||||
Gains (Losses) | Income | Expenses | Gains (Losses) | Income | ||||||||||||||||||||
(In millions) | ||||||||||||||||||||||||
For the Three Months Ended September 30, 2011: | ||||||||||||||||||||||||
Interest rate swaps | $ | 927 | $ | (42 | ) | $ | — | $ | (3 | ) | $ | (1 | ) | $ | — | |||||||||
Foreign currency swaps | 399 | 25 | (2 | ) | — | 5 | — | |||||||||||||||||
Interest rate forwards | 289 | (1 | ) | — | — | 27 | — | |||||||||||||||||
Credit forwards | 15 | 1 | 1 | — | — | — | ||||||||||||||||||
Total | $ | 1,630 | $ | (17 | ) | $ | (1 | ) | $ | (3 | ) | $ | 31 | $ | — | |||||||||
For the Three Months Ended September 30, 2010: | ||||||||||||||||||||||||
Interest rate swaps | $ | 181 | $ | — | $ | — | $ | — | $ | 1 | $ | — | ||||||||||||
Foreign currency swaps | (247 | ) | 1 | (2 | ) | — | (3 | ) | — | |||||||||||||||
Interest rate forwards | 15 | — | 1 | — | — | — | ||||||||||||||||||
Credit forwards | 11 | — | — | — | — | — | ||||||||||||||||||
Total | $ | (40 | ) | $ | 1 | $ | (1 | ) | $ | — | $ | (2 | ) | $ | — | |||||||||
For the Nine Months Ended September 30, 2011: | ||||||||||||||||||||||||
Interest rate swaps | $ | 944 | $ | (41 | ) | $ | 1 | $ | (7 | ) | $ | 1 | $ | — | ||||||||||
Foreign currency swaps | 259 | 10 | (5 | ) | 1 | 3 | — | |||||||||||||||||
Interest rate forwards | 307 | 21 | 1 | (1 | ) | 16 | — | |||||||||||||||||
Credit forwards | 17 | 1 | 1 | — | — | — | ||||||||||||||||||
Total | $ | 1,527 | $ | (9 | ) | $ | (2 | ) | $ | (7 | ) | $ | 20 | $ | — | |||||||||
For the Nine Months Ended September 30, 2010: | ||||||||||||||||||||||||
Interest rate swaps | $ | 457 | $ | — | $ | — | $ | — | $ | 3 | $ | — | ||||||||||||
Foreign currency swaps | 92 | (61 | ) | (5 | ) | 1 | — | — | ||||||||||||||||
Interest rate forwards | — | 11 | 2 | — | — | — | ||||||||||||||||||
Credit forwards | 28 | — | — | — | — | — | ||||||||||||||||||
Total | $ | 577 | $ | (50 | ) | $ | (3 | ) | $ | 1 | $ | 3 | $ | — | ||||||||||
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Amount and Location | ||||||||
of Gains (Losses) | ||||||||
Reclassified From Accumulated Other | ||||||||
Amount of Gains (Losses) | Comprehensive Income | |||||||
Deferred in Accumulated | (Loss) into Income (Loss) | |||||||
Derivatives and Non-Derivative Hedging Instruments in Net | Other Comprehensive Income (Loss) | (Effective Portion) | ||||||
Investment Hedging Relationships (1), (2) | (Effective Portion) | Net Investment Gains (Losses) | ||||||
(In millions) | ||||||||
For the Three Months Ended September 30, 2011: | ||||||||
Foreign currency forwards | $ | 185 | $ | — | ||||
Non-derivative hedging instruments | — | — | ||||||
Total | $ | 185 | $ | — | ||||
For the Three Months Ended September 30, 2010: | ||||||||
Foreign currency forwards | $ | (162 | ) | $ | — | |||
Non-derivative hedging instruments | (10 | ) | — | |||||
Total | $ | (172 | ) | $ | — | |||
For the Nine Months Ended September 30, 2011: | ||||||||
Foreign currency forwards | $ | 72 | $ | — | ||||
Non-derivative hedging instruments | 6 | — | ||||||
Total | $ | 78 | $ | — | ||||
For the Nine Months Ended September 30, 2010: | ||||||||
Foreign currency forwards | $ | (135 | ) | $ | — | |||
Non-derivative hedging instruments | (10 | ) | — | |||||
Total | $ | (145 | ) | $ | — | |||
(1) | During the nine months ended September 30, 2011, the Company sold its interest in its Japanese joint venture, which was a hedged item in a net investment hedging relationship. See Note 2. As a result, the Company released losses of $71 million from accumulated other comprehensive income (loss) upon the sale. This release did not impact net income for the nine months ended September 30, 2011 as such losses were considered in the overall impairment evaluation of the investment prior to sale. During the three months and nine months ended September 30, 2010, there were no sales or substantial liquidations of net investments in foreign operations that |
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would have required the reclassification of gains or losses from accumulated other comprehensive income (loss) into earnings. | ||
(2) | There was no ineffectiveness recognized for the Company’s hedges of net investments in foreign operations. |
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Net | Net | Policyholder | ||||||||||||||||||
Derivative | Investment | Benefits and | Other | Other | ||||||||||||||||
Gains (Losses) | Income (1) | Claims (2) | Revenues (3) | Expenses (4) | ||||||||||||||||
(In millions) | ||||||||||||||||||||
For the Three Months Ended September 30, 2011: | ||||||||||||||||||||
Interest rate swaps | $ | 1,805 | $ | — | $ | — | $ | 321 | $ | — | ||||||||||
Interest rate floors | 521 | — | — | — | — | |||||||||||||||
Interest rate caps | (127 | ) | — | — | — | — | ||||||||||||||
Interest rate futures | 43 | — | — | (5 | ) | — | ||||||||||||||
Equity futures | 338 | (12 | ) | 314 | — | — | ||||||||||||||
Foreign currency swaps | 272 | — | — | — | — | |||||||||||||||
Foreign currency forwards | 406 | — | — | — | — | |||||||||||||||
Currency futures | 28 | — | — | — | — | |||||||||||||||
Currency options | (18 | ) | — | — | — | — | ||||||||||||||
Equity options | 1,432 | 5 | — | — | — | |||||||||||||||
Interest rate options | 962 | — | — | 27 | — | |||||||||||||||
Interest rate forwards | (5 | ) | — | — | (49 | ) | — | |||||||||||||
Variance swaps | 325 | — | — | — | — | |||||||||||||||
Credit default swaps | 163 | 15 | — | — | — | |||||||||||||||
Total rate of return swaps | 27 | — | 5 | — | — | |||||||||||||||
Total | $ | 6,172 | $ | 8 | $ | 319 | $ | 294 | $ | — | ||||||||||
For the Three Months Ended September 30, 2010: | ||||||||||||||||||||
Interest rate swaps | $ | 518 | $ | 2 | $ | — | $ | 138 | $ | — | ||||||||||
Interest rate floors | 227 | — | — | — | — | |||||||||||||||
Interest rate caps | (50 | ) | — | — | — | — | ||||||||||||||
Interest rate futures | 74 | (2 | ) | — | (1 | ) | — | |||||||||||||
Equity futures | 23 | (15 | ) | (195 | ) | — | — | |||||||||||||
Foreign currency swaps | (272 | ) | — | — | — | — | ||||||||||||||
Foreign currency forwards | (56 | ) | 2 | — | — | — | ||||||||||||||
Currency options | (12 | ) | — | — | — | — | ||||||||||||||
Equity options | (553 | ) | (23 | ) | — | — | — | |||||||||||||
Interest rate options | 9 | — | — | (3 | ) | — | ||||||||||||||
Interest rate forwards | 1 | — | — | (8 | ) | — | ||||||||||||||
Variance swaps | (166 | ) | (3 | ) | — | — | — | |||||||||||||
Credit default swaps | 10 | (2 | ) | — | — | — | ||||||||||||||
Total rate of return swaps | 29 | — | — | — | — | |||||||||||||||
Total | $ | (218 | ) | $ | (41 | ) | $ | (195 | ) | $ | 126 | $ | — | |||||||
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Net | Net | Policyholder | ||||||||||||||||||
Derivative | Investment | Benefits and | Other | Other | ||||||||||||||||
Gains (Losses) | Income (1) | Claims (2) | Revenues (3) | Expenses (4) | ||||||||||||||||
(In millions) | ||||||||||||||||||||
For the Nine Months Ended September 30, 2011: | ||||||||||||||||||||
Interest rate swaps | $ | 2,179 | $ | (2 | ) | $ | — | $ | 345 | $ | — | |||||||||
Interest rate floors | 503 | — | — | — | — | |||||||||||||||
Interest rate caps | (209 | ) | — | — | — | — | ||||||||||||||
Interest rate futures | (6 | ) | 1 | — | (9 | ) | — | |||||||||||||
Equity futures | 393 | (9 | ) | 206 | — | — | ||||||||||||||
Foreign currency swaps | 80 | — | — | — | — | |||||||||||||||
Foreign currency forwards | 266 | (9 | ) | — | — | — | ||||||||||||||
Currency futures | 37 | — | — | — | — | |||||||||||||||
Currency options | (63 | ) | — | — | — | — | ||||||||||||||
Equity options | 1,065 | (6 | ) | — | — | — | ||||||||||||||
Interest rate options | 948 | — | — | 24 | — | |||||||||||||||
Interest rate forwards | (5 | ) | — | — | (88 | ) | — | |||||||||||||
Variance swaps | 234 | (3 | ) | — | — | — | ||||||||||||||
Credit default swaps | 149 | 14 | — | — | — | |||||||||||||||
Total rate of return swaps | 26 | — | 5 | — | — | |||||||||||||||
Total | $ | 5,597 | $ | (14 | ) | $ | 211 | $ | 272 | $ | — | |||||||||
For the Nine Months Ended September 30, 2010: | ||||||||||||||||||||
Interest rate swaps | $ | 1,561 | $ | 5 | $ | 39 | $ | 394 | $ | — | ||||||||||
Interest rate floors | 501 | — | — | — | — | |||||||||||||||
Interest rate caps | (261 | ) | — | — | — | — | ||||||||||||||
Interest rate futures | 141 | (8 | ) | — | (4 | ) | — | |||||||||||||
Equity futures | (146 | ) | (5 | ) | (124 | ) | — | — | ||||||||||||
Foreign currency swaps | 74 | — | — | — | — | |||||||||||||||
Foreign currency forwards | 269 | 40 | — | — | — | |||||||||||||||
Currency options | 5 | (1 | ) | — | — | (4 | ) | |||||||||||||
Equity options | 431 | 14 | — | — | — | |||||||||||||||
Interest rate options | 59 | — | — | (4 | ) | — | ||||||||||||||
Interest rate forwards | 9 | — | — | (94 | ) | — | ||||||||||||||
Variance swaps | 164 | 5 | — | — | — | |||||||||||||||
Credit default swaps | 25 | 1 | — | — | — | |||||||||||||||
Total rate of return swaps | 10 | — | — | — | — | |||||||||||||||
Total | $ | 2,842 | $ | 51 | $ | (85 | ) | $ | 292 | $ | (4 | ) | ||||||||
(1) | Changes in estimated fair value related to economic hedges of equity method investments in joint ventures; changes in estimated fair value related to derivatives held in relation to trading portfolios; and changes in estimated fair value related to derivatives held within contractholder-directed unit-linked investments. | |
(2) | Changes in estimated fair value related to economic hedges of variable annuity guarantees included in future policy benefits. | |
(3) | Changes in estimated fair value related to derivatives held in connection with the Company’s mortgage banking activities. |
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(4) | Changes in estimated fair value related to economic hedges of foreign currency exposure associated with the Company’s international subsidiaries. |
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September 30, 2011 | December 31, 2010 | |||||||||||||||||||||||
Maximum | Maximum | |||||||||||||||||||||||
Estimated | Amount | Estimated | Amount | |||||||||||||||||||||
Fair Value | of Future | Weighted | Fair Value | of Future | Weighted | |||||||||||||||||||
of Credit | Payments under | Average | of Credit | Payments under | Average | |||||||||||||||||||
Rating Agency Designation of Referenced | Default | Credit Default | Years to | Default | Credit Default | Years to | ||||||||||||||||||
Credit Obligations (1) | Swaps | Swaps (2) | Maturity (3) | Swaps | Swaps (2) | Maturity (3) | ||||||||||||||||||
(In millions) | (In millions) | |||||||||||||||||||||||
Aaa/Aa/A | ||||||||||||||||||||||||
Single name credit default swaps (corporate) | $ | 3 | $ | 820 | 3.7 | $ | 5 | $ | 470 | 3.8 | ||||||||||||||
Credit default swaps referencing indices | (32 | ) | 2,813 | 3.2 | 45 | 2,928 | 3.7 | |||||||||||||||||
Subtotal | (29 | ) | 3,633 | 3.4 | 50 | 3,398 | 3.7 | |||||||||||||||||
Baa | ||||||||||||||||||||||||
Single name credit default swaps (corporate) | (34 | ) | 1,320 | 4.3 | 5 | 735 | 4.3 | |||||||||||||||||
Credit default swaps referencing indices | (54 | ) | 2,772 | 5.1 | 7 | 931 | 5.0 | |||||||||||||||||
Subtotal | (88 | ) | 4,092 | 4.8 | 12 | 1,666 | 4.7 | |||||||||||||||||
Ba | ||||||||||||||||||||||||
Single name credit default swaps (corporate) | (1 | ) | 30 | 3.9 | — | 25 | 4.4 | |||||||||||||||||
Credit default swaps referencing indices | — | — | — | — | — | — | ||||||||||||||||||
Subtotal | (1 | ) | 30 | 3.9 | — | 25 | 4.4 | |||||||||||||||||
B | ||||||||||||||||||||||||
Single name credit default swaps (corporate) | — | — | — | — | — | — | ||||||||||||||||||
Credit default swaps referencing indices | (1 | ) | 25 | 5.0 | — | — | — | |||||||||||||||||
Subtotal | (1 | ) | 25 | 5.0 | — | — | — | |||||||||||||||||
Total | $ | (119 | ) | $ | 7,780 | 4.1 | $ | 62 | $ | 5,089 | 4.1 | |||||||||||||
(1) | The rating agency designations are based on availability and the midpoint of the applicable ratings among Moody’s, S&P and Fitch. If no rating is available from a rating agency, then an internally developed rating is used. | |
(2) | Assumes the value of the referenced credit obligations is zero. | |
(3) | The weighted average years to maturity of the credit default swaps is calculated based on weighted average notional amounts. |
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Estimated Fair Value of | Fair Value of Incremental | |||||||||||||||||||
Collateral Provided: | Collateral Provided Upon: | |||||||||||||||||||
Downgrade in the | ||||||||||||||||||||
One Notch | Company’s Credit Rating | |||||||||||||||||||
Downgrade | to a Level that Triggers | |||||||||||||||||||
Estimated | in the | Full Overnight | ||||||||||||||||||
Fair Value (1) of | Company’s | Collateralization or | ||||||||||||||||||
Derivatives in Net | Fixed Maturity | Credit | Termination of | |||||||||||||||||
Liability Position | Securities (2) | Cash (3) | Rating | the Derivative Position | ||||||||||||||||
(In millions) | ||||||||||||||||||||
September 30, 2011: | ||||||||||||||||||||
Derivatives subject to credit- | ||||||||||||||||||||
contingent provisions | $ | 377 | $ | 288 | $ | — | $ | 54 | $ | 140 | ||||||||||
Derivatives not subject to credit- contingent provisions | 13 | 11 | — | — | — | |||||||||||||||
Total | $ | 390 | $ | 299 | $ | — | $ | 54 | $ | 140 | ||||||||||
December 31, 2010: | ||||||||||||||||||||
Derivatives subject to credit- | ||||||||||||||||||||
contingent provisions | $ | 1,167 | $ | 1,024 | $ | — | $ | 99 | $ | 231 | ||||||||||
Derivatives not subject to credit- contingent provisions | 22 | — | 43 | — | — | |||||||||||||||
Total | $ | 1,189 | $ | 1,024 | $ | 43 | $ | 99 | $ | 231 | ||||||||||
(1) | After taking into consideration the existence of netting agreements. | |
(2) | Included in fixed maturity securities in the consolidated balance sheets. The counterparties are permitted by contract to sell or repledge this collateral. | |
(3) | Included in premiums, reinsurance and other receivables in the consolidated balance sheets. |
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September 30, 2011 | December 31, 2010 | |||||||
(In millions) | ||||||||
Net embedded derivatives within asset host contracts: | ||||||||
Ceded guaranteed minimum benefits | $ | 353 | $ | 185 | ||||
Options embedded in debt or equity securities | (62 | ) | (57 | ) | ||||
Other | 3 | — | ||||||
Net embedded derivatives within asset host contracts | $ | 294 | $ | 128 | ||||
Net embedded derivatives within liability host contracts: | ||||||||
Direct guaranteed minimum benefits | $ | 2,683 | $ | 370 | ||||
Assumed guaranteed minimum benefits (1) | 2,119 | 2,186 | ||||||
Other | 79 | 78 | ||||||
Net embedded derivatives within liability host contracts | $ | 4,881 | $ | 2,634 | ||||
(1) | Assumed reinsurance contracts of guaranteed minimum benefits related to GMWBs and GMABs of the Japanese joint venture interest, which was sold during the second quarter of 2011, have been separately presented in the current period. See Note 2. Comparative prior year balances, which were previously presented in direct guaranteed minimum benefits, have been conformed to the current period presentation. |
Three Months | Nine Months | |||||||||||||||
Ended | Ended | |||||||||||||||
September 30, | September 30, | |||||||||||||||
2011 | 2010 | 2011 | 2010 | |||||||||||||
(In millions) | ||||||||||||||||
Net derivative gains (losses) (1) | $ | (2,308 | ) | $ | 83 | $ | (1,759 | ) | $ | (1,594 | ) | |||||
Policyholder benefits and claims | $ | 113 | $ | — | $ | 105 | $ | 46 |
(1) | The valuation of guaranteed minimum benefits includes an adjustment for nonperformance risk. The amounts included in net derivative gains (losses), in connection with this adjustment, were $1,952 million and $1,986 million for the three months and nine months ended September 30, 2011, respectively, and ($291) million and $399 million for the three months and nine months ended September 30, 2010, respectively. |
5. | Fair Value |
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September 30, 2011 | ||||||||||||||||
Fair Value Measurements at Reporting Date Using | ||||||||||||||||
Quoted Prices in | ||||||||||||||||
Active Markets for | Significant Other | Significant | Total | |||||||||||||
Identical Assets | Observable | Unobservable | Estimated | |||||||||||||
and Liabilities | Inputs | Inputs | Fair | |||||||||||||
(Level 1) | (Level 2) | (Level 3) | Value | |||||||||||||
(In millions) | ||||||||||||||||
Assets: | ||||||||||||||||
Fixed maturity securities: | ||||||||||||||||
U.S. corporate securities | $ | — | $ | 99,204 | $ | 7,371 | $ | 106,575 | ||||||||
Foreign corporate securities | — | 58,793 | 4,729 | 63,522 | ||||||||||||
Foreign government securities | 68 | 49,002 | 3,889 | 52,959 | ||||||||||||
RMBS | 25 | 41,256 | 612 | 41,893 | ||||||||||||
U.S. Treasury and agency securities | 21,724 | 20,079 | 31 | 41,834 | ||||||||||||
CMBS | — | 18,753 | 832 | 19,585 | ||||||||||||
ABS | — | 11,649 | 2,769 | 14,418 | ||||||||||||
State and political subdivision securities | — | 13,088 | 53 | 13,141 | ||||||||||||
Other fixed maturity securities | — | — | — | — | ||||||||||||
Total fixed maturity securities | 21,817 | 311,824 | 20,286 | 353,927 | ||||||||||||
Equity securities: | ||||||||||||||||
Common stock | 875 | 1,097 | 239 | 2,211 | ||||||||||||
Non-redeemable preferred stock | — | 398 | 509 | 907 | ||||||||||||
Total equity securities | 875 | 1,495 | 748 | 3,118 | ||||||||||||
Trading and other securities: | ||||||||||||||||
Actively Traded Securities | — | 413 | 2 | 415 | ||||||||||||
FVO general account securities | — | 242 | 27 | 269 | ||||||||||||
FVO contractholder-directed unit-linked investments | 7,332 | 9,279 | 1,263 | 17,874 | ||||||||||||
FVO securities held by CSEs | — | 140 | — | 140 | ||||||||||||
Total trading and other securities | 7,332 | 10,074 | 1,292 | 18,698 | ||||||||||||
Short-term investments (1) | 4,507 | 10,159 | 626 | 15,292 | ||||||||||||
Mortgage loans: | ||||||||||||||||
Mortgage loans held by CSEs | — | 3,227 | — | 3,227 | ||||||||||||
Mortgage loansheld-for-sale (2) | — | 2,560 | 30 | 2,590 | ||||||||||||
Total mortgage loans | — | 5,787 | 30 | 5,817 | ||||||||||||
Other invested assets: | ||||||||||||||||
MSRs | — | — | 686 | 686 | ||||||||||||
Other investments | 361 | 119 | — | 480 | ||||||||||||
Derivative assets: (3) | ||||||||||||||||
Interest rate contracts | 31 | 10,082 | 321 | 10,434 | ||||||||||||
Foreign currency contracts | 1 | 1,618 | 67 | 1,686 | ||||||||||||
Credit contracts | — | 370 | 16 | 386 | ||||||||||||
Equity market contracts | 164 | 2,697 | 917 | 3,778 | ||||||||||||
Total derivative assets | 196 | 14,767 | 1,321 | 16,284 | ||||||||||||
Total other invested assets | 557 | 14,886 | 2,007 | 17,450 | ||||||||||||
Net embedded derivatives within asset host contracts (4) | — | 2 | 354 | 356 | ||||||||||||
Separate account assets (5) | 27,622 | 162,169 | 1,708 | 191,499 | ||||||||||||
Total assets | $ | 62,710 | $ | 516,396 | $ | 27,051 | $ | 606,157 | ||||||||
Liabilities: | ||||||||||||||||
Derivative liabilities: (3) | ||||||||||||||||
Interest rate contracts | $ | 109 | $ | 2,267 | $ | 23 | $ | 2,399 | ||||||||
Foreign currency contracts | 1 | 1,096 | — | 1,097 | ||||||||||||
Credit contracts | — | 127 | 46 | 173 | ||||||||||||
Equity market contracts | 19 | 204 | 67 | 290 | ||||||||||||
Total derivative liabilities | 129 | 3,694 | 136 | 3,959 | ||||||||||||
Net embedded derivatives within liability host contracts (4) | — | 19 | 4,862 | 4,881 | ||||||||||||
Long-term debt of CSEs | — | 3,045 | 112 | 3,157 | ||||||||||||
Trading liabilities (6) | 64 | 3 | — | 67 | ||||||||||||
Total liabilities | $ | 193 | $ | 6,761 | $ | 5,110 | $ | 12,064 | ||||||||
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December 31, 2010 | ||||||||||||||||
Fair Value Measurements at Reporting Date Using | ||||||||||||||||
Quoted Prices in | ||||||||||||||||
Active Markets for | Significant Other | Significant | Total | |||||||||||||
Identical Assets | Observable | Unobservable | Estimated | |||||||||||||
and Liabilities | Inputs | Inputs | Fair | |||||||||||||
(Level 1) | (Level 2) | (Level 3) | Value | |||||||||||||
(In millions) | ||||||||||||||||
Assets: | ||||||||||||||||
Fixed maturity securities: | ||||||||||||||||
U.S. corporate securities | $ | — | $ | 84,623 | $ | 7,149 | $ | 91,772 | ||||||||
Foreign corporate securities | — | 62,162 | 5,726 | 67,888 | ||||||||||||
Foreign government securities | 149 | 38,719 | 3,134 | 42,002 | ||||||||||||
RMBS | 274 | 43,037 | 1,422 | 44,733 | ||||||||||||
U.S. Treasury and agency securities | 14,602 | 18,623 | 79 | 33,304 | ||||||||||||
CMBS | — | 19,664 | 1,011 | 20,675 | ||||||||||||
ABS | — | 10,142 | 4,145 | 14,287 | ||||||||||||
State and political subdivision securities | — | 10,083 | 46 | 10,129 | ||||||||||||
Other fixed maturity securities | — | 3 | 4 | 7 | ||||||||||||
Total fixed maturity securities | 15,025 | 287,056 | 22,716 | 324,797 | ||||||||||||
Equity securities: | ||||||||||||||||
Common stock | 831 | 1,094 | 268 | 2,193 | ||||||||||||
Non-redeemable preferred stock | — | 504 | 905 | 1,409 | ||||||||||||
Total equity securities | 831 | 1,598 | 1,173 | 3,602 | ||||||||||||
Trading and other securities: | ||||||||||||||||
Actively Traded Securities | — | 453 | 10 | 463 | ||||||||||||
FVO general account securities | — | 54 | 77 | 131 | ||||||||||||
FVO contractholder-directed unit-linked investments | 6,270 | 10,789 | 735 | 17,794 | ||||||||||||
FVO securities held by CSEs | — | 201 | — | 201 | ||||||||||||
Total trading and other securities | 6,270 | 11,497 | 822 | 18,589 | ||||||||||||
Short-term investments (1) | 3,026 | 4,681 | 858 | 8,565 | ||||||||||||
Mortgage loans: | ||||||||||||||||
Mortgage loans held by CSEs | — | 6,840 | — | 6,840 | ||||||||||||
Mortgage loansheld-for-sale (2) | — | 2,486 | 24 | 2,510 | ||||||||||||
Total mortgage loans | — | 9,326 | 24 | 9,350 | ||||||||||||
Other invested assets: | ||||||||||||||||
MSRs | — | — | 950 | 950 | ||||||||||||
Other investments | 373 | 121 | — | 494 | ||||||||||||
Derivative assets: (3) | ||||||||||||||||
Interest rate contracts | 131 | 3,583 | 39 | 3,753 | ||||||||||||
Foreign currency contracts | 2 | 1,711 | 74 | 1,787 | ||||||||||||
Credit contracts | — | 125 | 50 | 175 | ||||||||||||
Equity market contracts | 23 | 1,757 | 282 | 2,062 | ||||||||||||
Total derivative assets | 156 | 7,176 | 445 | 7,777 | ||||||||||||
Total other invested assets | 529 | 7,297 | 1,395 | 9,221 | ||||||||||||
Net embedded derivatives within asset host contracts (4) | — | — | 185 | 185 | ||||||||||||
Separate account assets (5) | 25,566 | 155,589 | 1,983 | 183,138 | ||||||||||||
Total assets | $ | 51,247 | $ | 477,044 | $ | 29,156 | $ | 557,447 | ||||||||
Liabilities: | ||||||||||||||||
Derivative liabilities: (3) | ||||||||||||||||
Interest rate contracts | $ | 35 | $ | 1,598 | $ | 125 | $ | 1,758 | ||||||||
Foreign currency contracts | — | 1,372 | 1 | 1,373 | ||||||||||||
Credit contracts | — | 101 | 6 | 107 | ||||||||||||
Equity market contracts | 10 | 1,174 | 140 | 1,324 | ||||||||||||
Total derivative liabilities | 45 | 4,245 | 272 | 4,562 | ||||||||||||
Net embedded derivatives within liability host contracts (4) | — | 11 | 2,623 | 2,634 | ||||||||||||
Long-term debt of CSEs | — | 6,636 | 184 | 6,820 | ||||||||||||
Trading liabilities (6) | 46 | — | — | 46 | ||||||||||||
Total liabilities | $ | 91 | $ | 10,892 | $ | 3,079 | $ | 14,062 | ||||||||
(1) | Short-term investments as presented in the tables above differ from the amounts presented in the consolidated balance sheets because certain short-term investments are not measured at estimated fair value (e.g., time deposits, etc.), and therefore are excluded from the tables presented above. |
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(2) | Mortgage loansheld-for-sale as presented in the tables above differ from the amount presented in the consolidated balance sheets as these tables only include residential mortgage loansheld-for-sale measured at estimated fair value on a recurring basis. | |
(3) | Derivative liabilities are presented within other liabilities in the consolidated balance sheets. The amounts are presented gross in the tables above to reflect the presentation in the consolidated balance sheets, but are presented net for purposes of the rollforward in the Fair Value Measurements Using Significant Unobservable Inputs (Level 3) tables which follow. At September 30, 2011 and December 31, 2010, certain non-derivative hedging instruments of $0 and $185 million, respectively, which are carried at amortized cost, are included with the liabilities total in Note 4 but excluded from derivative liabilities in the tables above as they are not derivative instruments. | |
(4) | Net embedded derivatives within asset host contracts are presented primarily within premiums, reinsurance and other receivables in the consolidated balance sheets. Net embedded derivatives within liability host contracts are presented primarily within policyholder account balances in the consolidated balance sheets. At September 30, 2011, fixed maturity securities and equity securities also included embedded derivatives of $3 million and ($65) million, respectively. At December 31, 2010, fixed maturity securities and equity securities included embedded derivatives of $5 million and ($62) million, respectively. | |
(5) | Separate account assets are measured at estimated fair value. Investment performance related to separate account assets is fully offset by corresponding amounts credited to contractholders whose liability is reflected within separate account liabilities. Separate account liabilities are set equal to the estimated fair value of separate account assets. | |
(6) | Trading liabilities are presented within other liabilities in the consolidated balance sheets. |
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Fair Value Measurements Using Significant Unobservable Inputs (Level 3) | ||||||||||||||||||||||||||||||||||||
Fixed Maturity Securities: | ||||||||||||||||||||||||||||||||||||
U.S. | State and | Other | ||||||||||||||||||||||||||||||||||
U.S. | Foreign | Foreign | Treasury | Political | Fixed | |||||||||||||||||||||||||||||||
Corporate | Corporate | Government | and Agency | Subdivision | Maturity | |||||||||||||||||||||||||||||||
Securities | Securities | Securities | RMBS | Securities | CMBS | ABS | Securities | Securities | ||||||||||||||||||||||||||||
(In millions) | ||||||||||||||||||||||||||||||||||||
Three Months Ended September 30, 2011: | ||||||||||||||||||||||||||||||||||||
Balance, beginning of period | $ | 6,871 | $ | 5,844 | $ | 3,161 | $ | 434 | $ | 26 | $ | 781 | $ | 2,451 | $ | 89 | $ | 2 | ||||||||||||||||||
Total realized/unrealized gains | ||||||||||||||||||||||||||||||||||||
(losses) included in: | ||||||||||||||||||||||||||||||||||||
Earnings: (1),(2) | ||||||||||||||||||||||||||||||||||||
Net investment income | 4 | 9 | 9 | — | — | 5 | 8 | — | — | |||||||||||||||||||||||||||
Net investment gains (losses) | 26 | 2 | (206 | ) | — | — | (1 | ) | (5 | ) | — | — | ||||||||||||||||||||||||
Net derivative gains (losses) | — | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||
Other revenues | — | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||
Policyholder benefits and claims | — | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||
Other expenses | — | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||
Other comprehensive income (loss) | 227 | (120 | ) | 302 | 17 | 2 | (1 | ) | (58 | ) | (1 | ) | — | |||||||||||||||||||||||
Purchases (3) | 455 | 199 | 427 | 170 | — | 115 | 469 | 11 | — | |||||||||||||||||||||||||||
Sales (3) | (185 | ) | (447 | ) | (30 | ) | (10 | ) | (3 | ) | (57 | ) | (133 | ) | (1 | ) | (2 | ) | ||||||||||||||||||
Issuances (3) | — | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||
Settlements (3) | — | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||
Transfers into Level 3 (4) | — | 172 | 498 | 1 | 6 | 1 | 184 | — | — | |||||||||||||||||||||||||||
Transfers out of Level 3 (4) | (27 | ) | (930 | ) | (272 | ) | — | — | (11 | ) | (147 | ) | (45 | ) | — | |||||||||||||||||||||
Balance, end of period | $ | 7,371 | $ | 4,729 | $ | 3,889 | $ | 612 | $ | 31 | $ | 832 | $ | 2,769 | $ | 53 | $ | — | ||||||||||||||||||
Changes in unrealized gains (losses) relating to assets and liabilities still held at September 30, 2011 included in earnings: | ||||||||||||||||||||||||||||||||||||
Net investment income | $ | 4 | $ | 8 | $ | 9 | $ | — | $ | — | $ | 6 | $ | 8 | $ | — | $ | — | ||||||||||||||||||
Net investment gains (losses) | $ | (3 | ) | $ | (5 | ) | $ | (205 | ) | $ | — | $ | — | $ | (2 | ) | $ | (7 | ) | $ | — | $ | — | |||||||||||||
Net derivative gains (losses) | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||||||
Other revenues | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||||||
Policyholder benefits and claims | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||||||
Other expenses | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — |
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Fair Value Measurements Using Significant Unobservable Inputs (Level 3) | ||||||||||||||||||||||||||||||||
Equity Securities: | Trading and Other Securities: | |||||||||||||||||||||||||||||||
FVO | ||||||||||||||||||||||||||||||||
Non- | FVO | Contractholder- | ||||||||||||||||||||||||||||||
redeemable | Actively | General | directed | Mortgage | ||||||||||||||||||||||||||||
Common | Preferred | Traded | Account | Unit-linked | Short-term | Loans Held- | MSRs | |||||||||||||||||||||||||
Stock | Stock | Securities | Securities | Investments | Investments | for-sale | (5), (6) | |||||||||||||||||||||||||
(In millions) | ||||||||||||||||||||||||||||||||
Three Months Ended September 30, 2011: | ||||||||||||||||||||||||||||||||
Balance, beginning of period | $ | 305 | $ | 654 | $ | 2 | $ | 54 | $ | 623 | $ | 732 | $ | 32 | $ | 964 | ||||||||||||||||
Total realized/unrealized gains | ||||||||||||||||||||||||||||||||
(losses) included in: | ||||||||||||||||||||||||||||||||
Earnings: (1), (2) | ||||||||||||||||||||||||||||||||
Net investment income | — | — | — | (12 | ) | (5 | ) | (1 | ) | — | — | |||||||||||||||||||||
Net investment gains (losses) | 3 | 7 | — | — | — | (1 | ) | — | — | |||||||||||||||||||||||
Net derivative gains (losses) | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||
Other revenues | — | — | — | — | — | — | (1 | ) | (292 | ) | ||||||||||||||||||||||
Policyholder benefits and claims | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||
Other expenses | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||
Other comprehensive income (loss) | (25 | ) | (69 | ) | — | — | — | (1 | ) | — | — | |||||||||||||||||||||
Purchases (3) | 14 | — | — | — | 1,026 | 266 | 2 | — | ||||||||||||||||||||||||
Sales (3) | (14 | ) | (84 | ) | — | — | (297 | ) | (368 | ) | — | — | ||||||||||||||||||||
Issuances (3) | — | — | — | — | — | — | — | 46 | ||||||||||||||||||||||||
Settlements (3) | — | — | — | — | — | — | (2 | ) | (32 | ) | ||||||||||||||||||||||
Transfers into Level 3 (4) | — | 1 | — | — | — | — | 4 | — | ||||||||||||||||||||||||
Transfers out of Level 3 (4) | (44 | ) | — | — | (15 | ) | (84 | ) | (1 | ) | (5 | ) | — | |||||||||||||||||||
Balance, end of period | $ | 239 | $ | 509 | $ | 2 | $ | 27 | $ | 1,263 | $ | 626 | $ | 30 | $ | 686 | ||||||||||||||||
Changes in unrealized gains (losses) relating to assets and liabilities still held at September 30, 2011 included in earnings: | ||||||||||||||||||||||||||||||||
Net investment income | $ | — | $ | — | $ | — | $ | (11 | ) | $ | (4 | ) | $ | (1 | ) | $ | — | $ | — | |||||||||||||
Net investment gains (losses) | $ | — | $ | — | $ | — | $ | — | $ | — | $ | (1 | ) | $ | — | $ | — | |||||||||||||||
Net derivative gains (losses) | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||||
Other revenues | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | (1 | ) | $ | (280 | ) | ||||||||||||||
Policyholder benefits and claims | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||||
Other expenses | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — |
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Fair Value Measurements Using Significant Unobservable Inputs (Level 3) | ||||||||||||||||||||||||||||||||
Net Derivatives: (7) | ||||||||||||||||||||||||||||||||
Interest | Foreign | Equity | Net | Separate | Long-term | |||||||||||||||||||||||||||
Rate | Currency | Credit | Market | Embedded | Account | Debt of | Trading | |||||||||||||||||||||||||
Contracts | Contracts | Contracts | Contracts | Derivatives (8) | Assets (9) | CSEs | Liabilities | |||||||||||||||||||||||||
(In millions) | ||||||||||||||||||||||||||||||||
Three Months Ended September 30, 2011: | ||||||||||||||||||||||||||||||||
Balance, beginning of period | $ | (67 | ) | $ | 49 | $ | 42 | $ | 55 | $ | (2,074 | ) | $ | 1,836 | $ | (134 | ) | $ | — | |||||||||||||
Total realized/unrealized gains | ||||||||||||||||||||||||||||||||
(losses) included in: | ||||||||||||||||||||||||||||||||
Earnings: (1), (2) | ||||||||||||||||||||||||||||||||
Net investment income | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||
Net investment gains (losses) | — | — | — | — | — | 3 | (1 | ) | — | |||||||||||||||||||||||
Net derivative gains (losses) | 21 | 2 | (76 | ) | 677 | (2,314 | ) | — | — | — | ||||||||||||||||||||||
Other revenues | 68 | — | — | — | — | — | — | — | ||||||||||||||||||||||||
Policyholder benefits and claims | — | — | — | — | 115 | — | — | — | ||||||||||||||||||||||||
Other expenses | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||
Other comprehensive income (loss) | 317 | — | 15 | 1 | (114 | ) | — | — | — | |||||||||||||||||||||||
Purchases (3) | (1 | ) | 16 | — | 119 | — | 187 | — | — | |||||||||||||||||||||||
Sales (3) | — | — | — | — | — | (152 | ) | — | — | |||||||||||||||||||||||
Issuances (3) | — | — | — | (4 | ) | — | — | — | — | |||||||||||||||||||||||
Settlements (3) | (41 | ) | — | (11 | ) | 2 | (121 | ) | (1 | ) | 23 | — | ||||||||||||||||||||
Transfers into Level 3 (4) | 1 | — | — | — | — | 11 | — | — | ||||||||||||||||||||||||
Transfers out of Level 3 (4) | — | — | — | — | — | (176 | ) | — | — | |||||||||||||||||||||||
Balance, end of period | $ | 298 | $ | 67 | $ | (30 | ) | $ | 850 | $ | (4,508 | ) | $ | 1,708 | $ | (112 | ) | $ | — | |||||||||||||
Changes in unrealized gains (losses) | ||||||||||||||||||||||||||||||||
relating to assets and liabilities still held | ||||||||||||||||||||||||||||||||
at September 30, 2011 included in earnings: | ||||||||||||||||||||||||||||||||
Net investment income | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||||
Net investment gains (losses) | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | (1 | ) | $ | — | |||||||||||||||
Net derivative gains (losses) | $ | 17 | $ | 2 | $ | (76 | ) | $ | 677 | $ | (2,319 | ) | $ | — | $ | — | $ | — | ||||||||||||||
Other revenues | $ | 79 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||||
Policyholder benefits and claims | $ | — | $ | — | $ | — | $ | — | $ | 115 | $ | — | $ | — | $ | — | ||||||||||||||||
Other expenses | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — |
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Fair Value Measurements Using Significant Unobservable Inputs (Level 3) | ||||||||||||||||||||||||||||||||||||
Fixed Maturity Securities: | ||||||||||||||||||||||||||||||||||||
U.S. | State and | Other | ||||||||||||||||||||||||||||||||||
U.S. | Foreign | Foreign | Treasury | Political | Fixed | |||||||||||||||||||||||||||||||
Corporate | Corporate | Government | and Agency | Subdivision | Maturity | |||||||||||||||||||||||||||||||
Securities | Securities | Securities | RMBS | Securities | CMBS | ABS | Securities | Securities | ||||||||||||||||||||||||||||
(In millions) | ||||||||||||||||||||||||||||||||||||
Three Months Ended September 30, 2010: | ||||||||||||||||||||||||||||||||||||
Balance, beginning of period | $ | 7,173 | $ | 4,552 | $ | 257 | $ | 1,852 | $ | 37 | $ | 270 | $ | 3,489 | $ | 101 | $ | 5 | ||||||||||||||||||
Total realized/unrealized gains (losses) included in: | ||||||||||||||||||||||||||||||||||||
Earnings: (1), (2) | ||||||||||||||||||||||||||||||||||||
Net investment income | 6 | 7 | 2 | (5 | ) | — | 1 | 8 | — | — | ||||||||||||||||||||||||||
Net investment gains (losses) | (20 | ) | (25 | ) | 1 | (6 | ) | — | (2 | ) | (17 | ) | — | — | ||||||||||||||||||||||
Net derivative gains (losses) | — | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||
Other revenues | — | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||
Policyholder benefits and claims | — | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||
Other expenses | — | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||
Other comprehensive income (loss) | 196 | 301 | 25 | 68 | 1 | 13 | 104 | (3 | ) | — | ||||||||||||||||||||||||||
Purchases, sales, issuances and settlements (3) | 67 | 132 | 6 | 379 | — | (7 | ) | 160 | 9 | — | ||||||||||||||||||||||||||
Transfers into Level 3 (4) | 119 | 52 | — | 161 | 21 | 9 | 5 | — | — | |||||||||||||||||||||||||||
Transfers out of Level 3 (4) | (686 | ) | (240 | ) | — | (155 | ) | — | (3 | ) | (101 | ) | (55 | ) | — | |||||||||||||||||||||
Balance, end of period | $ | 6,855 | $ | 4,779 | $ | 291 | $ | 2,294 | $ | 59 | $ | 281 | $ | 3,648 | $ | 52 | $ | 5 | ||||||||||||||||||
Changes in unrealized gains (losses) relating to assets and liabilities still held at September 30, 2010 included in earnings: | ||||||||||||||||||||||||||||||||||||
Net investment income | $ | 4 | $ | 5 | $ | 2 | $ | (5 | ) | $ | — | $ | 1 | $ | 8 | $ | — | $ | — | |||||||||||||||||
Net investment gains (losses) | $ | (30 | ) | $ | (29 | ) | $ | — | $ | — | $ | — | $ | (3 | ) | $ | (9 | ) | $ | — | $ | — | ||||||||||||||
Net derivative gains (losses) | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||||||
Other revenues | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||||||
Policyholder benefits and claims | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||||||
Other expenses | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — |
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Fair Value Measurements Using Significant Unobservable Inputs (Level 3) | ||||||||||||||||||||||||||||||||
Equity Securities: | Trading and Other Securities: | |||||||||||||||||||||||||||||||
FVO | ||||||||||||||||||||||||||||||||
Non- | FVO | Contractholder- | ||||||||||||||||||||||||||||||
redeemable | Actively | General | directed | Mortgage | ||||||||||||||||||||||||||||
Common | Preferred | Traded | Account | Unit-linked | Short-term | Loans Held- | MSRs | |||||||||||||||||||||||||
Stock | Stock | Securities | Securities | Investments | Investments | for-sale | (5), (6) | |||||||||||||||||||||||||
(In millions) | ||||||||||||||||||||||||||||||||
Three Months Ended September 30, 2010: | ||||||||||||||||||||||||||||||||
Balance, beginning of period | $ | 161 | $ | 845 | $ | 7 | $ | 29 | $ | — | $ | 52 | $ | 26 | $ | 660 | ||||||||||||||||
Total realized/unrealized gains (losses) included in: | ||||||||||||||||||||||||||||||||
Earnings: (1), (2) | ||||||||||||||||||||||||||||||||
Net investment income | — | — | — | 9 | — | 2 | — | — | ||||||||||||||||||||||||
Net investment gains (losses) | (1 | ) | 1 | — | — | — | — | — | — | |||||||||||||||||||||||
Net derivative gains (losses) | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||
Other revenues | — | — | — | — | — | — | (1 | ) | (91 | ) | ||||||||||||||||||||||
Policyholder benefits and claims | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||
Other expenses | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||
Other comprehensive income (loss) | 14 | 56 | — | — | — | — | — | — | ||||||||||||||||||||||||
Purchases, sales, issuances and settlements (3) | (6 | ) | 7 | 13 | — | — | 156 | — | 138 | |||||||||||||||||||||||
Transfers into Level 3 (4) | 2 | — | — | 35 | — | — | 4 | — | ||||||||||||||||||||||||
Transfers out of Level 3 (4) | — | — | — | — | — | — | (2 | ) | — | |||||||||||||||||||||||
Balance, end of period | $ | 170 | $ | 909 | $ | 20 | $ | 73 | $ | — | $ | 210 | $ | 27 | $ | 707 | ||||||||||||||||
Changes in unrealized gains (losses) relating to assets and liabilities still held at September 30, 2010 included in earnings: | ||||||||||||||||||||||||||||||||
Net investment income | $ | — | $ | — | $ | — | $ | 9 | $ | — | $ | 2 | $ | — | $ | — | ||||||||||||||||
Net investment gains (losses) | $ | (1 | ) | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||||
Net derivative gains (losses) | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||||
Other revenues | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | (1 | ) | $ | (74 | ) | ||||||||||||||
Policyholder benefits and claims | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||||
Other expenses | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — |
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Fair Value Measurements Using Significant Unobservable Inputs (Level 3) | ||||||||||||||||||||||||||||||||
Net Derivatives: (7) | ||||||||||||||||||||||||||||||||
Interest | Foreign | Equity | Net | Separate | Long-term | |||||||||||||||||||||||||||
Rate | Currency | Credit | Market | Embedded | Account | Debt of | Trading | |||||||||||||||||||||||||
Contracts | Contracts | Contracts | Contracts | Derivatives (8) | Assets (9) | CSEs (10) | Liabilities | |||||||||||||||||||||||||
(In millions) | ||||||||||||||||||||||||||||||||
Three Months Ended September 30, 2010: | ||||||||||||||||||||||||||||||||
Balance, beginning of period | $ | 61 | $ | 28 | $ | 31 | $ | 633 | $ | (3,296 | ) | $ | 1,604 | $ | (221 | ) | $ | — | ||||||||||||||
Total realized/unrealized gains (losses) included in: | ||||||||||||||||||||||||||||||||
Earnings: (1), (2) | ||||||||||||||||||||||||||||||||
Net investment income | — | — | — | (2 | ) | — | — | — | — | |||||||||||||||||||||||
Net investment gains (losses) | — | — | — | — | — | 47 | 37 | — | ||||||||||||||||||||||||
Net derivative gains (losses) | 2 | 46 | 12 | (169 | ) | 134 | — | — | — | |||||||||||||||||||||||
Other revenues | 14 | — | — | — | — | — | — | — | ||||||||||||||||||||||||
Policyholder benefits and claims | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||
Other expenses | — | (1 | ) | — | — | — | — | — | — | |||||||||||||||||||||||
Other comprehensive income (loss) | 16 | — | 10 | 4 | (98 | ) | — | — | — | |||||||||||||||||||||||
Purchases, sales, issuances and settlements (3) | 12 | (5 | ) | (7 | ) | 8 | (74 | ) | 62 | — | (2 | ) | ||||||||||||||||||||
Transfers into Level 3 (4) | — | — | — | — | — | 9 | — | — | ||||||||||||||||||||||||
Transfers out of Level 3 (4) | — | (8 | ) | — | — | — | (75 | ) | — | — | ||||||||||||||||||||||
Balance, end of period | $ | 105 | $ | 60 | $ | 46 | $ | 474 | $ | (3,334 | ) | $ | 1,647 | $ | (184 | ) | $ | (2 | ) | |||||||||||||
Changes in unrealized gains (losses) relating to assets and liabilities still held at September 30, 2010 included in earnings: | ||||||||||||||||||||||||||||||||
Net investment income | $ | — | $ | — | $ | — | $ | (2 | ) | $ | — | $ | — | $ | — | $ | — | |||||||||||||||
Net investment gains (losses) | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 37 | $ | — | ||||||||||||||||
Net derivative gains (losses) | $ | 1 | $ | 37 | $ | 12 | $ | (169 | ) | $ | 126 | $ | — | $ | — | $ | — | |||||||||||||||
Other revenues | $ | 63 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||||
Policyholder benefits and claims | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||||
Other expenses | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — |
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Fair Value Measurements Using Significant Unobservable Inputs (Level 3) | ||||||||||||||||||||||||||||||||||||
Fixed Maturity Securities: | ||||||||||||||||||||||||||||||||||||
U.S. | State and | Other | ||||||||||||||||||||||||||||||||||
U.S. | Foreign | Foreign | Treasury | Political | Fixed | |||||||||||||||||||||||||||||||
Corporate | Corporate | Government | and Agency | Subdivision | Maturity | |||||||||||||||||||||||||||||||
Securities | Securities | Securities | RMBS | Securities | CMBS | ABS | Securities | Securities | ||||||||||||||||||||||||||||
(In millions) | ||||||||||||||||||||||||||||||||||||
Nine Months Ended September 30, 2011: | ||||||||||||||||||||||||||||||||||||
Balance, beginning of period | $ | 7,149 | $ | 5,726 | $ | 3,134 | $ | 1,422 | $ | 79 | $ | 1,011 | $ | 4,145 | $ | 46 | $ | 4 | ||||||||||||||||||
Total realized/unrealized gains | ||||||||||||||||||||||||||||||||||||
(losses) included in: | ||||||||||||||||||||||||||||||||||||
Earnings: (1), (2) | ||||||||||||||||||||||||||||||||||||
Net investment income | 8 | 22 | 38 | (1 | ) | — | 21 | 27 | — | — | ||||||||||||||||||||||||||
Net investment gains (losses) | 14 | (20 | ) | (220 | ) | (1 | ) | — | 67 | (34 | ) | — | — | |||||||||||||||||||||||
Net derivative gains (losses) | — | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||
Other revenues | — | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||
Policyholder benefits and claims | — | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||
Other expenses | — | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||
Other comprehensive income (loss) | 372 | 44 | 332 | 33 | 2 | 50 | 46 | (8 | ) | — | ||||||||||||||||||||||||||
Purchases (3) | 1,016 | 1,571 | 1,164 | 206 | — | 287 | 799 | 11 | — | |||||||||||||||||||||||||||
Sales (3) | (674 | ) | (1,770 | ) | (411 | ) | (127 | ) | (1 | ) | (584 | ) | (591 | ) | (4 | ) | — | |||||||||||||||||||
Issuances (3) | — | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||
Settlements (3) | — | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||
Transfers into Level 3 (4) | 43 | 165 | 91 | 81 | 6 | 85 | 123 | 10 | — | |||||||||||||||||||||||||||
Transfers out of Level 3 (4) | (557 | ) | (1,009 | ) | (239 | ) | (1,001 | ) | (55 | ) | (105 | ) | (1,746 | ) | (2 | ) | (4 | ) | ||||||||||||||||||
Balance, end of period | $ | 7,371 | $ | 4,729 | $ | 3,889 | $ | 612 | $ | 31 | $ | 832 | $ | 2,769 | $ | 53 | $ | — | ||||||||||||||||||
Changes in unrealized gains (losses) relating to assets and liabilities still held at September 30, 2011 included in earnings: | ||||||||||||||||||||||||||||||||||||
Net investment income | $ | 7 | $ | 22 | $ | 36 | $ | (1 | ) | $ | — | $ | 19 | $ | 27 | $ | — | $ | — | |||||||||||||||||
Net investment gains (losses) | $ | (30 | ) | $ | (20 | ) | $ | (209 | ) | $ | (1 | ) | $ | — | $ | (2 | ) | $ | (22 | ) | $ | — | $ | — | ||||||||||||
Net derivative gains (losses) | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||||||
Other revenues | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||||||
Policyholder benefits and claims | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||||||
Other expenses | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — |
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Fair Value Measurements Using Significant Unobservable Inputs (Level 3) | ||||||||||||||||||||||||||||||||
Equity Securities: | Trading and Other Securities: | |||||||||||||||||||||||||||||||
FVO | ||||||||||||||||||||||||||||||||
Non- | FVO | Contractholder- | ||||||||||||||||||||||||||||||
redeemable | Actively | General | directed | Mortgage | ||||||||||||||||||||||||||||
Common | Preferred | Traded | Account | Unit-linked | Short-term | Loans Held- | MSRs | |||||||||||||||||||||||||
Stock | Stock | Securities | Securities | Investments | Investments | for-sale | (5), (6) | |||||||||||||||||||||||||
(In millions) | ||||||||||||||||||||||||||||||||
Nine Months Ended September 30, 2011: | ||||||||||||||||||||||||||||||||
Balance, beginning of period | $ | 268 | $ | 905 | $ | 10 | $ | 77 | $ | 735 | $ | 858 | $ | 24 | $ | 950 | ||||||||||||||||
Total realized/unrealized gains (losses) included in: | ||||||||||||||||||||||||||||||||
Earnings: (1), (2) | ||||||||||||||||||||||||||||||||
Net investment income | — | — | — | (3 | ) | 61 | 3 | — | — | |||||||||||||||||||||||
Net investment gains (losses) | 7 | (63 | ) | — | — | — | (2 | ) | — | — | ||||||||||||||||||||||
Net derivative gains (losses) | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||
Other revenues | — | — | — | — | — | — | (2 | ) | (310 | ) | ||||||||||||||||||||||
Policyholder benefits and claims | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||
Other expenses | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||
Other comprehensive income (loss) | (12 | ) | 31 | — | — | — | 7 | — | — | |||||||||||||||||||||||
Purchases (3) | 53 | 4 | — | 1 | 1,032 | 562 | 3 | — | ||||||||||||||||||||||||
Sales (3) | (21 | ) | (379 | ) | (8 | ) | (33 | ) | (447 | ) | (798 | ) | — | — | ||||||||||||||||||
Issuances (3) | — | — | — | — | — | — | 1 | 138 | ||||||||||||||||||||||||
Settlements (3) | — | — | — | — | — | — | (3 | ) | (92 | ) | ||||||||||||||||||||||
Transfers into Level 3 (4) | 1 | 11 | — | — | 123 | — | 9 | — | ||||||||||||||||||||||||
Transfers out of Level 3 (4) | (57 | ) | — | — | (15 | ) | (241 | ) | (4 | ) | (2 | ) | — | |||||||||||||||||||
Balance, end of period | $ | 239 | $ | 509 | $ | 2 | $ | 27 | $ | 1,263 | $ | 626 | $ | 30 | $ | 686 | ||||||||||||||||
Changes in unrealized gains (losses) relating to assets and liabilities still held at September 30, 2011 included in earnings: | ||||||||||||||||||||||||||||||||
Net investment income | $ | — | $ | — | $ | — | $ | (5 | ) | $ | 55 | $ | (2 | ) | $ | — | $ | — | ||||||||||||||
Net investment gains (losses) | $ | (4 | ) | $ | (19 | ) | $ | — | $ | — | $ | — | $ | (1 | ) | $ | — | $ | — | |||||||||||||
Net derivative gains (losses) | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||||
Other revenues | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | (2 | ) | $ | (298 | ) | ||||||||||||||
Policyholder benefits and claims | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||||
Other expenses | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — |
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Fair Value Measurements Using Significant Unobservable Inputs (Level 3) | ||||||||||||||||||||||||||||||||
Net Derivatives: (7) | ||||||||||||||||||||||||||||||||
Interest | Foreign | Equity | Net | Separate | Long-term | |||||||||||||||||||||||||||
Rate | Currency | Credit | Market | Embedded | Account | Debt of | Trading | |||||||||||||||||||||||||
Contracts | Contracts | Contracts | Contracts | Derivatives (8) | Assets (9) | CSEs | Liabilities | |||||||||||||||||||||||||
(In millions) | ||||||||||||||||||||||||||||||||
Nine Months Ended September 30, 2011: | ||||||||||||||||||||||||||||||||
Balance, beginning of period | $ | (86 | ) | $ | 73 | $ | 44 | $ | 142 | $ | (2,438 | ) | $ | 1,983 | $ | (184 | ) | $ | — | |||||||||||||
Total realized/unrealized gains (losses) included in: | ||||||||||||||||||||||||||||||||
Earnings: (1), (2) | ||||||||||||||||||||||||||||||||
Net investment income | — | — | — | (3 | ) | — | — | — | — | |||||||||||||||||||||||
Net investment gains (losses) | — | — | — | — | — | 48 | (8 | ) | — | |||||||||||||||||||||||
Net derivative gains (losses) | 25 | (1 | ) | (70 | ) | 568 | (1,722 | ) | — | — | — | |||||||||||||||||||||
Other revenues | 75 | — | — | — | — | — | — | — | ||||||||||||||||||||||||
Policyholder benefits and claims | — | — | — | — | 107 | — | — | — | ||||||||||||||||||||||||
Other expenses | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||
Other comprehensive income (loss) | 325 | — | 13 | — | (116 | ) | — | — | — | |||||||||||||||||||||||
Purchases (3) | (1 | ) | 21 | — | 225 | — | 422 | — | — | |||||||||||||||||||||||
Sales (3) | — | — | — | — | — | (502 | ) | — | — | |||||||||||||||||||||||
Issuances (3) | — | — | (3 | ) | (4 | ) | — | — | — | — | ||||||||||||||||||||||
Settlements (3) | (40 | ) | — | (13 | ) | (3 | ) | (339 | ) | (3 | ) | 80 | — | |||||||||||||||||||
Transfers into Level 3 (4) | — | — | (1 | ) | — | — | 18 | — | — | |||||||||||||||||||||||
Transfers out of Level 3 (4) | — | (26 | ) | — | (75 | ) | — | (258 | ) | — | — | |||||||||||||||||||||
Balance, end of period | $ | 298 | $ | 67 | $ | (30 | ) | $ | 850 | $ | (4,508 | ) | $ | 1,708 | $ | (112 | ) | $ | — | |||||||||||||
Changes in unrealized gains (losses) relating to assets and liabilities still held at September 30, 2011 included in earnings: | ||||||||||||||||||||||||||||||||
Net investment income | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||||
Net investment gains (losses) | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | (8 | ) | $ | — | |||||||||||||||
Net derivative gains (losses) | $ | 14 | $ | (1 | ) | $ | (70 | ) | $ | 569 | $ | (1,738 | ) | $ | — | $ | — | $ | — | |||||||||||||
Other revenues | $ | 80 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||||
Policyholder benefits and claims | $ | — | $ | — | $ | — | $ | — | $ | 107 | $ | — | $ | — | $ | — | ||||||||||||||||
Other expenses | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — |
95
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Fair Value Measurements Using Significant Unobservable Inputs (Level 3) | ||||||||||||||||||||||||||||||||||||
Fixed Maturity Securities: | ||||||||||||||||||||||||||||||||||||
U.S. | State and | Other | ||||||||||||||||||||||||||||||||||
U.S. | Foreign | Foreign | Treasury | Political | Fixed | |||||||||||||||||||||||||||||||
Corporate | Corporate | Government | and Agency | Subdivision | Maturity | |||||||||||||||||||||||||||||||
Securities | Securities | Securities | RMBS | Securities | CMBS | ABS | Securities | Securities | ||||||||||||||||||||||||||||
(In millions) | ||||||||||||||||||||||||||||||||||||
Nine Months Ended September 30, 2010: | ||||||||||||||||||||||||||||||||||||
Balance, beginning of period | $ | 6,694 | $ | 5,244 | $ | 378 | $ | 1,840 | $ | 37 | $ | 139 | $ | 2,703 | $ | 69 | $ | 6 | ||||||||||||||||||
Total realized/unrealized gains (losses) included in: | ||||||||||||||||||||||||||||||||||||
Earnings: (1), (2) | ||||||||||||||||||||||||||||||||||||
Net investment income | 21 | 10 | 2 | 21 | — | 1 | 27 | — | — | |||||||||||||||||||||||||||
Net investment gains (losses) | (15 | ) | (42 | ) | (5 | ) | (6 | ) | — | (3 | ) | (67 | ) | — | — | |||||||||||||||||||||
Net derivative gains (losses) | — | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||
Other revenues | — | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||
Policyholder benefits and claims | — | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||
Other expenses | — | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||
Other comprehensive income (loss) | 461 | 374 | 53 | 121 | 3 | 72 | 301 | 4 | 1 | |||||||||||||||||||||||||||
Purchases, sales, issuances and settlements (3) | (648 | ) | (619 | ) | 19 | 195 | (3 | ) | (24 | ) | 831 | 9 | (2 | ) | ||||||||||||||||||||||
Transfers into Level 3 (4) | 616 | 363 | — | 253 | 22 | 128 | 93 | — | — | |||||||||||||||||||||||||||
Transfers out of Level 3 (4) | (274 | ) | (551 | ) | (156 | ) | (130 | ) | — | (32 | ) | (240 | ) | (30 | ) | — | ||||||||||||||||||||
Balance, end of period | $ | 6,855 | $ | 4,779 | $ | 291 | $ | 2,294 | $ | 59 | $ | 281 | $ | 3,648 | $ | 52 | $ | 5 | ||||||||||||||||||
Changes in unrealized gains (losses) relating to assets and liabilities still held at September 30, 2010 included in earnings: | ||||||||||||||||||||||||||||||||||||
Net investment income | $ | 11 | $ | 9 | $ | 6 | $ | 21 | $ | — | $ | 1 | $ | 26 | $ | — | $ | — | ||||||||||||||||||
Net investment gains (losses) | $ | (44 | ) | $ | (45 | ) | $ | — | $ | — | $ | — | $ | (3 | ) | $ | (54 | ) | $ | — | $ | — | ||||||||||||||
Net derivative gains (losses) | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||||||
Other revenues | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||||||
Policyholder benefits and claims | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||||||
Other expenses | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — |
96
Table of Contents
Fair Value Measurements Using Significant Unobservable Inputs (Level 3) | ||||||||||||||||||||||||||||||||
Equity Securities: | Trading and Other Securities: | |||||||||||||||||||||||||||||||
FVO | ||||||||||||||||||||||||||||||||
Non- | FVO | Contractholder- | ||||||||||||||||||||||||||||||
redeemable | Actively | General | directed | Mortgage | ||||||||||||||||||||||||||||
Common | Preferred | Traded | Account | Unit-linked | Short-term | Loans Held- | MSRs | |||||||||||||||||||||||||
Stock | Stock | Securities | Securities | Investments | Investments | for-sale | (5), (6) | |||||||||||||||||||||||||
(In millions) | ||||||||||||||||||||||||||||||||
Nine Months Ended September 30, 2010: | ||||||||||||||||||||||||||||||||
Balance, beginning of period | $ | 136 | $ | 1,102 | $ | 32 | $ | 51 | $ | — | $ | 18 | $ | 25 | $ | 878 | ||||||||||||||||
Total realized/unrealized gains | ||||||||||||||||||||||||||||||||
(losses) included in: | ||||||||||||||||||||||||||||||||
Earnings: (1), (2) | ||||||||||||||||||||||||||||||||
Net investment income | — | — | — | 3 | — | 2 | — | — | ||||||||||||||||||||||||
Net investment gains (losses) | 1 | 48 | — | — | — | — | — | — | ||||||||||||||||||||||||
Net derivative gains (losses) | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||
Other revenues | — | — | — | — | — | — | (1 | ) | (329 | ) | ||||||||||||||||||||||
Policyholder benefits and claims | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||
Other expenses | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||
Other comprehensive income (loss) | 4 | 24 | — | — | — | — | — | — | ||||||||||||||||||||||||
Purchases, sales, issuances and settlements (3) | 35 | (259 | ) | (12 | ) | — | — | 190 | — | 158 | ||||||||||||||||||||||
Transfers into Level 3 (4) | 2 | — | — | 37 | — | — | 10 | — | ||||||||||||||||||||||||
Transfers out of Level 3 (4) | (8 | ) | (6 | ) | — | (18 | ) | — | — | (7 | ) | — | ||||||||||||||||||||
Balance, end of period | $ | 170 | $ | 909 | $ | 20 | $ | 73 | $ | — | $ | 210 | $ | 27 | $ | 707 | ||||||||||||||||
Changes in unrealized gains (losses) relating to assets and liabilities still held at September 30, 2010 included in earnings: | ||||||||||||||||||||||||||||||||
Net investment income | $ | — | $ | — | $ | — | $ | 3 | $ | — | $ | 2 | $ | — | $ | — | ||||||||||||||||
Net investment gains (losses) | $ | (2 | ) | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||||
Net derivative gains (losses) | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||||
Other revenues | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | (1 | ) | $ | (294 | ) | ||||||||||||||
Policyholder benefits and claims | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||||
Other expenses | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — |
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Fair Value Measurements Using Significant Unobservable Inputs (Level 3) | ||||||||||||||||||||||||||||||||
Net Derivatives: (7) | ||||||||||||||||||||||||||||||||
Interest | Foreign | Equity | Net | Separate | Long-term | |||||||||||||||||||||||||||
Rate | Currency | Credit | Market | Embedded | Account | Debt of | Trading | |||||||||||||||||||||||||
Contracts | Contracts | Contracts | Contracts | Derivatives (8) | Assets (9) | CSEs (10) | Liabilities | |||||||||||||||||||||||||
(In millions) | ||||||||||||||||||||||||||||||||
Nine Months Ended September 30, 2010: | ||||||||||||||||||||||||||||||||
Balance, beginning of period | $ | 7 | $ | 108 | $ | 42 | $ | 199 | $ | (1,455 | ) | $ | 1,797 | $ | — | $ | — | |||||||||||||||
Total realized/unrealized gains (losses) included in: | ||||||||||||||||||||||||||||||||
Earnings: (1), (2) | ||||||||||||||||||||||||||||||||
Net investment income | — | — | — | 6 | — | — | — | — | ||||||||||||||||||||||||
Net investment gains (losses) | — | — | — | — | — | 91 | 48 | — | ||||||||||||||||||||||||
Net derivative gains (losses) | 36 | 32 | (10 | ) | 243 | (1,542 | ) | — | — | — | ||||||||||||||||||||||
Other revenues | 61 | — | — | — | — | — | — | — | ||||||||||||||||||||||||
Policyholder benefits and claims | — | — | — | — | 46 | — | — | — | ||||||||||||||||||||||||
Other expenses | — | (4 | ) | — | — | — | — | — | — | |||||||||||||||||||||||
Other comprehensive income (loss) | 13 | — | 27 | 9 | (163 | ) | — | — | — | |||||||||||||||||||||||
Purchases, sales, issuances and | ||||||||||||||||||||||||||||||||
settlements (3) | (12 | ) | (54 | ) | (13 | ) | 17 | (220 | ) | (48 | ) | (232 | ) | (2 | ) | |||||||||||||||||
Transfers into Level 3 (4) | — | — | — | — | — | 31 | — | — | ||||||||||||||||||||||||
Transfers out of Level 3 (4) | — | (22 | ) | — | — | — | (224 | ) | — | — | ||||||||||||||||||||||
Balance, end of period | $ | 105 | $ | 60 | $ | 46 | $ | 474 | $ | (3,334 | ) | $ | 1,647 | $ | (184 | ) | $ | (2 | ) | |||||||||||||
Changes in unrealized gains (losses) relating to assets and liabilities still held at September 30, 2010 included in earnings: | ||||||||||||||||||||||||||||||||
Net investment income | $ | — | $ | — | $ | — | $ | 5 | $ | — | $ | — | $ | — | $ | — | ||||||||||||||||
Net investment gains (losses) | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 48 | $ | — | ||||||||||||||||
Net derivative gains (losses) | $ | 36 | $ | 31 | $ | (9 | ) | $ | 250 | $ | (1,556 | ) | $ | — | $ | — | $ | — | ||||||||||||||
Other revenues | $ | 66 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||||
Policyholder benefits and claims | $ | — | $ | — | $ | — | $ | — | $ | 46 | $ | — | $ | — | $ | — | ||||||||||||||||
Other expenses | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — |
(1) | Amortization of premium/discount is included within net investment income. Impairments charged to earnings on securities and certain mortgage loans are included within net investment gains (losses) while changes in estimated fair value of certain mortgage loans and MSRs are recorded in other revenues. Lapses associated with embedded derivatives are included within net derivative gains (losses). | |
(2) | Interest and dividend accruals, as well as cash interest coupons and dividends received, are excluded from the rollforward. | |
(3) | The amount reported within purchases, sales, issuances and settlements is the purchase or issuance price and the sales or settlement proceeds based upon the actual date purchased or issued and sold or settled, respectively. Items purchased/issued and sold/settled in the same period are excluded from the rollforward. For the three months and nine months ended September 30, 2011, fees attributed to net embedded derivatives are included within settlements. For the three months and nine months ended September 30, 2010, fees attributed to net embedded derivatives are included within purchases, sales, issuances and settlements. | |
(4) | Total gains and losses (in earnings and other comprehensive income (loss)) are calculated assuming transfers into and/or out of Level 3 occurred at the beginning of the period. Items transferred into and/or out of Level 3 in the same period are excluded from the rollforward. | |
(5) | The additions for purchases, originations and issuances and the reductions for loan payments, sales and settlements, affecting MSRs were $46 million and ($32) million, respectively, for the three months ended September 30, 2011 and $138 million and ($92) million, respectively, for the nine months ended |
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September 30, 2011. The additions for purchases, originations and issuances and the reductions for loan payments, sales and settlements, affecting MSRs were $169 million and ($31) million, respectively, for the three months ended September 30, 2010 and $275 million and ($117) million, respectively, for the nine months ended September 30, 2010. | ||
(6) | The changes in estimated fair value due to changes in valuation model inputs or assumptions were ($292) million and ($310) million for the three months and nine months ended September 30, 2011, respectively. The changes in estimated fair value due to changes in valuation model inputs or assumptions were ($91) million and ($329) million for the three months and nine months ended September 30, 2010, respectively. For all periods, there was no other change in estimated fair value affecting MSRs. | |
(7) | Freestanding derivative assets and liabilities are presented net for purposes of the rollforward. | |
(8) | Embedded derivative assets and liabilities are presented net for purposes of the rollforward. | |
(9) | Investment performance related to separate account assets is fully offset by corresponding amounts credited to contractholders within separate account liabilities. Therefore, such changes in estimated fair value are not recorded in net income. For the purpose of this disclosure, these changes are presented within net investment gains (losses). | |
(10) | The long-term debt of the CSEs at January 1, 2010 is reported within the purchases, sales, issuances and settlements caption of the rollforward. |
September 30, 2011 | December 31, 2010 | |||||||
(In millions) | ||||||||
Unpaid principal balance | $ | 2,469 | $ | 2,473 | ||||
Excess of estimated fair value over unpaid principal balance | 121 | 37 | ||||||
Carrying value at estimated fair value | $ | 2,590 | $ | 2,510 | ||||
Loans in non-accrual status | $ | 3 | $ | 2 | ||||
Loans more than 90 days past due | $ | 3 | $ | 3 | ||||
Loans in non-accrual status or more than 90 days past due, or both — difference between aggregate estimated fair value and unpaid principal balance | $ | (1 | ) | $ | (1 | ) |
Three Months | Nine Months | |||||||||||||||
Ended | Ended | |||||||||||||||
September 30, | September 30, | |||||||||||||||
2011 | 2010 | 2011 | 2010 | |||||||||||||
(In millions) | ||||||||||||||||
Instrument-specific credit risk based on changes in credit spreads for non-agency loans and adjustments in individual loan quality | $ | — | $ | (1 | ) | $ | (3 | ) | $ | (1 | ) | |||||
Other changes in estimated fair value | 174 | 139 | 353 | 400 | ||||||||||||
Total gains (losses) recognized in other revenues | $ | 174 | $ | 138 | $ | 350 | $ | 399 | ||||||||
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September 30, 2011 | December 31, 2010 | |||||||
(In millions) | ||||||||
Unpaid principal balance | $ | 3,063 | $ | 6,636 | ||||
Excess of estimated fair value over unpaid principal balance | 164 | 204 | ||||||
Carrying value at estimated fair value | $ | 3,227 | $ | 6,840 | ||||
September 30, 2011 | December 31, 2010 | |||||||
(In millions) | ||||||||
Contractual principal balance | $ | 2,993 | $ | 6,619 | ||||
Excess of estimated fair value over contractual principal balance | 164 | 201 | ||||||
Carrying value at estimated fair value | $ | 3,157 | $ | 6,820 | ||||
Three Months Ended September 30, | ||||||||||||||||||||||||
2011 | 2010 | |||||||||||||||||||||||
Estimated | Net | Estimated | Net | |||||||||||||||||||||
Carrying | Fair | Investment | Carrying | Fair | Investment | |||||||||||||||||||
Value Prior to | Value After | Gains | Value Prior to | Value After | Gains | |||||||||||||||||||
Measurement | Measurement | (Losses) | Measurement | Measurement | (Losses) | |||||||||||||||||||
(In millions) | ||||||||||||||||||||||||
Mortgage loans: (1) | ||||||||||||||||||||||||
Held-for-investment | $ | 289 | $ | 245 | $ | (44 | ) | $ | 93 | $ | 93 | $ | — | |||||||||||
Held-for-sale | 71 | 68 | (3 | ) | 27 | 28 | 1 | |||||||||||||||||
Mortgage loans, net | $ | 360 | $ | 313 | $ | (47 | ) | $ | 120 | $ | 121 | $ | 1 | |||||||||||
Other limited partnership interests (2) | $ | 5 | $ | 3 | $ | (2 | ) | $ | 3 | $ | 1 | $ | (2 | ) | ||||||||||
Real estate joint ventures (3) | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||
Goodwill (4) | $ | 65 | $ | — | $ | (65 | ) | $ | — | $ | — | $ | — |
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Nine Months Ended September 30, | ||||||||||||||||||||||||
2011 | 2010 | |||||||||||||||||||||||
Estimated | Net | Estimated | Net | |||||||||||||||||||||
Carrying | Fair | Investment | Carrying | Fair | Investment | |||||||||||||||||||
Value Prior to | Value After | Gains | Value Prior to | Value After | Gains | |||||||||||||||||||
Measurement | Measurement | (Losses) | Measurement | Measurement | (Losses) | |||||||||||||||||||
(In millions) | ||||||||||||||||||||||||
Mortgage loans: (1) | ||||||||||||||||||||||||
Held-for-investment | $ | 273 | $ | 245 | $ | (28 | ) | $ | 90 | $ | 93 | $ | 3 | |||||||||||
Held-for-sale | 72 | 68 | (4 | ) | 28 | 28 | — | |||||||||||||||||
Mortgage loans, net | $ | 345 | $ | 313 | $ | (32 | ) | $ | 118 | $ | 121 | $ | 3 | |||||||||||
Other limited partnership interests (2) | $ | 18 | $ | 13 | $ | (5 | ) | $ | 28 | $ | 18 | $ | (10 | ) | ||||||||||
Real estate joint ventures (3) | $ | — | $ | — | $ | — | $ | 33 | $ | 8 | $ | (25 | ) | |||||||||||
Goodwill (4) | $ | 65 | $ | — | $ | (65 | ) | $ | — | $ | — | $ | — |
(1) | Mortgage loans— The impaired mortgage loans presented above were written down to their estimated fair values at the date the impairments were recognized and are reported as losses above. Subsequent improvements in estimated fair value on previously impaired loans recorded through a reduction in the previously established valuation allowance are reported as gains above. Estimated fair values for impaired mortgage loans are based on observable market prices or, if the loans are in foreclosure or are otherwise determined to be collateral dependent, on the estimated fair value of the underlying collateral, or the present value of the expected future cash flows. Impairments to estimated fair value and decreases in previous impairments from subsequent improvements in estimated fair value represent non-recurring fair value measurements that have been categorized as Level 3 due to the lack of price transparency inherent in the limited markets for such mortgage loans. | |
(2) | Other limited partnership interests —The impaired investments presented above were accounted for using the cost method. Impairments on these cost method investments were recognized at estimated fair value determined from information provided in the financial statements of the underlying entities in the period in which the impairment was incurred. These impairments to estimated fair value represent non-recurring fair value measurements that have been classified as Level 3 due to the limited activity and price transparency inherent in the market for such investments. This category includes several private equity and debt funds that typically invest primarily in a diversified pool of investments using certain investment strategies including domestic and international leveraged buyout funds; power, energy, timber and infrastructure development funds; venture capital funds; and below investment grade debt and mezzanine debt funds. The estimated fair values of these investments have been determined using the NAV of the Company’s ownership interest in the partners’ capital. Distributions from these investments will be generated from investment gains, from operating income from the underlying investments of the funds and from liquidation of the underlying assets of the funds. It is estimated that the underlying assets of the funds will be liquidated over the next 2 to 10 years. Unfunded commitments for these investments were $1 million and $25 million at September 30, 2011 and 2010, respectively. | |
(3) | Real estate joint ventures— The impaired investments presented above were accounted for using the cost method. Impairments on these cost method investments were recognized at estimated fair value determined from information provided in the financial statements of the underlying entities in the period in which the impairment was incurred. These impairments to estimated fair value represent non-recurring fair value measurements that have been classified as Level 3 due to the limited activity and price transparency inherent in the market for such investments. This category includes several real estate funds that typically invest primarily in commercial real estate. The estimated fair values of these investments have been determined using the NAV of the Company’s ownership interest in the partners’ capital. Distributions from these investments will be generated from investment gains, from operating income from the underlying |
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investments of the funds and from liquidation of the underlying assets of the funds. It is estimated that the underlying assets of the funds will be liquidated over the next 2 to 10 years. There were no unfunded commitments for these investments at September 30, 2011. Unfunded commitments for these investments were $7 million at September 30, 2010. | ||
(4) | Goodwill— As discussed in Note 6, the Company recorded an impairment of goodwill associated with MetLife Bank, National Association (“MetLife Bank”). This impairment has been categorized as Level 3 due to the significant unobservable inputs used in the determination of the estimated fair value. |
September 30, 2011 | December 31, 2010 | |||||||||||||||||||||||
Estimated | Estimated | |||||||||||||||||||||||
Notional | Carrying | Fair | Notional | Carrying | Fair | |||||||||||||||||||
Amount | Value | Value | Amount | Value | Value | |||||||||||||||||||
(In millions) | ||||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||
Mortgage loans: (1) | ||||||||||||||||||||||||
Held-for-investment | $ | 55,982 | $ | 58,397 | $ | 52,136 | $ | 53,927 | ||||||||||||||||
Held-for-sale | 1,150 | 1,150 | 811 | 811 | ||||||||||||||||||||
Mortgage loans, net | $ | 57,132 | $ | 59,547 | $ | 52,947 | $ | 54,738 | ||||||||||||||||
Policy loans | $ | 11,932 | $ | 13,889 | $ | 11,761 | $ | 13,253 | ||||||||||||||||
Real estate joint ventures (2) | $ | 532 | $ | 603 | $ | 451 | $ | 482 | ||||||||||||||||
Other limited partnership interests (2) | $ | 1,340 | $ | 1,658 | $ | 1,539 | $ | 1,619 | ||||||||||||||||
Short-term investments (3) | $ | 621 | $ | 621 | $ | 819 | $ | 819 | ||||||||||||||||
Other invested assets (2) | $ | 1,453 | $ | 1,453 | $ | 1,490 | $ | 1,490 | ||||||||||||||||
Cash and cash equivalents | $ | 10,001 | $ | 10,001 | $ | 12,957 | $ | 12,957 | ||||||||||||||||
Accrued investment income | $ | 4,793 | $ | 4,793 | $ | 4,328 | $ | 4,328 | ||||||||||||||||
Premiums, reinsurance and other receivables (2) | $ | 4,849 | $ | 5,376 | $ | 3,752 | $ | 4,048 | ||||||||||||||||
Other assets (2) | $ | 433 | $ | 482 | $ | 466 | $ | 453 | ||||||||||||||||
Assets of subsidiariesheld-for-sale (2) | $ | 3,291 | $ | 3,291 | $ | 3,068 | $ | 3,068 | ||||||||||||||||
Liabilities: | ||||||||||||||||||||||||
Policyholder account balances (2) | $ | 146,652 | $ | 153,778 | $ | 146,822 | $ | 152,745 | ||||||||||||||||
Payables for collateral under securities loaned and other transactions | $ | 34,933 | $ | 34,933 | $ | 27,272 | $ | 27,272 | ||||||||||||||||
Bank deposits | $ | 10,685 | $ | 10,754 | $ | 10,316 | $ | 10,371 | ||||||||||||||||
Short-term debt | $ | 451 | $ | 451 | $ | 306 | $ | 306 | ||||||||||||||||
Long-term debt (2),(4) | $ | 21,560 | $ | 22,991 | $ | 20,734 | $ | 21,892 | ||||||||||||||||
Collateral financing arrangements | $ | 5,297 | $ | 4,647 | $ | 5,297 | $ | 4,757 | ||||||||||||||||
Junior subordinated debt securities | $ | 3,192 | $ | 3,219 | $ | 3,191 | $ | 3,461 | ||||||||||||||||
Other liabilities (2) | $ | 4,790 | $ | 4,793 | $ | 2,777 | $ | 2,777 | ||||||||||||||||
Separate account liabilities (2) | $ | 48,650 | $ | 48,650 | $ | 42,160 | $ | 42,160 | ||||||||||||||||
Liabilities of subsidiariesheld-for-sale (2) | $ | 130 | $ | 130 | $ | 105 | $ | 105 | ||||||||||||||||
Commitments:(5) | ||||||||||||||||||||||||
Mortgage loan commitments | $ | 3,743 | $ | — | $ | 4 | $ | 3,754 | $ | — | $ | (17 | ) | |||||||||||
Commitments to fund bank credit facilities, bridge loans and private corporate bond investments | $ | 1,855 | $ | — | $ | 33 | $ | 2,437 | $ | — | $ | — |
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(1) | Mortgage loansheld-for-investment as presented in the table above differ from the amounts presented in the consolidated balance sheets because this table does not include commercial mortgage loans held by CSEs, which are accounted for under the FVO. | |
Mortgage loansheld-for-sale as presented in the table above differ from the amounts presented in the consolidated balance sheets because this table does not include residential mortgage loansheld-for-sale that are accounted for under the FVO. | ||
(2) | Carrying values presented herein differ from those presented in the consolidated balance sheets because certain items within the respective financial statement caption are not considered financial instruments. Financial statement captions excluded from the table above are not considered financial instruments. | |
(3) | Short-term investments as presented in the table above differ from the amounts presented in the consolidated balance sheets because this table does not include short-term investments that meet the definition of a security, which are measured at estimated fair value on a recurring basis. | |
(4) | Long-term debt as presented in the table above does not include long-term debt of CSEs, which is accounted for under the FVO. | |
(5) | Commitments are off-balance sheet obligations. Negative estimated fair values represent off-balance sheet liabilities. |
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6. | Goodwill |
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7. | Closed Block |
September 30, 2011 | December 31, 2010 | |||||||
(In millions) | ||||||||
Closed Block Liabilities | ||||||||
Future policy benefits | $ | 43,184 | $ | 43,456 | ||||
Other policy-related balances | 336 | 316 | ||||||
Policyholder dividends payable | 618 | 579 | ||||||
Policyholder dividend obligation | 2,782 | 876 | ||||||
Current income tax payable | — | 178 | ||||||
Other liabilities | 692 | 627 | ||||||
Total closed block liabilities | 47,612 | 46,032 | ||||||
Assets Designated to the Closed Block | ||||||||
Investments: | ||||||||
Fixed maturity securitiesavailable-for-sale, at estimated fair value (amortized cost: $26,966 and $27,067, respectively) | 30,540 | 28,768 | ||||||
Equity securitiesavailable-for-sale, at estimated fair value (cost: $42 and $110, respectively) | 34 | 102 | ||||||
Mortgage loans | 6,165 | 6,253 | ||||||
Policy loans | 4,645 | 4,629 | ||||||
Real estate and real estate joint venturesheld-for-investment | 335 | 328 | ||||||
Short-term investments | — | 1 | ||||||
Other invested assets | 744 | 729 | ||||||
Total investments | 42,463 | 40,810 | ||||||
Cash and cash equivalents | 297 | 236 | ||||||
Accrued investment income | 534 | 518 | ||||||
Premiums, reinsurance and other receivables | 89 | 95 | ||||||
Current income tax recoverable | 36 | — | ||||||
Deferred income tax assets | 396 | 474 | ||||||
Total assets designated to the closed block | 43,815 | 42,133 | ||||||
Excess of closed block liabilities over assets designated to the closed block | 3,797 | 3,899 | ||||||
Amounts included in accumulated other comprehensive income (loss): | ||||||||
Unrealized investment gains (losses), net of income tax of $1,249 and $594, respectively | 2,321 | 1,101 | ||||||
Unrealized gains (losses) on derivative instruments, net of income tax of $7 and $5, respectively | 13 | 10 | ||||||
Allocated to policyholder dividend obligation, net of income tax of ($974) and ($307), respectively | (1,808 | ) | (569 | ) | ||||
Total amounts included in accumulated other comprehensive income (loss) | 526 | 542 | ||||||
Maximum future earnings to be recognized from closed block assets and liabilities | $ | 4,323 | $ | 4,441 | ||||
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Nine Months | Year | |||||||
Ended | Ended | |||||||
September 30, 2011 | December 31, 2010 | |||||||
(In millions) | ||||||||
Balance, beginning of period | $ | 876 | $ | — | ||||
Change in unrealized investment and derivative gains (losses) | 1,906 | 876 | ||||||
Balance, end of period | $ | 2,782 | $ | 876 | ||||
Three Months | Nine Months | |||||||||||||||
Ended | Ended | |||||||||||||||
September 30, | September 30, | |||||||||||||||
2011 | 2010 | 2011 | 2010 | |||||||||||||
(In millions) | ||||||||||||||||
Revenues | ||||||||||||||||
Premiums | $ | 554 | $ | 593 | $ | 1,657 | $ | 1,776 | ||||||||
Net investment income | 553 | 571 | 1,698 | 1,714 | ||||||||||||
Net investment gains (losses): | ||||||||||||||||
Other-than-temporary impairments on fixed maturity securities | (1 | ) | (5 | ) | (8 | ) | (23 | ) | ||||||||
Other-than-temporary impairments on fixed maturity securities transferred to other comprehensive income (loss) | — | — | — | — | ||||||||||||
Other net investment gains (losses) | 23 | 3 | 40 | 42 | ||||||||||||
Total net investment gains (losses) | 22 | (2 | ) | 32 | 19 | |||||||||||
Net derivative gains (losses) | 17 | (36 | ) | 3 | (22 | ) | ||||||||||
Total revenues | 1,146 | 1,126 | 3,390 | 3,487 | ||||||||||||
Expenses | ||||||||||||||||
Policyholder benefits and claims | 731 | 758 | 2,166 | 2,262 | ||||||||||||
Policyholder dividends | 304 | 329 | 897 | 974 | ||||||||||||
Other expenses | 48 | 50 | 146 | 151 | ||||||||||||
Total expenses | 1,083 | 1,137 | 3,209 | 3,387 | ||||||||||||
Revenues, net of expenses before provision for income tax expense (benefit) | 63 | (11 | ) | 181 | 100 | |||||||||||
Provision for income tax expense (benefit) | 25 | (5 | ) | 63 | 32 | |||||||||||
Revenues, net of expenses and provision for income tax expense (benefit) | $ | 38 | $ | (6 | ) | $ | 118 | $ | 68 | |||||||
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Three Months | Nine Months | |||||||||||||||
Ended | Ended | |||||||||||||||
September 30, | September 30, | |||||||||||||||
2011 | 2010 | 2011 | 2010 | |||||||||||||
(In millions) | ||||||||||||||||
Balance, end of period | $ | 4,323 | $ | 4,519 | $ | 4,323 | $ | 4,519 | ||||||||
Balance, beginning of period | 4,361 | 4,513 | 4,441 | 4,587 | ||||||||||||
Change during period | $ | (38 | ) | $ | 6 | $ | (118 | ) | $ | (68 | ) | |||||
8. | Long-term and Short-term Debt |
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9. | Contingencies, Commitments and Guarantees |
111
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112
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113
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114
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115
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116
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10. | Employee Benefit Plans |
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Pension Benefits | Other Postretirement Benefits | |||||||||||||||||||||||||||||||
Three Months | Nine Months | Three Months | Nine Months | |||||||||||||||||||||||||||||
Ended | Ended | Ended | Ended | |||||||||||||||||||||||||||||
September 30, | September 30, | September 30, | September 30, | |||||||||||||||||||||||||||||
2011 | 2010 | 2011 | 2010 | 2011 | 2010 | 2011 | 2010 | |||||||||||||||||||||||||
(In millions) | ||||||||||||||||||||||||||||||||
Service costs | $ | 64 | $ | 45 | $ | 190 | $ | 133 | $ | 4 | $ | 4 | $ | 13 | $ | 13 | ||||||||||||||||
Interest costs | 104 | 99 | 314 | 298 | 27 | 28 | 81 | 84 | ||||||||||||||||||||||||
Expected return on plan assets | (112 | ) | (113 | ) | (339 | ) | (337 | ) | (19 | ) | (19 | ) | (58 | ) | (59 | ) | ||||||||||||||||
Settlement and curtailment costs | — | 1 | — | 8 | — | — | — | — | ||||||||||||||||||||||||
Amortization of net actuarial (gains) losses | 49 | 49 | 146 | 147 | 11 | 9 | 32 | 28 | ||||||||||||||||||||||||
Amortization of prior service costs (credit) | 1 | 2 | 3 | 5 | (27 | ) | (21 | ) | (81 | ) | (62 | ) | ||||||||||||||||||||
Net periodic benefit costs | $ | 106 | $ | 83 | $ | 314 | $ | 254 | $ | (4 | ) | $ | 1 | $ | (13 | ) | $ | 4 | ||||||||||||||
Pension Benefits | Other Postretirement Benefits | |||||||||||||||||||||||||||||||
Three Months | Nine Months | Three Months | Nine Months | |||||||||||||||||||||||||||||
Ended | Ended | Ended | Ended | |||||||||||||||||||||||||||||
September 30, | September 30, | September 30, | September 30, | |||||||||||||||||||||||||||||
2011 | 2010 | 2011 | 2010 | 2011 | 2010 | 2011 | 2010 | |||||||||||||||||||||||||
(In millions) | ||||||||||||||||||||||||||||||||
Amortization of net actuarial (gains) losses | $ | 49 | $ | 49 | $ | 146 | $ | 147 | $ | 11 | $ | 9 | $ | 32 | $ | 28 | ||||||||||||||||
Amortization of prior service costs (credit) | 1 | 2 | 3 | 5 | (27 | ) | (21 | ) | (81 | ) | (62 | ) | ||||||||||||||||||||
Subtotal | 50 | 51 | 149 | 152 | (16 | ) | (12 | ) | (49 | ) | (34 | ) | ||||||||||||||||||||
Deferred income tax expense (benefit) | (18 | ) | (17 | ) | (52 | ) | (53 | ) | 6 | 3 | 17 | 29 | ||||||||||||||||||||
Components of net periodic benefit costs amortized from accumulated other comprehensive income (loss), net of income tax | $ | 32 | $ | 34 | $ | 97 | $ | 99 | $ | (10 | ) | $ | (9 | ) | $ | (32 | ) | $ | (5 | ) | ||||||||||||
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11. | Equity |
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12. | Other Expenses |
Three Months | Nine Months | |||||||||||||||
Ended | Ended | |||||||||||||||
September 30, | September 30, | |||||||||||||||
2011 | 2010 | 2011 | 2010 | |||||||||||||
(In millions) | ||||||||||||||||
Compensation | $ | 1,326 | $ | 831 | $ | 3,982 | $ | 2,553 | ||||||||
Pension, postretirement & postemployment benefit costs | 99 | 98 | 289 | 285 | ||||||||||||
Commissions | 1,771 | 870 | 4,774 | 2,509 | ||||||||||||
Volume-related costs | 109 | 93 | 283 | 286 | ||||||||||||
Interest credited to bank deposits | 26 | 33 | 72 | 108 | ||||||||||||
Capitalization of DAC | (1,852 | ) | (766 | ) | (5,119 | ) | (2,255 | ) | ||||||||
Amortization of DAC and VOBA | 1,858 | 573 | 4,295 | 2,184 | ||||||||||||
Amortization of negative VOBA | (170 | ) | — | (536 | ) | — | ||||||||||
Interest expense on debt and debt issue costs | 425 | 397 | 1,260 | 1,136 | ||||||||||||
Premium taxes, licenses & fees | 206 | 132 | 483 | 382 | ||||||||||||
Professional services | 336 | 255 | 1,019 | 684 | ||||||||||||
Rent, net of sublease income | 99 | 75 | 319 | 221 | ||||||||||||
Other | 780 | 398 | 2,289 | 1,237 | ||||||||||||
Total other expenses | $ | 5,013 | $ | 2,989 | $ | 13,410 | $ | 9,330 | ||||||||
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13. | Earnings Per Common Share |
Three Months | Nine Months | |||||||||||||||
Ended | Ended | |||||||||||||||
September 30, | September 30, | |||||||||||||||
2011 | 2010 | 2011 | 2010 | |||||||||||||
(In millions, except share and per share data) | ||||||||||||||||
Weighted Average Shares: | ||||||||||||||||
Weighted average common stock outstanding for basic earnings | ||||||||||||||||
per common share | 1,060,199,513 | 875,782,191 | 1,059,253,798 | 840,375,518 | ||||||||||||
Incremental common shares from assumed: | ||||||||||||||||
Stock purchase contracts underlying common equity units (1) | — | — | 2,188,593 | — | ||||||||||||
Exercise or issuance of stock-based awards | 6,001,186 | 7,317,973 | 7,221,794 | 6,950,540 | ||||||||||||
Weighted average common stock outstanding for diluted | ||||||||||||||||
earnings per common share | 1,066,200,699 | 883,100,164 | 1,068,664,185 | 847,326,058 | ||||||||||||
Income (Loss) from Continuing Operations: | ||||||||||||||||
Income (loss) from continuing operations, net of income tax | $ | 3,572 | $ | 317 | $ | 5,825 | $ | 2,681 | ||||||||
Less: Income (loss) from continuing operations, net of income tax, attributable to noncontrolling interests | (6 | ) | 4 | (6 | ) | (7 | ) | |||||||||
Less: Preferred stock dividends | 30 | 30 | 91 | 91 | ||||||||||||
Preferred stock redemption premium | — | — | 146 | — | ||||||||||||
Income (loss) from continuing operations, net of income tax, | ||||||||||||||||
available to MetLife, Inc.’s common shareholders | $ | 3,548 | $ | 283 | $ | 5,594 | $ | 2,597 | ||||||||
Basic | $ | 3.35 | $ | 0.33 | $ | 5.29 | $ | 3.09 | ||||||||
Diluted | $ | 3.33 | $ | 0.32 | $ | 5.24 | $ | 3.07 | ||||||||
Income (Loss) from Discontinued Operations: | ||||||||||||||||
Income (loss) from discontinued operations, net of income tax | $ | 4 | $ | 3 | $ | (6 | ) | $ | 20 | |||||||
Less: Income (loss) from discontinued operations, net of income tax, attributable to noncontrolling interests | — | — | — | — | ||||||||||||
Income (loss) from discontinued operations, net of income tax, available to MetLife, Inc.’s common shareholders | $ | 4 | $ | 3 | $ | (6 | ) | $ | 20 | |||||||
Basic | $ | — | $ | — | $ | (0.01 | ) | $ | 0.02 | |||||||
Diluted | $ | — | $ | — | $ | (0.01 | ) | $ | 0.02 | |||||||
Net Income (Loss): | ||||||||||||||||
Net income (loss) | $ | 3,576 | $ | 320 | $ | 5,819 | $ | 2,701 | ||||||||
Less: Net income (loss) attributable to noncontrolling interests | (6 | ) | 4 | (6 | ) | (7 | ) | |||||||||
Less: Preferred stock dividends | 30 | 30 | 91 | 91 | ||||||||||||
Preferred stock redemption premium | — | — | 146 | — | ||||||||||||
Net income (loss) available to MetLife, Inc.’s common | ||||||||||||||||
shareholders | $ | 3,552 | $ | 286 | $ | 5,588 | $ | 2,617 | ||||||||
Basic | $ | 3.35 | $ | 0.33 | $ | 5.28 | $ | 3.11 | ||||||||
Diluted | $ | 3.33 | $ | 0.32 | $ | 5.23 | $ | 3.09 | ||||||||
(1) | See Note 14 of the Notes to the Consolidated Financial Statements included in the 2010 Annual Report for a description of the Company’s common equity units. |
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14. | Business Segment Information |
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• | Universal life and investment-type product policy fees exclude the amortization of unearned revenue related to net investment gains (losses) and net derivative gains (losses) and certain variable annuity GMIB fees (“GMIB Fees”); | |
• | Net investment income: (i) includes amounts for scheduled periodic settlement payments and amortization of premium on derivatives that are hedges of investments but do not qualify for hedge accounting treatment, (ii) includes income from discontinued real estate operations, (iii) excludes post-tax operating earnings adjustments relating to insurance joint ventures accounted for under the equity method, (iv) excludes certain amounts related to contractholder-directed unit- linked investments, and (v) excludes certain amounts related to securitization entities that are VIEs consolidated under GAAP; and | |
• | Other revenues are adjusted for settlements of foreign currency earnings hedges. |
• | Policyholder benefits and claims and policyholder dividends exclude: (i) changes in the policyholder dividend obligation related to net investment gains (losses) and net derivative gains (losses), (ii) inflation-indexed benefit adjustments associated with contracts backed by inflation-indexed investments and amounts associated with periodic crediting rate adjustments based on the total return of a contractually referenced pool of assets, (iii) benefits and hedging costs related to GMIBs (“GMIB Costs”), and (iv) market value adjustments associated with surrenders or terminations of contracts (“Market Value Adjustments”); | |
• | Interest credited to policyholder account balances includes adjustments for scheduled periodic settlement payments and amortization of premium on derivatives that are hedges of policyholder account balances but do not qualify for hedge accounting treatment and excludes amounts related to net investment income earned on contractholder-directed unit-linked investments; | |
• | Amortization of DAC and value of business acquired (“VOBA”) excludes amounts related to: (i) net investment gains (losses) and net derivative gains (losses), (ii) GMIB Fees and GMIB Costs, and (iii) Market Value Adjustments; | |
• | Amortization of negative VOBA excludes amounts related to Market Value Adjustments; | |
• | Interest expense on debt excludes certain amounts related to securitization entities that are VIEs consolidated under GAAP; and | |
• | Other expenses exclude costs related to: (i) noncontrolling interests, (ii) implementation of new insurance regulatory requirements, and (iii) business combinations. |
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Operating Earnings | ||||||||||||||||||||||||||||||||||||||||||||||||
U.S. Business | International | |||||||||||||||||||||||||||||||||||||||||||||||
Corporate | Auto | Other | Banking, | |||||||||||||||||||||||||||||||||||||||||||||
Insurance | Retirement | Benefit | & | International | Corporate | Total | ||||||||||||||||||||||||||||||||||||||||||
Three Months Ended September 30, 2011 | Products | Products | Funding | Home | Total | Japan | Regions | Total | & Other | Total | Adjustments | Consolidated | ||||||||||||||||||||||||||||||||||||
(In millions) | ||||||||||||||||||||||||||||||||||||||||||||||||
Revenues | ||||||||||||||||||||||||||||||||||||||||||||||||
Premiums | $ | 4,159 | $ | 393 | $ | 724 | $ | 760 | $ | 6,036 | $ | 1,601 | $ | 1,702 | $ | 3,303 | $ | 3 | $ | 9,342 | $ | — | $ | 9,342 | ||||||||||||||||||||||||
Universal life and investment-type product policy fees | 566 | 620 | 69 | — | 1,255 | 220 | 433 | 653 | — | 1,908 | 90 | 1,998 | ||||||||||||||||||||||||||||||||||||
Net investment income | 1,526 | 800 | 1,289 | 50 | 3,665 | 540 | 550 | 1,090 | 297 | 5,052 | (795 | ) | 4,257 | |||||||||||||||||||||||||||||||||||
Other revenues | 216 | 77 | 61 | 8 | 362 | 5 | 40 | 45 | 308 | 715 | 5 | 720 | ||||||||||||||||||||||||||||||||||||
Net investment gains (losses) | — | — | — | — | — | — | — | — | — | �� | (55 | ) | (55 | ) | ||||||||||||||||||||||||||||||||||
Net derivative gains (losses) | — | — | — | — | — | — | — | — | — | — | 4,196 | 4,196 | ||||||||||||||||||||||||||||||||||||
Total revenues | 6,467 | 1,890 | 2,143 | 818 | 11,318 | 2,366 | 2,725 | 5,091 | 608 | 17,017 | 3,441 | 20,458 | ||||||||||||||||||||||||||||||||||||
Expenses | ||||||||||||||||||||||||||||||||||||||||||||||||
Policyholder benefits and claims and policyholder dividends | 4,816 | 585 | 1,287 | 613 | 7,301 | 999 | 1,315 | 2,314 | 4 | 9,619 | (218 | ) | 9,401 | |||||||||||||||||||||||||||||||||||
Interest credited to policyholder account balances | 255 | 408 | 327 | — | 990 | 401 | 146 | 547 | — | 1,537 | (799 | ) | 738 | |||||||||||||||||||||||||||||||||||
Interest credited to bank deposits | — | — | — | — | — | — | — | — | 26 | 26 | — | 26 | ||||||||||||||||||||||||||||||||||||
Capitalization of DAC | (213 | ) | (478 | ) | (6 | ) | (121 | ) | (818 | ) | (619 | ) | (415 | ) | (1,034 | ) | — | (1,852 | ) | — | (1,852 | ) | ||||||||||||||||||||||||||
Amortization of DAC and VOBA | 186 | 347 | 4 | 114 | 651 | 318 | 268 | 586 | — | 1,237 | 621 | 1,858 | ||||||||||||||||||||||||||||||||||||
Amortization of negative VOBA | — | — | — | — | — | (135 | ) | (16 | ) | (151 | ) | — | (151 | ) | (19 | ) | (170 | ) | ||||||||||||||||||||||||||||||
Interest expense on debt | — | — | 2 | — | 2 | — | — | — | 326 | 328 | 97 | 425 | ||||||||||||||||||||||||||||||||||||
Other expenses | 1,016 | 867 | 126 | 200 | 2,209 | 909 | 1,074 | 1,983 | 438 | 4,630 | 96 | 4,726 | ||||||||||||||||||||||||||||||||||||
Total expenses | 6,060 | 1,729 | 1,740 | 806 | 10,335 | 1,873 | 2,372 | 4,245 | 794 | 15,374 | (222 | ) | 15,152 | |||||||||||||||||||||||||||||||||||
Provision for income tax expense (benefit) | 142 | 57 | 139 | (10 | ) | 328 | 178 | 90 | 268 | (162 | ) | 434 | 1,300 | 1,734 | ||||||||||||||||||||||||||||||||||
Operating earnings | $ | 265 | $ | 104 | $ | 264 | $ | 22 | $ | 655 | $ | 315 | $ | 263 | $ | 578 | $ | (24 | ) | 1,209 | ||||||||||||||||||||||||||||
Adjustments to: | ||||||||||||||||||||||||||||||||||||||||||||||||
Total revenues | 3,441 | |||||||||||||||||||||||||||||||||||||||||||||||
Total expenses | 222 | |||||||||||||||||||||||||||||||||||||||||||||||
Provision for income tax (expense) benefit | (1,300 | ) | ||||||||||||||||||||||||||||||||||||||||||||||
Income (loss) from continuing operations, net of income tax | $ | 3,572 | $ | 3,572 | ||||||||||||||||||||||||||||||||||||||||||||
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Operating Earnings | ||||||||||||||||||||||||||||||||||||||||||||||||
U.S. Business | International | |||||||||||||||||||||||||||||||||||||||||||||||
Corporate | Auto | Other | Banking, | |||||||||||||||||||||||||||||||||||||||||||||
Insurance | Retirement | Benefit | & | International | Corporate | Total | ||||||||||||||||||||||||||||||||||||||||||
Three Months Ended September 30, 2010 | Products | Products | Funding | Home | Total | Japan | Regions | Total | & Other | Total | Adjustments | Consolidated | ||||||||||||||||||||||||||||||||||||
(In millions) | ||||||||||||||||||||||||||||||||||||||||||||||||
Revenues | ||||||||||||||||||||||||||||||||||||||||||||||||
Premiums | $ | 4,234 | $ | 227 | $ | 402 | $ | 740 | $ | 5,603 | $ | — | $ | 878 | $ | 878 | $ | 3 | $ | 6,484 | $ | — | $ | 6,484 | ||||||||||||||||||||||||
Universal life and investment-type product policy fees | 539 | 500 | 58 | — | 1,097 | — | 301 | 301 | — | 1,398 | 54 | 1,452 | ||||||||||||||||||||||||||||||||||||
Net investment income | 1,515 | 856 | 1,216 | 51 | 3,638 | — | 451 | 451 | 225 | 4,314 | 50 | 4,364 | ||||||||||||||||||||||||||||||||||||
Other revenues | 185 | 56 | 59 | 8 | 308 | — | 7 | 7 | 309 | 624 | — | 624 | ||||||||||||||||||||||||||||||||||||
Net investment gains (losses) | — | — | — | — | — | — | — | — | — | — | (342 | ) | (342 | ) | ||||||||||||||||||||||||||||||||||
Net derivative gains (losses) | — | — | — | — | — | — | — | — | — | — | (244 | ) | (244 | ) | ||||||||||||||||||||||||||||||||||
Total revenues | 6,473 | 1,639 | 1,735 | 799 | 10,646 | — | 1,637 | 1,637 | 537 | 12,820 | (482 | ) | 12,338 | |||||||||||||||||||||||||||||||||||
Expenses | ||||||||||||||||||||||||||||||||||||||||||||||||
Policyholder benefits and claims and policyholder dividends | 4,685 | 378 | 963 | 506 | 6,532 | — | 763 | 763 | (4 | ) | 7,291 | 409 | 7,700 | |||||||||||||||||||||||||||||||||||
Interest credited to policyholder account balances | 243 | 394 | 380 | — | 1,017 | — | 242 | 242 | — | 1,259 | 5 | 1,264 | ||||||||||||||||||||||||||||||||||||
Interest credited to bank deposits | — | — | — | — | — | — | — | — | 33 | 33 | — | 33 | ||||||||||||||||||||||||||||||||||||
Capitalization of DAC | (204 | ) | (270 | ) | (6 | ) | (118 | ) | (598 | ) | — | (168 | ) | (168 | ) | — | (766 | ) | — | (766 | ) | |||||||||||||||||||||||||||
Amortization of DAC and VOBA | 221 | 153 | 4 | 110 | 488 | — | 104 | 104 | (1 | ) | 591 | (18 | ) | 573 | ||||||||||||||||||||||||||||||||||
Amortization of negative VOBA | — | — | — | — | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||
Interest expense on debt | — | 2 | 1 | — | 3 | — | (1 | ) | (1 | ) | 292 | 294 | 103 | 397 | ||||||||||||||||||||||||||||||||||
Other expenses | 998 | 615 | 113 | 200 | 1,926 | — | 506 | 506 | 278 | 2,710 | 42 | 2,752 | ||||||||||||||||||||||||||||||||||||
Total expenses | 5,943 | 1,272 | 1,455 | 698 | 9,368 | — | 1,446 | 1,446 | 598 | 11,412 | 541 | 11,953 | ||||||||||||||||||||||||||||||||||||
Provision for income tax expense (benefit) | 185 | 129 | 98 | 20 | 432 | — | 2 | 2 | (14 | ) | 420 | (352 | ) | 68 | ||||||||||||||||||||||||||||||||||
Operating earnings | $ | 345 | $ | 238 | $ | 182 | $ | 81 | $ | 846 | $ | — | $ | 189 | $ | 189 | $ | (47 | ) | 988 | ||||||||||||||||||||||||||||
Adjustments to: | ||||||||||||||||||||||||||||||||||||||||||||||||
Total revenues | (482 | ) | ||||||||||||||||||||||||||||||||||||||||||||||
Total expenses | (541 | ) | ||||||||||||||||||||||||||||||||||||||||||||||
Provision for income tax (expense) benefit | 352 | |||||||||||||||||||||||||||||||||||||||||||||||
Income (loss) from continuing operations, net of income tax | $ | 317 | $ | 317 | ||||||||||||||||||||||||||||||||||||||||||||
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Operating Earnings | ||||||||||||||||||||||||||||||||||||||||||||||||
U.S. Business | International | |||||||||||||||||||||||||||||||||||||||||||||||
Corporate | Auto | Other | Banking, | |||||||||||||||||||||||||||||||||||||||||||||
Insurance | Retirement | Benefit | & | International | Corporate | Total | ||||||||||||||||||||||||||||||||||||||||||
Nine Months Ended September 30, 2011 | Products | Products | Funding | Home | Total | Japan | Regions | Total | & Other | Total | Adjustments | Consolidated | ||||||||||||||||||||||||||||||||||||
(In millions) | ||||||||||||||||||||||||||||||||||||||||||||||||
Revenues | ||||||||||||||||||||||||||||||||||||||||||||||||
Premiums | $ | 12,619 | $ | 839 | $ | 1,796 | $ | 2,243 | $ | 17,497 | $ | 4,720 | $ | 4,966 | $ | 9,686 | $ | 7 | $ | 27,190 | $ | — | $ | 27,190 | ||||||||||||||||||||||||
Universal life and investment-type product policy fees | 1,695 | 1,828 | 181 | — | 3,704 | 609 | 1,339 | 1,948 | — | 5,652 | 204 | 5,856 | ||||||||||||||||||||||||||||||||||||
Net investment income | 4,627 | 2,378 | 3,925 | 154 | 11,084 | 1,496 | 1,510 | 3,006 | 924 | 15,014 | (345 | ) | 14,669 | |||||||||||||||||||||||||||||||||||
Other revenues | 620 | 227 | 182 | 23 | 1,052 | 18 | 108 | 126 | 692 | 1,870 | 8 | 1,878 | ||||||||||||||||||||||||||||||||||||
Net investment gains (losses) | — | — | — | — | — | — | — | — | — | — | (309 | ) | (309 | ) | ||||||||||||||||||||||||||||||||||
Net derivative gains (losses) | — | — | — | — | — | — | — | — | — | — | 4,233 | 4,233 | ||||||||||||||||||||||||||||||||||||
Total revenues | 19,561 | 5,272 | 6,084 | 2,420 | 33,337 | 6,843 | 7,923 | 14,766 | 1,623 | 49,726 | 3,791 | 53,517 | ||||||||||||||||||||||||||||||||||||
Expenses | ||||||||||||||||||||||||||||||||||||||||||||||||
Policyholder benefits and claims and policyholder dividends | 14,115 | 1,362 | 3,400 | 1,864 | 20,741 | 2,967 | 3,635 | 6,602 | 7 | 27,350 | 147 | 27,497 | ||||||||||||||||||||||||||||||||||||
Interest credited to policyholder account balances | 742 | 1,196 | 992 | — | 2,930 | 1,158 | 441 | 1,599 | — | 4,529 | (425 | ) | 4,104 | |||||||||||||||||||||||||||||||||||
Interest credited to bank deposits | — | — | — | — | — | — | — | — | 72 | 72 | — | 72 | ||||||||||||||||||||||||||||||||||||
Capitalization of DAC | (643 | ) | (1,195 | ) | (24 | ) | (343 | ) | (2,205 | ) | (1,660 | ) | (1,254 | ) | (2,914 | ) | — | (5,119 | ) | — | (5,119 | ) | ||||||||||||||||||||||||||
Amortization of DAC and VOBA | 631 | 783 | 14 | 336 | 1,764 | 981 | 868 | 1,849 | — | 3,613 | 682 | 4,295 | ||||||||||||||||||||||||||||||||||||
Amortization of negative VOBA | — | — | — | — | — | (422 | ) | (57 | ) | (479 | ) | — | (479 | ) | (57 | ) | (536 | ) | ||||||||||||||||||||||||||||||
Interest expense on debt | — | 1 | 6 | — | 7 | — | 2 | 2 | 970 | 979 | 281 | 1,260 | ||||||||||||||||||||||||||||||||||||
Other expenses | 3,079 | 2,329 | 363 | 591 | 6,362 | 2,502 | 3,185 | 5,687 | 1,086 | 13,135 | 303 | 13,438 | ||||||||||||||||||||||||||||||||||||
Total expenses | 17,924 | 4,476 | 4,751 | 2,448 | 29,599 | 5,526 | 6,820 | 12,346 | 2,135 | 44,080 | 931 | 45,011 | ||||||||||||||||||||||||||||||||||||
Provision for income tax expense (benefit) | 573 | 279 | 466 | (51 | ) | 1,267 | 467 | 301 | 768 | (406 | ) | 1,629 | 1,052 | 2,681 | ||||||||||||||||||||||||||||||||||
Operating earnings | $ | 1,064 | $ | 517 | $ | 867 | $ | 23 | $ | 2,471 | $ | 850 | $ | 802 | $ | 1,652 | $ | (106 | ) | 4,017 | ||||||||||||||||||||||||||||
Adjustments to: | ||||||||||||||||||||||||||||||||||||||||||||||||
Total revenues | 3,791 | |||||||||||||||||||||||||||||||||||||||||||||||
Total expenses | (931 | ) | ||||||||||||||||||||||||||||||||||||||||||||||
Provision for income tax (expense) benefit | (1,052 | ) | ||||||||||||||||||||||||||||||||||||||||||||||
Income (loss) from continuing operations, net of income tax | $ | 5,825 | $ | 5,825 | ||||||||||||||||||||||||||||||||||||||||||||
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Operating Earnings | ||||||||||||||||||||||||||||||||||||||||||||||||
U.S. Business | International | |||||||||||||||||||||||||||||||||||||||||||||||
Corporate | Auto | Other | Banking, | |||||||||||||||||||||||||||||||||||||||||||||
Insurance | Retirement | Benefit | & | International | Corporate | Total | ||||||||||||||||||||||||||||||||||||||||||
Nine Months Ended September 30, 2010 | Products | Products | Funding | Home | Total | Japan | Regions | Total | & Other | Total | Adjustments | Consolidated | ||||||||||||||||||||||||||||||||||||
(In millions) | ||||||||||||||||||||||||||||||||||||||||||||||||
Revenues | ||||||||||||||||||||||||||||||||||||||||||||||||
Premiums | $ | 12,874 | $ | 730 | $ | 1,547 | $ | 2,177 | $ | 17,328 | $ | — | $ | 2,522 | $ | 2,522 | $ | 6 | $ | 19,856 | $ | — | $ | 19,856 | ||||||||||||||||||||||||
Universal life and investment-type product policy fees | 1,634 | 1,474 | 169 | — | 3,277 | — | 902 | 902 | — | 4,179 | 160 | 4,339 | ||||||||||||||||||||||||||||||||||||
Net investment income | 4,514 | 2,550 | 3,641 | 156 | 10,861 | — | 1,153 | 1,153 | 691 | 12,705 | 40 | 12,745 | ||||||||||||||||||||||||||||||||||||
Other revenues | 562 | 159 | 181 | 14 | 916 | — | 12 | 12 | 753 | 1,681 | — | 1,681 | ||||||||||||||||||||||||||||||||||||
Net investment gains (losses) | — | — | — | — | — | — | — | — | — | — | (324 | ) | (324 | ) | ||||||||||||||||||||||||||||||||||
Net derivative gains (losses) | — | — | — | — | — | — | — | — | — | — | 1,278 | 1,278 | ||||||||||||||||||||||||||||||||||||
Total revenues | 19,584 | 4,913 | 5,538 | 2,347 | 32,382 | — | 4,589 | 4,589 | 1,450 | 38,421 | 1,154 | 39,575 | ||||||||||||||||||||||||||||||||||||
Expenses | ||||||||||||||||||||||||||||||||||||||||||||||||
Policyholder benefits and claims and policyholder dividends | 14,253 | 1,207 | 3,115 | 1,506 | 20,081 | — | 2,279 | 2,279 | (11 | ) | 22,349 | 510 | 22,859 | |||||||||||||||||||||||||||||||||||
Interest credited to policyholder account balances | 714 | 1,205 | 1,099 | — | 3,018 | — | 433 | 433 | — | 3,451 | 3 | 3,454 | ||||||||||||||||||||||||||||||||||||
Interest credited to bank deposits | — | — | — | — | — | — | — | — | 108 | 108 | — | 108 | ||||||||||||||||||||||||||||||||||||
Capitalization of DAC | (627 | ) | (766 | ) | (17 | ) | (339 | ) | (1,749 | ) | — | (506 | ) | (506 | ) | — | (2,255 | ) | — | (2,255 | ) | |||||||||||||||||||||||||||
Amortization of DAC and VOBA | 666 | 594 | 12 | 328 | 1,600 | — | 313 | 313 | (1 | ) | 1,912 | 272 | 2,184 | |||||||||||||||||||||||||||||||||||
Amortization of negative VOBA | — | — | — | — | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||
Interest expense on debt | — | 4 | 3 | — | 7 | — | 2 | 2 | 815 | 824 | 312 | 1,136 | ||||||||||||||||||||||||||||||||||||
Other expenses | 3,021 | 1,784 | 346 | 572 | 5,723 | — | 1,489 | 1,489 | 825 | 8,037 | 120 | 8,157 | ||||||||||||||||||||||||||||||||||||
Total expenses | 18,027 | 4,028 | 4,558 | 2,067 | 28,680 | — | 4,010 | 4,010 | 1,736 | 34,426 | 1,217 | 35,643 | ||||||||||||||||||||||||||||||||||||
Provision for income tax expense (benefit) | 545 | 310 | 343 | 54 | 1,252 | — | 101 | 101 | (185 | ) | 1,168 | 83 | 1,251 | |||||||||||||||||||||||||||||||||||
Operating earnings | $ | 1,012 | $ | 575 | $ | 637 | $ | 226 | $ | 2,450 | $ | — | $ | 478 | $ | 478 | $ | (101 | ) | 2,827 | ||||||||||||||||||||||||||||
Adjustments to: | ||||||||||||||||||||||||||||||||||||||||||||||||
Total revenues | 1,154 | |||||||||||||||||||||||||||||||||||||||||||||||
Total expenses | (1,217 | ) | ||||||||||||||||||||||||||||||||||||||||||||||
Provision for income tax (expense) benefit | (83 | ) | ||||||||||||||||||||||||||||||||||||||||||||||
Income (loss) from continuing operations, net of income tax | $ | 2,681 | $ | 2,681 | ||||||||||||||||||||||||||||||||||||||||||||
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September 30, 2011 | December 31, 2010 | |||||||
(In millions) | ||||||||
U.S. Business: | ||||||||
Insurance Products | $ | 148,629 | $ | 141,366 | ||||
Retirement Products | 185,010 | 177,045 | ||||||
Corporate Benefit Funding | 186,741 | 172,929 | ||||||
Auto & Home | 5,965 | 5,541 | ||||||
Total | 526,345 | 496,881 | ||||||
International: | ||||||||
Japan | 104,493 | 87,416 | ||||||
Other International Regions | 68,351 | 77,579 | ||||||
Total | 172,844 | 164,995 | ||||||
Banking, Corporate & Other | 86,041 | 69,030 | ||||||
Total | $ | 785,230 | $ | 730,906 | ||||
15. | Discontinued Operations |
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Three Months | Nine Months | |||||||||||||||
Ended | Ended | |||||||||||||||
September 30, | September 30, | |||||||||||||||
2011 | 2010 | 2011 | 2010 | |||||||||||||
(In millions) | ||||||||||||||||
Total revenues | $ | 101 | $ | 102 | $ | 337 | $ | 296 | ||||||||
Total expenses | 115 | 98 | 329 | 282 | ||||||||||||
Income (loss) before provision for income tax | (14 | ) | 4 | 8 | 14 | |||||||||||
Provision for income tax expense (benefit) | (3 | ) | 2 | 5 | 5 | |||||||||||
Income (loss) from operations of discontinued operations, net of income tax | (11 | ) | 2 | 3 | 9 | |||||||||||
Net investment gain (loss), net of income tax | — | — | (74 | ) | — | |||||||||||
Income (loss) from discontinued operations, net of income tax | $ | (11 | ) | $ | 2 | $ | (71 | ) | $ | 9 | ||||||
September 30, 2011 | December 31, 2010 | |||||||
(In millions) | ||||||||
Total assetsheld-for-sale | $ | 3,421 | $ | 3,331 | ||||
Total liabilitiesheld-for-sale | $ | 3,221 | $ | 3,043 | ||||
Major classes of assets and liabilities included above: | ||||||||
Total investments | $ | 3,089 | $ | 2,726 | ||||
Total future policy benefits | $ | 2,661 | $ | 2,461 |
16. | Subsequent Event |
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Item 2. | Management’s Discussion and Analysis of Financial Condition and Results of Operations |
• | Universal life and investment-type product policy fees exclude the amortization of unearned revenue related to net investment gains (losses) and net derivative gains (losses) and certain variable annuity guaranteed minimum income benefits (“GMIB”) fees (“GMIB Fees”); | |
• | Net investment income: (i) includes amounts for scheduled periodic settlement payments and amortization of premium on derivatives that are hedges of investments but do not qualify for hedge accounting treatment, (ii) includes income from discontinued real estate operations, (iii) excludes post-tax operating earnings adjustments relating to insurance joint ventures accounted for under the equity method, (iv) excludes certain amounts related to contractholder-directed unit-linked investments, and (v) excludes certain amounts related to securitization entities that are variable interest entities (“VIEs”) consolidated under GAAP; and | |
• | Other revenues are adjusted for settlements of foreign currency earnings hedges. |
• | Policyholder benefits and claims and policyholder dividends exclude: (i) changes in the policyholder dividend obligation related to net investment gains (losses) and net derivative gains (losses), (ii) inflation-indexed benefit adjustments associated with contracts backed by inflation-indexed investments and amounts associated with periodic crediting rate adjustments based on the total return of a contractually referenced |
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pool of assets, (iii) benefits and hedging costs related to GMIBs (“GMIB Costs”), and (iv) market value adjustments associated with surrenders or terminations of contracts (“Market Value Adjustments”); |
• | Interest credited to policyholder account balances includes adjustments for scheduled periodic settlement payments and amortization of premium on derivatives that are hedges of policyholder account balances but do not qualify for hedge accounting treatment and excludes amounts related to net investment income earned on contractholder-directed unit-linked investments; | |
• | Amortization of deferred policy acquisition costs (“DAC”) and value of business acquired (“VOBA”) excludes amounts related to: (i) net investment gains (losses) and net derivative gains (losses), (ii) GMIB Fees and GMIB Costs, and (iii) Market Value Adjustments; | |
• | Amortization of negative VOBA excludes amounts related to Market Value Adjustments; | |
• | Interest expense on debt excludes certain amounts related to securitization entities that are VIEs consolidated under GAAP; and | |
• | Other expenses exclude costs related to: (i) noncontrolling interests, (ii) implementation of new insurance regulatory requirements, and (iii) business combinations. |
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Three Months | Nine Months | |||||||||||||||
Ended | Ended | |||||||||||||||
September 30, | September 30, | |||||||||||||||
2011 | 2010 | 2011 | 2010 | |||||||||||||
(In millions) | ||||||||||||||||
Income (loss) from continuing operations, net of income tax | $ | 3,572 | $ | 317 | $ | 5,825 | $ | 2,681 | ||||||||
Less: Net investment gains (losses) | (55 | ) | (342 | ) | (309 | ) | (324 | ) | ||||||||
Less: Net derivative gains (losses) | 4,196 | (244 | ) | 4,233 | 1,278 | |||||||||||
Less: Other adjustments to continuing operations (1) | (478 | ) | (437 | ) | (1,064 | ) | (1,017 | ) | ||||||||
Less: Provision for income tax (expense) benefit | (1,300 | ) | 352 | (1,052 | ) | (83 | ) | |||||||||
Operating earnings | 1,209 | 988 | 4,017 | 2,827 | ||||||||||||
Less: Preferred stock dividends | 30 | 30 | 91 | 91 | ||||||||||||
Operating earnings available to common shareholders | $ | 1,179 | $ | 958 | $ | 3,926 | $ | 2,736 | ||||||||
(1) | See definitions of operating revenues and operating expenses for the components of such adjustments. |
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• | Premiums, fees and other revenues growth in 2011 of 33%, which is mainly attributable to the Acquisition. The remaining increase is expected to be driven by: |
• | Increases in our International businesses from continuing organic growth throughout our various geographic regions; | |
• | Higher fees earned on separate accounts primarily due to favorable net flows of variable annuities, which are expected to remain strong in the remainder of 2011, thereby increasing the value of those separate accounts; and | |
• | Growth within our pension closeouts business. |
• | Focus on disciplined underwriting. We see no significant changes to the underlying trends that drive underwriting results and continue to anticipate solid results in 2011. |
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• | Focus on expense management. We continue to focus on expense control throughout the Company, specifically managing the costs associated with the integration of ALICO. | |
• | Performance of the investment portfolio. Although the market environment remains challenging, we expect the performance on our investment portfolio in 2011 with respect to both income and realized gains and losses will generally be higher than the results achieved in 2010. |
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(i) | the estimated fair value of investments in the absence of quoted market values; | |
(ii) | investment impairments; | |
(iii) | the recognition of income on certain investment entities and the application of the consolidation rules to certain investments; | |
(iv) | the estimated fair value of and accounting for freestanding derivatives and the existence and estimated fair value of embedded derivatives requiring bifurcation; | |
(v) | the capitalization and amortization of DAC and the establishment and amortization of VOBA; | |
(vi) | the measurement of goodwill and related impairment, if any; | |
(vii) | the liability for future policyholder benefits and the accounting for reinsurance contracts; | |
(viii) | accounting for income taxes and the valuation of deferred tax assets; | |
(ix) | accounting for employee benefit plans; and | |
(x) | the liability for litigation and regulatory matters. |
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Three Months | ||||||||||||||||
Ended | ||||||||||||||||
September 30, | ||||||||||||||||
2011 | 2010 | Change | % Change | |||||||||||||
(In millions) | ||||||||||||||||
Revenues | ||||||||||||||||
Premiums | $ | 9,342 | $ | 6,484 | $ | 2,858 | 44.1 | % | ||||||||
Universal life and investment-type product policy fees | 1,998 | 1,452 | 546 | 37.6 | % | |||||||||||
Net investment income | 4,257 | 4,364 | (107 | ) | (2.5 | )% | ||||||||||
Other revenues | 720 | 624 | 96 | 15.4 | % | |||||||||||
Net investment gains (losses) | (55 | ) | (342 | ) | 287 | 83.9 | % | |||||||||
Net derivative gains (losses) | 4,196 | (244 | ) | 4,440 | 1,819.7 | % | ||||||||||
Total revenues | 20,458 | 12,338 | 8,120 | 65.8 | % | |||||||||||
Expenses | ||||||||||||||||
Policyholder benefits and claims and policyholder dividends | 9,401 | 7,700 | 1,701 | 22.1 | % | |||||||||||
Interest credited to policyholder account balances | 738 | 1,264 | (526 | ) | (41.6 | )% | ||||||||||
Interest credited to bank deposits | 26 | 33 | (7 | ) | (21.2 | )% | ||||||||||
Capitalization of DAC | (1,852 | ) | (766 | ) | (1,086 | ) | (141.8 | )% | ||||||||
Amortization of DAC and VOBA | 1,858 | 573 | 1,285 | 224.3 | % | |||||||||||
Amortization of negative VOBA | (170 | ) | — | (170 | ) | |||||||||||
Interest expense on debt | 425 | 397 | 28 | 7.1 | % | |||||||||||
Other expenses | 4,726 | 2,752 | 1,974 | 71.7 | % | |||||||||||
Total expenses | 15,152 | 11,953 | 3,199 | 26.8 | % | |||||||||||
Income (loss) from continuing operations before provision for income tax | 5,306 | 385 | 4,921 | 1,278.2 | % | |||||||||||
Provision for income tax expense (benefit) | 1,734 | 68 | 1,666 | 2,450.0 | % | |||||||||||
Income (loss) from continuing operations, net of income tax | 3,572 | 317 | 3,255 | 1,026.8 | % | |||||||||||
Income (loss) from discontinued operations, net of income tax | 4 | 3 | 1 | 33.3 | % | |||||||||||
Net income (loss) | 3,576 | 320 | 3,256 | 1,017.5 | % | |||||||||||
Less: Net income (loss) attributable to noncontrolling interests | (6 | ) | 4 | (10 | ) | (250.0 | )% | |||||||||
Net income (loss) attributable to MetLife, Inc. | 3,582 | 316 | 3,266 | 1,033.5 | % | |||||||||||
Less: Preferred stock dividends | 30 | 30 | — | — | % | |||||||||||
Preferred stock redemption premium | — | — | — | |||||||||||||
Net income (loss) available to MetLife, Inc.’s common shareholders | $ | 3,552 | $ | 286 | $ | 3,266 | 1,142.0 | % | ||||||||
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Corporate | Other | Banking, | ||||||||||||||||||||||||||||||
Insurance | Retirement | Benefit | Auto & | International | Corporate | |||||||||||||||||||||||||||
Products | Products | Funding | Home | Japan | Regions | & Other | Total | |||||||||||||||||||||||||
(In millions) | ||||||||||||||||||||||||||||||||
Income (loss) from continuing operations, net of income tax | $ | 1,250 | $ | 668 | $ | 584 | $ | 15 | $ | 341 | $ | 730 | $ | (16 | ) | $ | 3,572 | |||||||||||||||
Less: Net investment gains (losses) | 15 | 21 | 86 | (4 | ) | (21 | ) | (240 | ) | 88 | (55 | ) | ||||||||||||||||||||
Less: Net derivative gains (losses) | 1,597 | 956 | 407 | (7 | ) | 101 | 1,172 | (30 | ) | 4,196 | ||||||||||||||||||||||
Less: Other adjustments to continuing operations (1) | (97 | ) | (110 | ) | — | — | (42 | ) | (157 | ) | (72 | ) | (478 | ) | ||||||||||||||||||
Less: Provision for income tax (expense) benefit | (530 | ) | (303 | ) | (173 | ) | 4 | (12 | ) | (308 | ) | 22 | (1,300 | ) | ||||||||||||||||||
Operating earnings | $ | 265 | $ | 104 | $ | 264 | $ | 22 | $ | 315 | $ | 263 | (24 | ) | 1,209 | |||||||||||||||||
Less: Preferred stock dividends | 30 | 30 | ||||||||||||||||||||||||||||||
Operating earnings available to common shareholders | $ | (54 | ) | $ | 1,179 | |||||||||||||||||||||||||||
Corporate | Other | Banking, | ||||||||||||||||||||||||||||||
Insurance | Retirement | Benefit | Auto & | International | Corporate | |||||||||||||||||||||||||||
Products | Products | Funding | Home | Japan | Regions | & Other | Total | |||||||||||||||||||||||||
(In millions) | ||||||||||||||||||||||||||||||||
Income (loss) from continuing operations, net of income tax | $ | 401 | $ | 184 | $ | 99 | $ | 76 | $ | — | $ | (135 | ) | $ | (308 | ) | $ | 317 | ||||||||||||||
Less: Net investment gains (losses) | 69 | 5 | 54 | (3 | ) | — | (239 | ) | (228 | ) | (342 | ) | ||||||||||||||||||||
Less: Net derivative gains (losses) | 86 | 116 | (193 | ) | (4 | ) | — | (109 | ) | (140 | ) | (244 | ) | |||||||||||||||||||
Less: Other adjustments to continuing operations (1) | (70 | ) | (203 | ) | 10 | — | — | (145 | ) | (29 | ) | (437 | ) | |||||||||||||||||||
Less: Provision for income tax (expense) benefit | (29 | ) | 28 | 46 | 2 | — | 169 | 136 | 352 | |||||||||||||||||||||||
Operating earnings | $ | 345 | $ | 238 | $ | 182 | $ | 81 | $ | — | $ | 189 | (47 | ) | 988 | |||||||||||||||||
Less: Preferred stock dividends | 30 | 30 | ||||||||||||||||||||||||||||||
Operating earnings available to common shareholders | $ | (77 | ) | $ | 958 | |||||||||||||||||||||||||||
(1) | See definitions of operating revenues and operating expenses for the components of such adjustments. |
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Corporate | Other | Banking, | ||||||||||||||||||||||||||||||
Insurance | Retirement | Benefit | Auto & | International | Corporate | |||||||||||||||||||||||||||
Products | Products | Funding | Home | Japan | Regions | & Other | Total | |||||||||||||||||||||||||
(In millions) | ||||||||||||||||||||||||||||||||
Total revenues | $ | 8,036 | $ | 2,894 | $ | 2,674 | $ | 807 | $ | 2,097 | $ | 3,180 | $ | 770 | $ | 20,458 | ||||||||||||||||
Less: Net investment gains (losses) | 15 | 21 | 86 | (4 | ) | (21 | ) | (240 | ) | 88 | (55 | ) | ||||||||||||||||||||
Less: Net derivative gains (losses) | 1,597 | 956 | 407 | (7 | ) | 101 | 1,172 | (30 | ) | 4,196 | ||||||||||||||||||||||
Less: Adjustments related to net investment gains (losses) and net derivative gains (losses) | 16 | — | — | — | — | — | — | 16 | ||||||||||||||||||||||||
Less: Other adjustments to revenues (1) | (59 | ) | 27 | 38 | — | (349 | ) | (477 | ) | 104 | (716 | ) | ||||||||||||||||||||
Total operating revenues | $ | 6,467 | $ | 1,890 | $ | 2,143 | $ | 818 | $ | 2,366 | $ | 2,725 | $ | 608 | $ | 17,017 | ||||||||||||||||
Total expenses | $ | 6,114 | $ | 1,866 | $ | 1,778 | $ | 806 | $ | 1,566 | $ | 2,052 | $ | 970 | $ | 15,152 | ||||||||||||||||
Less: Adjustments related to net investment gains (losses) and net derivative gains (losses) | 56 | 395 | — | — | 20 | — | — | 471 | ||||||||||||||||||||||||
Less: Other adjustments to expenses (1) | (2 | ) | (258 | ) | 38 | — | (327 | ) | (320 | ) | 176 | (693 | ) | |||||||||||||||||||
Total operating expenses | $ | 6,060 | $ | 1,729 | $ | 1,740 | $ | 806 | $ | 1,873 | $ | 2,372 | $ | 794 | $ | 15,374 | ||||||||||||||||
Corporate | Other | Banking, | ||||||||||||||||||||||||||||||
Insurance | Retirement | Benefit | Auto & | International | Corporate | |||||||||||||||||||||||||||
Products | Products | Funding | Home | Japan | Regions | & Other | Total | |||||||||||||||||||||||||
(In millions) | ||||||||||||||||||||||||||||||||
Total revenues | $ | 6,591 | $ | 1,746 | $ | 1,642 | $ | 792 | $ | — | $ | 1,278 | $ | 289 | $ | 12,338 | ||||||||||||||||
Less: Net investment gains (losses) | 69 | 5 | 54 | (3 | ) | — | (239 | ) | (228 | ) | (342 | ) | ||||||||||||||||||||
Less: Net derivative gains (losses) | 86 | 116 | (193 | ) | (4 | ) | — | (109 | ) | (140 | ) | (244 | ) | |||||||||||||||||||
Less: Adjustments related to net investment gains (losses) and net derivative gains (losses) | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||
Less: Other adjustments to revenues (1) | (37 | ) | (14 | ) | 46 | — | — | (11 | ) | 120 | 104 | |||||||||||||||||||||
Total operating revenues | $ | 6,473 | $ | 1,639 | $ | 1,735 | $ | 799 | $ | — | $ | 1,637 | $ | 537 | $ | 12,820 | ||||||||||||||||
Total expenses | $ | 5,976 | $ | 1,461 | $ | 1,491 | $ | 698 | $ | — | $ | 1,580 | $ | 747 | $ | 11,953 | ||||||||||||||||
Less: Adjustments related to net investment gains (losses) and net derivative gains (losses) | 28 | 9 | — | — | — | — | — | 37 | ||||||||||||||||||||||||
Less: Other adjustments to expenses (1) | 5 | 180 | 36 | — | — | 134 | 149 | 504 | ||||||||||||||||||||||||
Total operating expenses | $ | 5,943 | $ | 1,272 | $ | 1,455 | $ | 698 | $ | — | $ | 1,446 | $ | 598 | $ | 11,412 | ||||||||||||||||
(1) | See definitions of operating revenues and operating expenses for the components of such adjustments. |
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Three Months | ||||||||||||||||
Ended | ||||||||||||||||
September 30, | ||||||||||||||||
2011 | 2010 | Change | % Change | |||||||||||||
(In millions) | ||||||||||||||||
OPERATING REVENUES | ||||||||||||||||
Premiums | $ | 4,159 | $ | 4,234 | $ | (75 | ) | (1.8 | )% | |||||||
Universal life and investment-type product policy fees | 566 | 539 | 27 | 5.0 | % | |||||||||||
Net investment income | 1,526 | 1,515 | 11 | 0.7 | % | |||||||||||
Other revenues | 216 | 185 | 31 | 16.8 | % | |||||||||||
Total operating revenues | 6,467 | 6,473 | (6 | ) | (0.1 | )% | ||||||||||
OPERATING EXPENSES | ||||||||||||||||
Policyholder benefits and claims and policyholder dividends | 4,816 | 4,685 | 131 | 2.8 | % | |||||||||||
Interest credited to policyholder account balances | 255 | 243 | 12 | 4.9 | % | |||||||||||
Capitalization of DAC | (213 | ) | (204 | ) | (9 | ) | (4.4 | )% | ||||||||
Amortization of DAC and VOBA | 186 | 221 | (35 | ) | (15.8 | )% | ||||||||||
Other expenses | 1,016 | 998 | 18 | 1.8 | % | |||||||||||
Total operating expenses | 6,060 | 5,943 | 117 | 2.0 | % | |||||||||||
Provision for income tax expense (benefit) | 142 | 185 | (43 | ) | (23.2 | )% | ||||||||||
Operating earnings | $ | 265 | $ | 345 | $ | (80 | ) | (23.2 | )% | |||||||
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Three Months | ||||||||||||||||
Ended | ||||||||||||||||
September 30, | ||||||||||||||||
2011 | 2010 | Change | % Change | |||||||||||||
(In millions) | ||||||||||||||||
OPERATING REVENUES | ||||||||||||||||
Premiums | $ | 393 | $ | 227 | $ | 166 | 73.1 | % | ||||||||
Universal life and investment-type product policy fees | 620 | 500 | 120 | 24.0 | % | |||||||||||
Net investment income | 800 | 856 | (56 | ) | (6.5 | )% | ||||||||||
Other revenues | 77 | 56 | 21 | 37.5 | % | |||||||||||
Total operating revenues | 1,890 | 1,639 | 251 | 15.3 | % | |||||||||||
OPERATING EXPENSES | ||||||||||||||||
Policyholder benefits and claims and policyholder dividends | 585 | 378 | 207 | 54.8 | % | |||||||||||
Interest credited to policyholder account balances | 408 | 394 | 14 | 3.6 | % | |||||||||||
Capitalization of DAC | (478 | ) | (270 | ) | (208 | ) | (77.0 | )% | ||||||||
Amortization of DAC and VOBA | 347 | 153 | 194 | 126.8 | % | |||||||||||
Interest expense on debt | — | 2 | (2 | ) | (100.0 | )% | ||||||||||
Other expenses | 867 | 615 | 252 | 41.0 | % | |||||||||||
Total operating expenses | 1,729 | 1,272 | 457 | 35.9 | % | |||||||||||
Provision for income tax expense (benefit) | 57 | 129 | (72 | ) | (55.8 | )% | ||||||||||
Operating earnings | $ | 104 | $ | 238 | $ | (134 | ) | (56.3 | )% | |||||||
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Three Months | ||||||||||||||||
Ended | ||||||||||||||||
September 30, | ||||||||||||||||
2011 | 2010 | Change | % Change | |||||||||||||
(In millions) | ||||||||||||||||
OPERATING REVENUES | ||||||||||||||||
Premiums | $ | 724 | $ | 402 | $ | 322 | 80.1 | % | ||||||||
Universal life and investment-type product policy fees | 69 | 58 | 11 | 19.0 | % | |||||||||||
Net investment income | 1,289 | 1,216 | 73 | 6.0 | % | |||||||||||
Other revenues | 61 | 59 | 2 | 3.4 | % | |||||||||||
Total operating revenues | 2,143 | 1,735 | 408 | 23.5 | % | |||||||||||
OPERATING EXPENSES | ||||||||||||||||
Policyholder benefits and claims and policyholder dividends | 1,287 | 963 | 324 | 33.6 | % | |||||||||||
Interest credited to policyholder account balances | 327 | 380 | (53 | ) | (13.9 | )% | ||||||||||
Capitalization of DAC | (6 | ) | (6 | ) | — | — | % | |||||||||
Amortization of DAC and VOBA | 4 | 4 | — | — | % | |||||||||||
Interest expense on debt | 2 | 1 | 1 | 100.0 | % | |||||||||||
Other expenses | 126 | 113 | 13 | 11.5 | % | |||||||||||
Total operating expenses | 1,740 | 1,455 | 285 | 19.6 | % | |||||||||||
Provision for income tax expense (benefit) | 139 | 98 | 41 | 41.8 | % | |||||||||||
Operating earnings | $ | 264 | $ | 182 | $ | 82 | 45.1 | % | ||||||||
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Three Months | ||||||||||||||||
Ended | ||||||||||||||||
September 30, | ||||||||||||||||
2011 | 2010 | Change | % Change | |||||||||||||
(In millions) | ||||||||||||||||
OPERATING REVENUES | ||||||||||||||||
Premiums | $ | 760 | $ | 740 | $ | 20 | 2.7 | % | ||||||||
Net investment income | 50 | 51 | (1 | ) | (2.0 | )% | ||||||||||
Other revenues | 8 | 8 | — | — | % | |||||||||||
Total operating revenues | 818 | 799 | 19 | 2.4 | % | |||||||||||
OPERATING EXPENSES | ||||||||||||||||
Policyholder benefits and claims and policyholder dividends | 613 | 506 | 107 | 21.1 | % | |||||||||||
Capitalization of DAC | (121 | ) | (118 | ) | (3 | ) | (2.5 | )% | ||||||||
Amortization of DAC and VOBA | 114 | 110 | 4 | 3.6 | % | |||||||||||
Other expenses | 200 | 200 | — | — | % | |||||||||||
Total operating expenses | 806 | 698 | 108 | 15.5 | % | |||||||||||
Provision for income tax expense (benefit) | (10 | ) | 20 | (30 | ) | (150.0 | )% | |||||||||
Operating earnings | $ | 22 | $ | 81 | $ | (59 | ) | (72.8 | )% | |||||||
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Ended | ||||||||||||
September 30, | ||||||||||||
2011 | 2010 | Change | ||||||||||
(In millions) | ||||||||||||
OPERATING REVENUES | ||||||||||||
Premiums | $ | 1,601 | $ | — | $ | 1,601 | ||||||
Universal life and investment-type product policy fees | 220 | — | 220 | |||||||||
Net investment income | 540 | — | 540 | |||||||||
Other revenues | 5 | — | 5 | |||||||||
Total operating revenues | 2,366 | — | 2,366 | |||||||||
OPERATING EXPENSES | ||||||||||||
Policyholder benefits and claims and policyholder dividends | 999 | — | 999 | |||||||||
Interest credited to policyholder account balances | 401 | — | 401 | |||||||||
Capitalization of DAC | (619 | ) | — | (619 | ) | |||||||
Amortization of DAC and VOBA | 318 | — | 318 | |||||||||
Amortization of negative VOBA | (135 | ) | — | (135 | ) | |||||||
Other expenses | 909 | — | 909 | |||||||||
Total operating expenses | 1,873 | — | 1,873 | |||||||||
Provision for income tax expense (benefit) | 178 | — | 178 | |||||||||
Operating earnings | $ | 315 | $ | — | $ | 315 | ||||||
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Three Months | ||||||||||||||||
Ended | ||||||||||||||||
September 30, | ||||||||||||||||
2011 | 2010 | Change | % Change | |||||||||||||
(In millions) | ||||||||||||||||
OPERATING REVENUES | ||||||||||||||||
Premiums | $ | 1,702 | $ | 878 | $ | 824 | 93.8 | % | ||||||||
Universal life and investment-type product policy fees | 433 | 301 | 132 | 43.9 | % | |||||||||||
Net investment income | 550 | 451 | 99 | 22.0 | % | |||||||||||
Other revenues | 40 | 7 | 33 | 471.4 | % | |||||||||||
Total operating revenues | 2,725 | 1,637 | 1,088 | 66.5 | % | |||||||||||
OPERATING EXPENSES | ||||||||||||||||
Policyholder benefits and claims and policyholder dividends | 1,315 | 763 | 552 | 72.3 | % | |||||||||||
Interest credited to policyholder account balances | 146 | 242 | (96 | ) | (39.7 | )% | ||||||||||
Capitalization of DAC | (415 | ) | (168 | ) | (247 | ) | (147.0 | )% | ||||||||
Amortization of DAC and VOBA | 268 | 104 | 164 | 157.7 | % | |||||||||||
Amortization of negative VOBA | (16 | ) | — | (16 | ) | |||||||||||
Interest expense on debt | — | (1 | ) | 1 | 100.0 | % | ||||||||||
Other expenses | 1,074 | 506 | 568 | 112.3 | % | |||||||||||
Total operating expenses | 2,372 | 1,446 | 926 | 64.0 | % | |||||||||||
Provision for income tax expense (benefit) | 90 | 2 | 88 | 4,400.0 | % | |||||||||||
Operating earnings | $ | 263 | $ | 189 | $ | 74 | 39.2 | % | ||||||||
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Three Months | ||||||||||||||||
Ended | ||||||||||||||||
September 30, | ||||||||||||||||
2011 | 2010 | Change | % Change | |||||||||||||
(In millions) | ||||||||||||||||
OPERATING REVENUES | ||||||||||||||||
Premiums | $ | 3 | $ | 3 | $ | — | — | % | ||||||||
Net investment income | 297 | 225 | 72 | 32.0 | % | |||||||||||
Other revenues | 308 | 309 | (1 | ) | (0.3 | )% | ||||||||||
Total operating revenues | 608 | 537 | 71 | 13.2 | % | |||||||||||
OPERATING EXPENSES | ||||||||||||||||
Policyholder benefits and claims and policyholder dividends | 4 | (4 | ) | 8 | 200.0 | % | ||||||||||
Interest credited to bank deposits | 26 | 33 | (7 | ) | (21.2 | )% | ||||||||||
Amortization of DAC and VOBA | — | (1 | ) | 1 | 100.0 | % | ||||||||||
Interest expense on debt | 326 | 292 | 34 | 11.6 | % | |||||||||||
Other expenses | 438 | 278 | 160 | 57.6 | % | |||||||||||
Total operating expenses | 794 | 598 | 196 | 32.8 | % | |||||||||||
Provision for income tax expense (benefit) | (162 | ) | (14 | ) | (148 | ) | (1,057.1 | )% | ||||||||
Operating earnings | (24 | ) | (47 | ) | 23 | 48.9 | % | |||||||||
Less: Preferred stock dividends | 30 | 30 | — | — | % | |||||||||||
Operating earnings available to common shareholders | $ | (54 | ) | $ | (77 | ) | $ | 23 | 29.9 | % | ||||||
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Nine Months | ||||||||||||||||
Ended | ||||||||||||||||
September 30, | ||||||||||||||||
2011 | 2010 | Change | % Change | |||||||||||||
(In millions) | ||||||||||||||||
Revenues | ||||||||||||||||
Premiums | $ | 27,190 | $ | 19,856 | $ | 7,334 | 36.9 | % | ||||||||
Universal life and investment-type product policy fees | 5,856 | 4,339 | 1,517 | 35.0 | % | |||||||||||
Net investment income | 14,669 | 12,745 | 1,924 | 15.1 | % | |||||||||||
Other revenues | 1,878 | 1,681 | 197 | 11.7 | % | |||||||||||
Net investment gains (losses) | (309 | ) | (324 | ) | 15 | 4.6 | % | |||||||||
Net derivative gains (losses) | 4,233 | 1,278 | 2,955 | 231.2 | % | |||||||||||
Total revenues | 53,517 | 39,575 | 13,942 | 35.2 | % | |||||||||||
Expenses | ||||||||||||||||
Policyholder benefits and claims and policyholder dividends | 27,497 | 22,859 | 4,638 | 20.3 | % | |||||||||||
Interest credited to policyholder account balances | 4,104 | 3,454 | 650 | 18.8 | % | |||||||||||
Interest credited to bank deposits | 72 | 108 | (36 | ) | (33.3 | )% | ||||||||||
Capitalization of DAC | (5,119 | ) | (2,255 | ) | (2,864 | ) | (127.0 | )% | ||||||||
Amortization of DAC and VOBA | 4,295 | 2,184 | 2,111 | 96.7 | % | |||||||||||
Amortization of negative VOBA | (536 | ) | — | (536 | ) | |||||||||||
Interest expense on debt | 1,260 | 1,136 | 124 | 10.9 | % | |||||||||||
Other expenses | 13,438 | 8,157 | 5,281 | 64.7 | % | |||||||||||
Total expenses | 45,011 | 35,643 | 9,368 | 26.3 | % | |||||||||||
Income (loss) from continuing operations before provision for income tax | 8,506 | 3,932 | 4,574 | 116.3 | % | |||||||||||
Provision for income tax expense (benefit) | 2,681 | 1,251 | 1,430 | 114.3 | % | |||||||||||
Income (loss) from continuing operations, net of income tax | 5,825 | 2,681 | 3,144 | 117.3 | % | |||||||||||
Income (loss) from discontinued operations, net of income tax | (6 | ) | 20 | (26 | ) | (130.0 | )% | |||||||||
Net income (loss) | 5,819 | 2,701 | 3,118 | 115.4 | % | |||||||||||
Less: Net income (loss) attributable to noncontrolling interests | (6 | ) | (7 | ) | 1 | 14.3 | % | |||||||||
Net income (loss) attributable to MetLife, Inc. | 5,825 | 2,708 | 3,117 | 115.1 | % | |||||||||||
Less: Preferred stock dividends | 91 | 91 | — | — | % | |||||||||||
Preferred stock redemption premium | 146 | — | 146 | |||||||||||||
Net income (loss) available to MetLife, Inc.’s common shareholders | $ | 5,588 | $ | 2,617 | $ | 2,971 | 113.5 | % | ||||||||
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Corporate | Other | Banking, | ||||||||||||||||||||||||||||||
Insurance | Retirement | Benefit | Auto & | International | Corporate | |||||||||||||||||||||||||||
Products | Products | Funding | Home | Japan | Regions | & Other | Total | |||||||||||||||||||||||||
(In millions) | ||||||||||||||||||||||||||||||||
Income (loss) from continuing operations, net of income tax | $ | 2,062 | $ | 1,174 | $ | 1,110 | $ | 10 | $ | 934 | $ | 851 | $ | (316 | ) | $ | 5,825 | |||||||||||||||
Less: Net investment gains (losses) | 55 | 72 | 86 | (10 | ) | (115 | ) | (385 | ) | (12 | ) | (309 | ) | |||||||||||||||||||
Less: Net derivative gains (losses) | 1,689 | 1,220 | 228 | (10 | ) | 228 | 987 | (109 | ) | 4,233 | ||||||||||||||||||||||
Less: Other adjustments to continuing operations (1) | (208 | ) | (281 | ) | 60 | — | 15 | (428 | ) | (222 | ) | (1,064 | ) | |||||||||||||||||||
Less: Provision for income tax (expense) benefit | (538 | ) | (354 | ) | (131 | ) | 7 | (44 | ) | (125 | ) | 133 | (1,052 | ) | ||||||||||||||||||
Operating earnings | $ | 1,064 | $ | 517 | $ | 867 | $ | 23 | $ | 850 | $ | 802 | (106 | ) | 4,017 | |||||||||||||||||
Less: Preferred stock dividends | 91 | 91 | ||||||||||||||||||||||||||||||
Operating earnings available to common shareholders | $ | (197 | ) | $ | 3,926 | |||||||||||||||||||||||||||
Corporate | Other | Banking, | ||||||||||||||||||||||||||||||
Insurance | Retirement | Benefit | Auto & | International | Corporate | |||||||||||||||||||||||||||
Products | Products | Funding | Home | Japan | Regions | & Other | Total | |||||||||||||||||||||||||
(In millions) | ||||||||||||||||||||||||||||||||
Income (loss) from continuing operations, net of income tax | $ | 1,403 | $ | 781 | $ | 668 | $ | 219 | $ | — | $ | 41 | $ | (431 | ) | $ | 2,681 | |||||||||||||||
Less: Net investment gains (losses) | 78 | 96 | 111 | (3 | ) | — | (268 | ) | (338 | ) | (324 | ) | ||||||||||||||||||||
Less: Net derivative gains (losses) | 711 | 627 | (123 | ) | (7 | ) | — | 157 | (87 | ) | 1,278 | |||||||||||||||||||||
Less: Other adjustments to continuing operations (1) | (187 | ) | (404 | ) | 69 | — | — | (413 | ) | (82 | ) | (1,017 | ) | |||||||||||||||||||
Less: Provision for income tax (expense) benefit | (211 | ) | (113 | ) | (26 | ) | 3 | — | 87 | 177 | (83 | ) | ||||||||||||||||||||
Operating earnings | $ | 1,012 | $ | 575 | $ | 637 | $ | 226 | $ | — | $ | 478 | (101 | ) | 2,827 | |||||||||||||||||
Less: Preferred stock dividends | 91 | 91 | ||||||||||||||||||||||||||||||
Operating earnings available to common shareholders | $ | (192 | ) | $ | 2,736 | |||||||||||||||||||||||||||
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Corporate | Other | Banking, | ||||||||||||||||||||||||||||||
Insurance | Retirement | Benefit | Auto & | International | Corporate | |||||||||||||||||||||||||||
Products | Products | Funding | Home | Japan | Regions | & Other | Total | |||||||||||||||||||||||||
(In millions) | ||||||||||||||||||||||||||||||||
Total revenues | $ | 21,155 | $ | 6,636 | $ | 6,515 | $ | 2,400 | $ | 6,701 | $ | 8,308 | $ | 1,802 | $ | 53,517 | ||||||||||||||||
Less: Net investment gains (losses) | 55 | 72 | 86 | (10 | ) | (115 | ) | (385 | ) | (12 | ) | (309 | ) | |||||||||||||||||||
Less: Net derivative gains (losses) | 1,689 | 1,220 | 228 | (10 | ) | 228 | 987 | (109 | ) | 4,233 | ||||||||||||||||||||||
Less: Adjustments related to net investment gains (losses) and net derivative gains (losses) | 14 | — | — | — | — | — | — | 14 | ||||||||||||||||||||||||
Less: Other adjustments to revenues (1) | (164 | ) | 72 | 117 | — | (255 | ) | (217 | ) | 300 | (147 | ) | ||||||||||||||||||||
Total operating revenues | $ | 19,561 | $ | 5,272 | $ | 6,084 | $ | 2,420 | $ | 6,843 | $ | 7,923 | $ | 1,623 | $ | 49,726 | ||||||||||||||||
Total expenses | $ | 17,982 | $ | 4,829 | $ | 4,808 | $ | 2,448 | $ | 5,256 | $ | 7,031 | $ | 2,657 | $ | 45,011 | ||||||||||||||||
Less: Adjustments related to net investment gains (losses) and net derivative gains (losses) | 60 | 485 | — | — | 20 | — | — | 565 | ||||||||||||||||||||||||
Less: Other adjustments to expenses (1) | (2 | ) | (132 | ) | 57 | — | (290 | ) | 211 | 522 | 366 | |||||||||||||||||||||
Total operating expenses | $ | 17,924 | $ | 4,476 | $ | 4,751 | $ | 2,448 | $ | 5,526 | $ | 6,820 | $ | 2,135 | $ | 44,080 | ||||||||||||||||
Corporate | Other | Banking, | ||||||||||||||||||||||||||||||
Insurance | Retirement | Benefit | Auto & | International | Corporate | |||||||||||||||||||||||||||
Products | Products | Funding | Home | Japan | Regions | & Other | Total | |||||||||||||||||||||||||
(In millions) | ||||||||||||||||||||||||||||||||
Total revenues | $ | 20,269 | $ | 5,588 | $ | 5,668 | $ | 2,337 | $ | — | $ | 4,343 | $ | 1,370 | $ | 39,575 | ||||||||||||||||
Less: Net investment gains (losses) | 78 | 96 | 111 | (3 | ) | — | (268 | ) | (338 | ) | (324 | ) | ||||||||||||||||||||
Less: Net derivative gains (losses) | 711 | 627 | (123 | ) | (7 | ) | — | 157 | (87 | ) | 1,278 | |||||||||||||||||||||
Less: Adjustments related to net investment gains (losses) and net derivative gains (losses) | 6 | — | — | — | — | — | — | 6 | ||||||||||||||||||||||||
Less: Other adjustments to revenues (1) | (110 | ) | (48 | ) | 142 | — | — | (135 | ) | 345 | 194 | |||||||||||||||||||||
Total operating revenues | $ | 19,584 | $ | 4,913 | $ | 5,538 | $ | 2,347 | $ | — | $ | 4,589 | $ | 1,450 | $ | 38,421 | ||||||||||||||||
Total expenses | $ | 18,110 | $ | 4,384 | $ | 4,631 | $ | 2,067 | $ | — | $ | 4,288 | $ | 2,163 | $ | 35,643 | ||||||||||||||||
Less: Adjustments related to net investment gains (losses) and net derivative gains (losses) | 78 | 185 | — | — | — | — | — | 263 | ||||||||||||||||||||||||
Less: Other adjustments to expenses (1) | 5 | 171 | 73 | — | — | 278 | 427 | 954 | ||||||||||||||||||||||||
Total operating expenses | $ | 18,027 | $ | 4,028 | $ | 4,558 | $ | 2,067 | $ | — | $ | 4,010 | $ | 1,736 | $ | 34,426 | ||||||||||||||||
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Nine Months | ||||||||||||||||
Ended | ||||||||||||||||
September 30, | ||||||||||||||||
2011 | 2010 | Change | % Change | |||||||||||||
(In millions) | ||||||||||||||||
OPERATING REVENUES | ||||||||||||||||
Premiums | $ | 12,619 | $ | 12,874 | $ | (255 | ) | (2.0 | )% | |||||||
Universal life and investment-type product policy fees | 1,695 | 1,634 | 61 | 3.7 | % | |||||||||||
Net investment income | 4,627 | 4,514 | 113 | 2.5 | % | |||||||||||
Other revenues | 620 | 562 | 58 | 10.3 | % | |||||||||||
Total operating revenues | 19,561 | 19,584 | (23 | ) | (0.1 | )% | ||||||||||
OPERATING EXPENSES | ||||||||||||||||
Policyholder benefits and claims and policyholder dividends | 14,115 | 14,253 | (138 | ) | (1.0 | )% | ||||||||||
Interest credited to policyholder account balances | 742 | 714 | 28 | 3.9 | % | |||||||||||
Capitalization of DAC | (643 | ) | (627 | ) | (16 | ) | (2.6 | )% | ||||||||
Amortization of DAC and VOBA | 631 | 666 | (35 | ) | (5.3 | )% | ||||||||||
Other expenses | 3,079 | 3,021 | 58 | 1.9 | % | |||||||||||
Total operating expenses | 17,924 | 18,027 | (103 | ) | (0.6 | )% | ||||||||||
Provision for income tax expense (benefit) | 573 | 545 | 28 | 5.1 | % | |||||||||||
Operating earnings | $ | 1,064 | $ | 1,012 | $ | 52 | 5.1 | % | ||||||||
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Nine Months | ||||||||||||||||
Ended | ||||||||||||||||
September 30, | ||||||||||||||||
2011 | 2010 | Change | % Change | |||||||||||||
(In millions) | ||||||||||||||||
OPERATING REVENUES | ||||||||||||||||
Premiums | $ | 839 | $ | 730 | $ | 109 | 14.9 | % | ||||||||
Universal life and investment-type product policy fees | 1,828 | 1,474 | 354 | 24.0 | % | |||||||||||
Net investment income | 2,378 | 2,550 | (172 | ) | (6.7 | )% | ||||||||||
Other revenues | 227 | 159 | 68 | 42.8 | % | |||||||||||
Total operating revenues | 5,272 | 4,913 | 359 | 7.3 | % | |||||||||||
OPERATING EXPENSES | ||||||||||||||||
Policyholder benefits and claims and policyholder dividends | 1,362 | 1,207 | 155 | 12.8 | % | |||||||||||
Interest credited to policyholder account balances | 1,196 | 1,205 | (9 | ) | (0.7 | )% | ||||||||||
Capitalization of DAC | (1,195 | ) | (766 | ) | (429 | ) | (56.0 | )% | ||||||||
Amortization of DAC and VOBA | 783 | 594 | 189 | 31.8 | % | |||||||||||
Interest expense on debt | 1 | 4 | (3 | ) | (75.0 | )% | ||||||||||
Other expenses | 2,329 | 1,784 | 545 | 30.5 | % | |||||||||||
Total operating expenses | 4,476 | 4,028 | 448 | 11.1 | % | |||||||||||
Provision for income tax expense (benefit) | 279 | 310 | (31 | ) | (10.0 | )% | ||||||||||
Operating earnings | $ | 517 | $ | 575 | $ | (58 | ) | (10.1 | )% | |||||||
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Nine Months | ||||||||||||||||
Ended | ||||||||||||||||
September 30, | ||||||||||||||||
2011 | 2010 | Change | % Change | |||||||||||||
(In millions) | ||||||||||||||||
OPERATING REVENUES | ||||||||||||||||
Premiums | $ | 1,796 | $ | 1,547 | $ | 249 | 16.1 | % | ||||||||
Universal life and investment-type product policy fees | 181 | 169 | 12 | 7.1 | % | |||||||||||
Net investment income | 3,925 | 3,641 | 284 | 7.8 | % | |||||||||||
Other revenues | 182 | 181 | 1 | 0.6 | % | |||||||||||
Total operating revenues | 6,084 | 5,538 | 546 | 9.9 | % | |||||||||||
OPERATING EXPENSES | ||||||||||||||||
Policyholder benefits and claims and policyholder dividends | 3,400 | 3,115 | 285 | 9.1 | % | |||||||||||
Interest credited to policyholder account balances | 992 | 1,099 | (107 | ) | (9.7 | )% | ||||||||||
Capitalization of DAC | (24 | ) | (17 | ) | (7 | ) | (41.2 | )% | ||||||||
Amortization of DAC and VOBA | 14 | 12 | 2 | 16.7 | % | |||||||||||
Interest expense on debt | 6 | 3 | 3 | 100.0 | % | |||||||||||
Other expenses | 363 | 346 | 17 | 4.9 | % | |||||||||||
Total operating expenses | 4,751 | 4,558 | 193 | 4.2 | % | |||||||||||
Provision for income tax expense (benefit) | 466 | 343 | 123 | 35.9 | % | |||||||||||
Operating earnings | $ | 867 | $ | 637 | $ | 230 | 36.1 | % | ||||||||
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Nine Months | ||||||||||||||||
Ended | ||||||||||||||||
September 30, | ||||||||||||||||
2011 | 2010 | Change | % Change | |||||||||||||
(In millions) | ||||||||||||||||
OPERATING REVENUES | ||||||||||||||||
Premiums | $ | 2,243 | $ | 2,177 | $ | 66 | 3.0 | % | ||||||||
Net investment income | 154 | 156 | (2 | ) | (1.3 | )% | ||||||||||
Other revenues | 23 | 14 | 9 | 64.3 | % | |||||||||||
Total operating revenues | 2,420 | 2,347 | 73 | 3.1 | % | |||||||||||
OPERATING EXPENSES | ||||||||||||||||
Policyholder benefits and claims and policyholder dividends | 1,864 | 1,506 | 358 | 23.8 | % | |||||||||||
Capitalization of DAC | (343 | ) | (339 | ) | (4 | ) | (1.2 | )% | ||||||||
Amortization of DAC and VOBA | 336 | 328 | 8 | 2.4 | % | |||||||||||
Other expenses | 591 | 572 | 19 | 3.3 | % | |||||||||||
Total operating expenses | 2,448 | 2,067 | 381 | 18.4 | % | |||||||||||
Provision for income tax expense (benefit) | (51 | ) | 54 | (105 | ) | (194.4 | )% | |||||||||
Operating earnings | $ | 23 | $ | 226 | $ | (203 | ) | (89.8 | )% | |||||||
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Nine Months | ||||||||||||
Ended | ||||||||||||
September 30, | ||||||||||||
2011 | 2010 | Change | ||||||||||
(In millions) | ||||||||||||
OPERATING REVENUES | ||||||||||||
Premiums | $ | 4,720 | $ | — | $ | 4,720 | ||||||
Universal life and investment-type product policy fees | 609 | — | 609 | |||||||||
Net investment income | 1,496 | — | 1,496 | |||||||||
Other revenues | 18 | — | 18 | |||||||||
Total operating revenues | 6,843 | — | 6,843 | |||||||||
OPERATING EXPENSES | ||||||||||||
Policyholder benefits and claims and policyholder dividends | 2,967 | — | 2,967 | |||||||||
Interest credited to policyholder account balances | 1,158 | — | 1,158 | |||||||||
Capitalization of DAC | (1,660 | ) | — | (1,660 | ) | |||||||
Amortization of DAC and VOBA | 981 | — | 981 | |||||||||
Amortization of negative VOBA | (422 | ) | — | (422 | ) | |||||||
Other expenses | 2,502 | — | 2,502 | |||||||||
Total operating expenses | 5,526 | — | 5,526 | |||||||||
Provision for income tax expense (benefit) | 467 | — | 467 | |||||||||
Operating earnings | $ | 850 | $ | — | $ | 850 | ||||||
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Nine Months | ||||||||||||||||
Ended | ||||||||||||||||
September 30, | ||||||||||||||||
2011 | 2010 | Change | % Change | |||||||||||||
(In millions) | �� | |||||||||||||||
OPERATING REVENUES | ||||||||||||||||
Premiums | $ | 4,966 | $ | 2,522 | $ | 2,444 | 96.9 | % | ||||||||
Universal life and investment-type product policy fees | 1,339 | 902 | 437 | 48.4 | % | |||||||||||
Net investment income | 1,510 | 1,153 | 357 | 31.0 | % | |||||||||||
Other revenues | 108 | 12 | 96 | 800.0 | % | |||||||||||
Total operating revenues | 7,923 | 4,589 | 3,334 | 72.7 | % | |||||||||||
OPERATING EXPENSES | ||||||||||||||||
Policyholder benefits and claims and policyholder dividends | 3,635 | 2,279 | 1,356 | 59.5 | % | |||||||||||
Interest credited to policyholder account balances | 441 | 433 | 8 | 1.8 | % | |||||||||||
Capitalization of DAC | (1,254 | ) | (506 | ) | (748 | ) | (147.8 | )% | ||||||||
Amortization of DAC and VOBA | 868 | 313 | 555 | 177.3 | % | |||||||||||
Amortization of negative VOBA | (57 | ) | — | (57 | ) | |||||||||||
Interest expense on debt | 2 | 2 | — | — | % | |||||||||||
Other expenses | 3,185 | 1,489 | 1,696 | 113.9 | % | |||||||||||
Total operating expenses | 6,820 | 4,010 | 2,810 | 70.1 | % | |||||||||||
Provision for income tax expense (benefit) | 301 | 101 | 200 | 198.0 | % | |||||||||||
Operating earnings | $ | 802 | $ | 478 | $ | 324 | 67.8 | % | ||||||||
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Nine Months | ||||||||||||||||
Ended | ||||||||||||||||
September 30, | ||||||||||||||||
2011 | 2010 | Change | % Change | |||||||||||||
(In millions) | ||||||||||||||||
OPERATING REVENUES | ||||||||||||||||
Premiums | $ | 7 | $ | 6 | $ | 1 | 16.7 | % | ||||||||
Net investment income | 924 | 691 | 233 | 33.7 | % | |||||||||||
Other revenues | 692 | 753 | (61 | ) | (8.1 | )% | ||||||||||
Total operating revenues | 1,623 | 1,450 | 173 | 11.9 | % | |||||||||||
OPERATING EXPENSES | ||||||||||||||||
Policyholder benefits and claims and policyholder dividends | 7 | (11 | ) | 18 | 163.6 | % | ||||||||||
Interest credited to bank deposits | 72 | 108 | (36 | ) | (33.3 | )% | ||||||||||
Amortization of DAC and VOBA | — | (1 | ) | 1 | 100.0 | % | ||||||||||
Interest expense on debt | 970 | 815 | 155 | 19.0 | % | |||||||||||
Other expenses | 1,086 | 825 | 261 | 31.6 | % | |||||||||||
Total operating expenses | 2,135 | 1,736 | 399 | 23.0 | % | |||||||||||
Provision for income tax expense (benefit) | (406 | ) | (185 | ) | (221 | ) | (119.5 | )% | ||||||||
Operating earnings | (106 | ) | (101 | ) | (5 | ) | (5.0 | )% | ||||||||
Less: Preferred stock dividends | 91 | 91 | — | — | % | |||||||||||
Operating earnings available to common shareholders | $ | (197 | ) | $ | (192 | ) | $ | (5 | ) | (2.6 | )% | |||||
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• | credit risk, relating to the uncertainty associated with the continued ability of a given obligor to make timely payments of principal and interest; | |
• | interest rate risk, relating to the market price and cash flow variability associated with changes in market interest rates; | |
• | liquidity risk, relating to the diminished ability to sell certain investments in times of strained market conditions; and | |
• | market valuation risk, relating to the variability in the estimated fair value of investments associated with changes in market factors such as credit spreads. |
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At or For the | At or For the | |||||||||||||||
Three Months | Nine Months | |||||||||||||||
Ended | Ended | |||||||||||||||
September 30, | September 30, | |||||||||||||||
2011 | 2010 | 2011 | 2010 | |||||||||||||
(In millions) | ||||||||||||||||
Fixed Maturity Securities: | ||||||||||||||||
Yield (1) | 4.79 | % | 5.81 | % | 4.95 | % | 5.63 | % | ||||||||
Investment income (2),(3) | $ | 3,721 | $ | 3,236 | $ | 11,208 | $ | 9,289 | ||||||||
Investment gains (losses) (3) | $ | (186 | ) | $ | (65 | ) | $ | (454 | ) | $ | (258 | ) | ||||
Ending carrying value (2),(3) | $ | 354,611 | $ | 261,988 | $ | 354,611 | $ | 261,988 | ||||||||
Mortgage Loans: | ||||||||||||||||
Yield (1) | 5.56 | % | 5.54 | % | 5.54 | % | 5.50 | % | ||||||||
Investment income (3),(4) | $ | 806 | $ | 712 | $ | 2,330 | $ | 2,078 | ||||||||
Investment gains (losses) (3) | $ | 45 | $ | 37 | $ | 160 | $ | 20 | ||||||||
Ending carrying value (3) | $ | 59,722 | $ | 52,770 | $ | 59,722 | $ | 52,770 | ||||||||
Real Estate and Real Estate Joint Ventures: | ||||||||||||||||
Yield (1) | 4.67 | % | 2.80 | % | 4.15 | % | 1.28 | % | ||||||||
Investment income | $ | 96 | $ | 48 | $ | 252 | $ | 66 | ||||||||
Investment gains (losses) | $ | 165 | $ | (1 | ) | $ | 241 | $ | (40 | ) | ||||||
Ending carrying value | $ | 8,197 | $ | 6,990 | $ | 8,197 | $ | 6,990 | ||||||||
Policy Loans: | ||||||||||||||||
Yield (1) | 5.43 | % | 6.19 | % | 5.46 | % | 6.50 | % | ||||||||
Investment income | $ | 162 | $ | 155 | $ | 482 | $ | 488 | ||||||||
Ending carrying value | $ | 11,932 | $ | 10,089 | $ | 11,932 | $ | 10,089 | ||||||||
Equity Securities: | ||||||||||||||||
Yield (1) | 3.59 | % | 2.75 | % | 4.42 | % | 3.84 | % | ||||||||
Investment income | $ | 28 | $ | 19 | $ | 106 | $ | 83 | ||||||||
Investment gains (losses) | $ | (3 | ) | $ | (1 | ) | $ | (37 | ) | $ | 100 | |||||
Ending carrying value | $ | 3,118 | $ | 2,861 | $ | 3,118 | $ | 2,861 | ||||||||
Other Limited Partnership Interests: | ||||||||||||||||
Yield (1) | 11.08 | % | 11.48 | % | 12.07 | % | 13.75 | % | ||||||||
Investment income | $ | 180 | $ | 170 | $ | 582 | $ | 596 | ||||||||
Investment gains (losses) | $ | — | $ | (4 | ) | $ | 8 | $ | (15 | ) | ||||||
Ending carrying value | $ | 6,538 | $ | 5,948 | $ | 6,538 | $ | 5,948 | ||||||||
Cash and Short-Term Investments: | ||||||||||||||||
Yield (1) | 0.72 | % | 0.42 | % | 0.87 | % | 0.39 | % | ||||||||
Investment income | $ | 38 | $ | 20 | $ | 122 | $ | 48 | ||||||||
Investment gains (losses) | $ | — | $ | — | $ | 1 | $ | 1 | ||||||||
Ending carrying value (3) | $ | 25,901 | $ | 26,019 | $ | 25,901 | $ | 26,019 | ||||||||
Other Invested Assets: (5) | ||||||||||||||||
Investment income | $ | 158 | $ | 75 | $ | 335 | $ | 395 | ||||||||
Investment gains (losses) | $ | — | $ | (67 | ) | $ | (3 | ) | $ | 8 | ||||||
Ending carrying value | $ | 23,138 | $ | 16,558 | $ | 23,138 | $ | 16,558 | ||||||||
Total Investments: | ||||||||||||||||
Investment income yield (1) | 4.76 | % | 5.32 | % | 4.90 | % | 5.36 | % | ||||||||
Investment fees and expenses yield | (0.13 | ) | (0.15 | ) | (0.13 | ) | (0.14 | ) | ||||||||
Net Investment Income Yield (3) | 4.63 | % | 5.17 | % | 4.77 | % | 5.22 | % | ||||||||
Investment income | $ | 5,189 | $ | 4,435 | $ | 15,417 | $ | 13,043 | ||||||||
Investment fees and expenses | (137 | ) | (121 | ) | (403 | ) | (338 | ) | ||||||||
Net Investment Income (3),(6) | $ | 5,052 | $ | 4,314 | $ | 15,014 | $ | 12,705 | ||||||||
Ending Carrying Value (3) | $ | 493,157 | $ | 383,223 | $ | 493,157 | $ | 383,223 | ||||||||
Gross investment gains (3) | $ | 477 | $ | 212 | $ | 1,115 | $ | 899 | ||||||||
Gross investment losses (3) | (199 | ) | (215 | ) | (732 | ) | (664 | ) | ||||||||
Writedowns | (257 | ) | (98 | ) | (467 | ) | (419 | ) | ||||||||
Investment Portfolio Gains (Losses) (3),(6) | $ | 21 | $ | (101 | ) | $ | (84 | ) | $ | (184 | ) | |||||
Investment portfolio gains (losses) income tax (expense) benefit | (7 | ) | 29 | 31 | 48 | |||||||||||
Investment Portfolio Gains (Losses), Net of Income Tax | $ | 14 | $ | (72 | ) | $ | (53 | ) | $ | (136 | ) | |||||
Derivative Gains (Losses) (6) | $ | 4,130 | $ | (311 | ) | $ | 4,037 | $ | 1,001 | |||||||
Derivative gains (losses) income tax (expense) benefit | (1,442 | ) | 121 | (1,414 | ) | (408 | ) | |||||||||
Derivative Gains (Losses), Net of Income Tax | $ | 2,688 | $ | (190 | ) | $ | 2,623 | $ | 593 | |||||||
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(1) | Yields are based on average of quarterly average asset carrying values, excluding recognized and unrealized investment gains (losses), collateral received from counterparties associated with our securities lending program, the effects of consolidating certain VIEs that are treated as CSEs and, effective October 1, 2010, contractholder-directed unit-linked investments. Yields also exclude investment income recognized on mortgage loans and securities held by CSEs and, effective October 1, 2010, contractholder-directed unit-linked investments. | |
(2) | Fixed maturity securities include $684 million and $3,756 million at estimated fair value of trading and other securities at September 30, 2011 and 2010, respectively. Fixed maturity securities include ($38) million and $6 million of investment income (loss) related to trading and other securities for the three months and nine months ended September 30, 2011, respectively, and $194 million and $217 million of investment income related to trading and other securities for the three months and nine months ended September 30, 2010, respectively. | |
(3) | (a) Ending carrying values of fixed maturity securities as presented herein, exclude (i) contractholder-directed unit-linked investments — reported within trading and other securities, of $17,874 million at September 30, 2011, and (ii) securities held by CSEs — reported within trading and other securities, of $140 million and $231 million at September 30, 2011 and 2010, respectively. Effective October 1, 2010, investment income and net investment income, as presented herein, excludes investment income and net investment income on contractholder-directed unit-linked investments — reported within trading and other securities, as shown in footnote (6) to this yield table. | |
(b) Ending carrying values, investment income, net investment income and investment gains (losses), as presented herein, exclude the effects of consolidating certain VIEs that are treated as CSEs. The adjustments to investment income, net investment income and investment gains (losses) in the aggregate are as shown in footnote (6) to this yield table. The adjustments to ending carrying value, investment income and investment gains (losses) by invested asset class are presented below. Both the invested assets and long-term debt of the CSEs are accounted for under the fair value option (“FVO”). The adjustment to investment gains (losses) presented below and in footnote (6) to this yield table includes the effects of remeasuring both the invested assets and long-term debt in accordance with the FVO. |
At or For the Three Months Ended September 30, 2011 | At or For the Nine Months Ended September 30, 2011 | |||||||||||||||||||||||
Impact of Excluding | Total - Including all | Impact of Excluding | Total - Including all | |||||||||||||||||||||
As Reported in the | Trading and Other | Trading and Other | As Reported in the | Trading and Other | Trading and Other | |||||||||||||||||||
Yield Table | Securities and CSEs | Securities and CSEs | Yield Table | Securities and CSEs | Securities and CSEs | |||||||||||||||||||
(In millions) | ||||||||||||||||||||||||
Trading and Other Securities: | ||||||||||||||||||||||||
(included within Fixed Maturity Securities): | ||||||||||||||||||||||||
Ending carrying value | $ | 684 | $ | 18,014 | $ | 18,698 | $ | 684 | $ | 18,014 | $ | 18,698 | ||||||||||||
Investment income | $ | (38 | ) | $ | (818 | ) | $ | (856 | ) | $ | 6 | $ | (430 | ) | $ | (424 | ) | |||||||
Investment gains (losses) | $ | — | $ | 1 | $ | 1 | $ | — | $ | (7 | ) | $ | (7 | ) | ||||||||||
Mortgage Loans: | ||||||||||||||||||||||||
Ending carrying value | $ | 59,722 | $ | 3,227 | $ | 62,949 | $ | 59,722 | $ | 3,227 | $ | 62,949 | ||||||||||||
Investment income | $ | 806 | $ | 95 | $ | 901 | $ | 2,330 | $ | 286 | $ | 2,616 | ||||||||||||
Investment gains (losses) | $ | 45 | $ | (8 | ) | $ | 37 | $ | 160 | $ | 9 | $ | 169 | |||||||||||
Cash and Short-Term Investments: | ||||||||||||||||||||||||
Ending carrying value | $ | 25,901 | $ | 13 | $ | 25,914 | $ | 25,901 | $ | 13 | $ | 25,914 | ||||||||||||
Total Investments: | ||||||||||||||||||||||||
Ending carrying value | $ | 493,157 | $ | 21,254 | $ | 514,411 | $ | 493,157 | $ | 21,254 | $ | 514,411 |
(4) | Investment income from fixed maturity securities and mortgage loans includes prepayment fees. |
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(5) | Other invested assets are principally comprised of freestanding derivatives with positive estimated fair values and leveraged leases. Freestanding derivatives with negative estimated fair values are included within other liabilities. However, the accruals of settlement payments on freestanding derivatives included in other liabilities are included in net investment income as shown in Note 4 of the Notes to the Interim Condensed Consolidated Financial Statements. As yield is not considered a meaningful measure of performance for other invested assets, it has been excluded from the yield table. | |
(6) | Net investment income, investment portfolio gains (losses) and derivative gains (losses) presented in this yield table vary from the most directly comparable measures presented in the GAAP interim condensed consolidated statements of operations due to certain reclassifications affecting net investment income, net investment gains (losses), net derivative gains (losses), interest credited to policyholder account balances (“PABs”), and other revenues, and excludes the effects of consolidating under GAAP certain VIEs that are treated as CSEs. Such reclassifications are presented in the tables below. |
Three Months | Nine Months | |||||||||||||||
Ended | Ended | |||||||||||||||
September 30, | September 30, | |||||||||||||||
2011 | 2010 | 2011 | 2010 | |||||||||||||
(In millions) | ||||||||||||||||
Net investment income — in the above yield table | $ | 5,052 | $ | 4,314 | $ | 15,014 | $ | 12,705 | ||||||||
Real estate discontinued operations — deduct from net investment income | 1 | 9 | (3 | ) | 2 | |||||||||||
Scheduled periodic settlement payments on derivatives not qualifying for hedge accounting — deduct from net investment income, add to net derivative gains (losses) | (69 | ) | (62 | ) | (163 | ) | (172 | ) | ||||||||
Equity method operating joint ventures— add to net investment income, deduct from net derivative gains (losses) | — | — | (23 | ) | (102 | ) | ||||||||||
Net investment income on contractholder-directed unit-linked investments — reported within trading and other securities — add to net investment income | (824 | ) | — | (437 | ) | — | ||||||||||
Incremental net investment income from CSEs — add to net investment income | 97 | 103 | 281 | 312 | ||||||||||||
Net investment income — GAAP consolidated statements of operations | $ | 4,257 | $ | 4,364 | $ | 14,669 | $ | 12,745 | ||||||||
Investment portfolio gains (losses) — in the above yield table | $ | 21 | $ | (101 | ) | $ | (84 | ) | $ | (184 | ) | |||||
Real estate discontinued operations — deduct from net investment gains (losses) | (26 | ) | — | (97 | ) | (10 | ) | |||||||||
Investment gains (losses) related to CSEs — add to net investment gains (losses) | (7 | ) | 16 | 2 | 24 | |||||||||||
Other gains (losses) — add to net investment gains (losses) | (43 | ) | (257 | ) | (130 | ) | (154 | ) | ||||||||
Net investment gains (losses) — GAAP consolidated statements of operations | $ | (55 | ) | $ | (342 | ) | $ | (309 | ) | $ | (324 | ) | ||||
Derivative gains (losses) — in the above yield table | $ | 4,130 | $ | (311 | ) | $ | 4,037 | $ | 1,001 | |||||||
Scheduled periodic settlement payments on derivatives not qualifying for hedge accounting — add to net derivative gains (losses), deduct from net investment income | 69 | 62 | 163 | 172 | ||||||||||||
Scheduled periodic settlement payments on derivatives not qualifying for hedge accounting — add to net derivative gains (losses), deduct from interest credited to PABs | 2 | 5 | 18 | 3 | ||||||||||||
Settlement of foreign currency earnings — add to net derivative gains (losses), deduct from other revenues | (5 | ) | — | (8 | ) | — | ||||||||||
Equity method operating joint ventures— add to net investment income, deduct from net derivative gains (losses) | — | — | 23 | 102 | ||||||||||||
Net derivative gains (losses) — GAAP consolidated statements of operations | $ | 4,196 | $ | (244 | ) | $ | 4,233 | $ | 1,278 | |||||||
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September 30, 2011 | ||||||||||||||||
Fixed Maturity | Equity | |||||||||||||||
Securities | Securities | |||||||||||||||
(In millions) | ||||||||||||||||
Level 1: | ||||||||||||||||
Quoted prices in active markets for identical assets | $ | 21,817 | 6.1 | % | $ | 875 | 28.1 | % | ||||||||
Level 2: | ||||||||||||||||
Independent pricing source | 275,963 | 78.0 | 1,231 | 39.4 | ||||||||||||
Internal matrix pricing or discounted cash flow techniques | 35,861 | 10.1 | 264 | 8.5 | ||||||||||||
Significant other observable inputs | 311,824 | 88.1 | 1,495 | 47.9 | ||||||||||||
Level 3: | ||||||||||||||||
Independent pricing source | 9,494 | 2.7 | 286 | 9.2 | ||||||||||||
Internal matrix pricing or discounted cash flow techniques | 9,133 | 2.6 | 12 | 0.4 | ||||||||||||
Independent broker quotations | 1,659 | 0.5 | 450 | 14.4 | ||||||||||||
Significant unobservable inputs | 20,286 | 5.8 | 748 | 24.0 | ||||||||||||
Total estimated fair value | $ | 353,927 | 100.0 | % | $ | 3,118 | 100.0 | % | ||||||||
September 30, 2011 | ||||||||||||||||
Fair Value Measurements Using | ||||||||||||||||
Quoted Prices | Significant | |||||||||||||||
in Active | Other | Significant | ||||||||||||||
Markets for | Observable | Unobservable | Total | |||||||||||||
Identical Assets | Inputs | Inputs | Estimated | |||||||||||||
(Level 1) | (Level 2) | (Level 3) | Fair Value | |||||||||||||
(In millions) | ||||||||||||||||
Fixed Maturity Securities: | ||||||||||||||||
U.S. corporate securities | $ | — | $ | 99,204 | $ | 7,371 | $ | 106,575 | ||||||||
Foreign corporate securities | — | 58,793 | 4,729 | 63,522 | ||||||||||||
Foreign government securities | 68 | 49,002 | 3,889 | 52,959 | ||||||||||||
Residential mortgage-backed securities (“RMBS”) | 25 | 41,256 | 612 | 41,893 | ||||||||||||
U.S. Treasury and agency securities | 21,724 | 20,079 | 31 | 41,834 | ||||||||||||
Commercial mortgage-backed securities (“CMBS”) | — | 18,753 | 832 | 19,585 | ||||||||||||
Asset-backed securities (“ABS”) | — | 11,649 | 2,769 | 14,418 | ||||||||||||
State and political subdivision securities | — | 13,088 | 53 | 13,141 | ||||||||||||
Other fixed maturity securities | — | — | — | — | ||||||||||||
Total fixed maturity securities | $ | 21,817 | $ | 311,824 | $ | 20,286 | $ | 353,927 | ||||||||
Equity Securities: | ||||||||||||||||
Common stock | $ | 875 | $ | 1,097 | $ | 239 | $ | 2,211 | ||||||||
Non-redeemable preferred stock | — | 398 | 509 | 907 | ||||||||||||
Total equity securities | $ | 875 | $ | 1,495 | $ | 748 | $ | 3,118 | ||||||||
• | The majority of the Level 3 fixed maturity and equity securities (89%, as presented above) were concentrated in four sectors: U.S. and foreign corporate securities, foreign government securities and ABS. |
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• | Level 3 fixed maturity securities are priced principally through market standard valuation methodologies, independent pricing services and independent non-binding broker quotations using inputs that are not market observable or cannot be derived principally from or corroborated by observable market data. Level 3 fixed maturity securities consist of less liquid fixed maturity securities with very limited trading activity or where less price transparency exists around the inputs to the valuation methodologies including alternative residential mortgage loan (“Alt-A”) RMBS and less liquid prime RMBS, certain below investment grade private placements and less liquid investment grade corporate securities (included in U.S. and foreign corporate securities), less liquid foreign government securities and less liquid ABS including securities supported bysub-prime mortgage loans (included in ABS). | |
• | During the three months ended September 30, 2011, Level 3 fixed maturity securities increased by $627 million, or 3%. The increase was driven by net purchases in excess of sales and an increase in estimated fair value recognized in other comprehensive income (loss), partially offset by net transfers out of Level 3. See analysis of transfers intoand/or out of Level 3 below. Net purchases in excess of sales of fixed maturity securities were concentrated in foreign government securities, U.S. corporate securities and ABS. The increase in estimated fair value recognized in accumulated other comprehensive income (loss) for fixed maturity securities was concentrated in foreign government and U.S. corporate securities due in part to a decrease in interest rates. | |
• | During the nine months ended September 30, 2011, Level 3 fixed maturity securities decreased by $2,430 million, or 11%. The decrease was driven by net transfers out of Level 3, partially offset by net purchases in excess of sales and an increase in estimated fair value recognized in other comprehensive income (loss). See analysis of transfers intoand/or out of Level 3 below. The increase in net purchases in excess of sales of fixed maturity securities were concentrated in foreign government securities and U.S. corporate securities, and the increase in estimated fair value recognized in accumulated other comprehensive income (loss) for fixed maturity securities was concentrated in U.S. corporate securities and foreign government securities due in part to a decrease in interest rates. |
Three Months | Nine Months | |||||||||||||||
Ended | Ended | |||||||||||||||
September 30, 2011 | September 30, 2011 | |||||||||||||||
Fixed Maturity | Equity | Fixed Maturity | Equity | |||||||||||||
Securities | Securities | Securities | Securities | |||||||||||||
(In millions) | ||||||||||||||||
Balance, beginning of period | $ | 19,659 | $ | 959 | $ | 22,716 | $ | 1,173 | ||||||||
Total realized/unrealized gains (losses) included in: | ||||||||||||||||
Earnings | (149 | ) | 10 | (79 | ) | (56 | ) | |||||||||
Other comprehensive income (loss) | 368 | (94 | ) | 871 | 19 | |||||||||||
Purchases | 1,846 | 14 | 5,054 | 57 | ||||||||||||
Sales | (868 | ) | (98 | ) | (4,162 | ) | (400 | ) | ||||||||
Transfers into Level 3 | 862 | 1 | 604 | 12 | ||||||||||||
Transfers out of Level 3 | (1,432 | ) | (44 | ) | (4,718 | ) | (57 | ) | ||||||||
Balance, end of period | $ | 20,286 | $ | 748 | $ | 20,286 | $ | 748 | ||||||||
• | Total gains and losses in earnings and other comprehensive income (loss) are calculated assuming transfers into or out of Level 3 occurred at the beginning of the period. Items transferred into and out for the same period are excluded from the rollforward. |
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• | Total gains (losses) for fixed maturity securities included in earnings of less than $1 million and ($5) million, and other comprehensive income (loss) of $37 million and $16 million, were incurred on these securities subsequent to their transfer into Level 3, for the three months and nine months ended September 30, 2011, respectively. | |
• | Net transfers intoand/or out of Level 3 for fixed maturity securities were ($570) million and ($4,114) million, and were comprised of transfers into Level 3 of $862 million and $604 million, and transfers out of Level 3 of ($1,432) million and ($4,718) million for the three months and nine months ended September 30, 2011, respectively. |
• | During the three months and nine months ended September 30, 2011, fixed maturity securities transfers into Level 3 of $862 million and $604 million, respectively, resulted primarily from current market conditions characterized by a lack of trading activity, decreased liquidity and credit ratings downgrades (e.g., from investment grade to below investment grade). These current market conditions have resulted in decreased transparency of valuations and an increased use of broker quotations and unobservable inputs to determine estimated fair value principally for certain foreign government securities, ABS and foreign corporate securities for the three months ended September 30, 2011 and foreign corporate securities, ABS and foreign government securities for the nine months ended September 30, 2011. | |
• | During the three months and nine months ended September 30, 2011, fixed maturity securities transfers out of Level 3 of ($1,432) million and ($4,718) million, respectively, resulted primarily from increased transparency of both new issuances that, subsequent to issuance and establishment of trading activity, became priced by independent pricing services and existing issuances that, over time, the Company was able to obtain pricing from, or corroborate pricing received from independent pricing services with observable inputs, or there were increases in market activity and upgraded credit ratings primarily for certain foreign corporate securities, foreign government securities and ABS for the three months ended September 30, 2011 and ABS, foreign corporate securities and RMBS for the nine months ended September 30, 2011. |
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September 30, 2011 | December 31, 2010 | |||||||||||||||||||||||||||
Estimated | Estimated | |||||||||||||||||||||||||||
NAIC | Amortized | Fair | % of | Amortized | Fair | % of | ||||||||||||||||||||||
Rating | Rating Agency Designation | Cost | Value | Total | Cost | Value | Total | |||||||||||||||||||||
(In millions) | ||||||||||||||||||||||||||||
1 | Aaa/Aa/A | $ | 234,346 | $ | 250,596 | 70.8 | % | $ | 226,639 | $ | 231,198 | 71.2 | % | |||||||||||||||
2 | Baa | 73,486 | 78,837 | 22.3 | 65,412 | 68,729 | 21.2 | |||||||||||||||||||||
3 | Ba | 16,049 | 15,348 | 4.3 | 15,331 | 15,290 | 4.7 | |||||||||||||||||||||
4 | B | 8,624 | 7,844 | 2.2 | 8,742 | 8,308 | 2.6 | |||||||||||||||||||||
5 | Caa and lower | 1,305 | 1,157 | 0.3 | 1,340 | 1,142 | 0.3 | |||||||||||||||||||||
6 | In or near default | 199 | 145 | 0.1 | 153 | 130 | — | |||||||||||||||||||||
Total fixed maturity securities | $ | 334,009 | $ | 353,927 | 100.0 | % | $ | 317,617 | $ | 324,797 | 100.0 | % | ||||||||||||||||
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Fixed Maturity Securities — by Sector & Credit Quality Rating at September 30, 2011 | ||||||||||||||||||||||||||||
NAIC Rating: | 1 | 2 | 3 | 4 | 5 | 6 | Total | |||||||||||||||||||||
Caa and | In or Near | Estimated | ||||||||||||||||||||||||||
Rating Agency Designation: | Aaa/Aa/A | Baa | Ba | B | Lower | Default | Fair Value | |||||||||||||||||||||
(In millions) | ||||||||||||||||||||||||||||
U.S. corporate securities | $ | 53,118 | $ | 40,462 | $ | 8,636 | $ | 4,082 | $ | 276 | $ | 1 | $ | 106,575 | ||||||||||||||
Foreign corporate securities | 33,080 | 25,876 | 3,257 | 1,185 | 120 | 4 | 63,522 | |||||||||||||||||||||
Foreign government securities | 41,960 | 8,259 | 1,248 | 1,155 | 337 | — | 52,959 | |||||||||||||||||||||
RMBS (1) | 36,543 | 1,921 | 1,977 | 1,155 | 248 | �� | 49 | 41,893 | ||||||||||||||||||||
U.S. Treasury and agency securities | 41,834 | — | — | — | — | — | 41,834 | |||||||||||||||||||||
CMBS (1) | 18,467 | 796 | 104 | 136 | 4 | 78 | 19,585 | |||||||||||||||||||||
ABS (1) | 13,324 | 687 | 103 | 127 | 164 | 13 | 14,418 | |||||||||||||||||||||
State and political subdivision securities | 12,270 | 836 | 23 | 4 | 8 | — | 13,141 | |||||||||||||||||||||
Other fixed maturity securities | — | — | — | — | — | — | — | |||||||||||||||||||||
Total fixed maturity securities | $ | 250,596 | $ | 78,837 | $ | 15,348 | $ | 7,844 | $ | 1,157 | $ | 145 | $ | 353,927 | ||||||||||||||
Percentage of total | 70.8 | % | 22.3 | % | 4.3 | % | 2.2 | % | 0.3 | % | 0.1 | % | 100.0 | % |
Fixed Maturity Securities — by Sector & Credit Quality Rating at December 31, 2010 | ||||||||||||||||||||||||||||
NAIC Rating: | 1 | 2 | 3 | 4 | 5 | 6 | Total | |||||||||||||||||||||
Caa and | In or Near | Estimated | ||||||||||||||||||||||||||
Rating Agency Designation: | Aaa/Aa/A | Baa | Ba | B | Lower | Default | Fair Value | |||||||||||||||||||||
(In millions) | ||||||||||||||||||||||||||||
U.S. corporate securities | $ | 46,035 | $ | 34,259 | $ | 7,633 | $ | 3,452 | $ | 353 | $ | 40 | $ | 91,772 | ||||||||||||||
Foreign corporate securities | 39,430 | 24,352 | 2,474 | 1,454 | 169 | 9 | 67,888 | |||||||||||||||||||||
Foreign government securities | 31,559 | 7,184 | 2,179 | 1,080 | — | — | 42,002 | |||||||||||||||||||||
RMBS (1) | 38,984 | 1,109 | 2,271 | 1,993 | 331 | 45 | 44,733 | |||||||||||||||||||||
U.S. Treasury and agency securities | 33,304 | — | — | — | — | — | 33,304 | |||||||||||||||||||||
CMBS (1) | 19,385 | 665 | 363 | 205 | 56 | 1 | 20,675 | |||||||||||||||||||||
ABS (1) | 13,133 | 435 | 338 | 120 | 226 | 35 | 14,287 | |||||||||||||||||||||
State and political subdivision securities | 9,368 | 722 | 32 | — | 7 | — | 10,129 | |||||||||||||||||||||
Other fixed maturity securities | — | 3 | — | 4 | — | — | 7 | |||||||||||||||||||||
Total fixed maturity securities | $ | 231,198 | $ | 68,729 | $ | 15,290 | $ | 8,308 | $ | 1,142 | $ | 130 | $ | 324,797 | ||||||||||||||
Percentage of total | 71.2 | % | 21.2 | % | 4.7 | % | 2.6 | % | 0.3 | % | — | % | 100.0 | % |
• | Fixed maturity and equity securities on a sector basis and the related cost or amortized cost, gross unrealized gains and losses, including the noncredit loss component ofother-than-temporary impairment (“OTTI”) loss, and estimated fair value of such securities at September 30, 2011 and December 31, 2010; | |
• | Estimated fair value and unrealized gains (losses) on below investment grade or non-rated, non-income producing, fixed maturity securities at September 30, 2011 and December 31, 2010; | |
• | Government and agency securities holdings in excess of 10% of the Company’s equity; and | |
• | U.S. and foreign corporate fixed maturity securities — the composition by industry and sector and related concentrations of credit risk at September 30, 2011 and December 31, 2010. |
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September 30, 2011 | December 31, 2010 | |||||||||||||||
Estimated | Estimated | |||||||||||||||
Fair | % of | Fair | % of | |||||||||||||
Value | Total | Value | Total | |||||||||||||
(In millions) | ||||||||||||||||
RMBS | $ | 41,893 | 55.2 | % | $ | 44,733 | 56.1 | % | ||||||||
CMBS | 19,585 | 25.8 | 20,675 | 26.0 | ||||||||||||
ABS | 14,418 | 19.0 | 14,287 | 17.9 | ||||||||||||
Total structured securities | $ | 75,896 | 100.0 | % | $ | 79,695 | 100.0 | % | ||||||||
Ratings profile: | ||||||||||||||||
RMBS rated Aaa/AAA | $ | 32,452 | 77.5 | % | $ | 36,085 | 80.7 | % | ||||||||
RMBS rated NAIC 1 | $ | 36,543 | 87.2 | % | $ | 38,984 | 87.1 | % | ||||||||
CMBS rated Aaa/AAA | $ | 16,224 | 82.8 | % | $ | 16,901 | 81.7 | % | ||||||||
CMBS rated NAIC 1 | $ | 18,467 | 94.3 | % | $ | 19,385 | 93.7 | % | ||||||||
ABS rated Aaa/AAA | $ | 9,250 | 64.2 | % | $ | 10,411 | 72.9 | % | ||||||||
ABS rated NAIC 1 | $ | 13,324 | 92.4 | % | $ | 13,133 | 91.9 | % |
• | RMBS holdings by security type and risk profile at September 30, 2011 and December 31, 2010; | |
• | Alt-A RMBS holdings by vintage year and selected other information at September 30, 2011 and December 31, 2010; | |
• | CMBS holdings by rating agency designation and by vintage year, as well as NAIC rating, at September 30, 2011 and December 31, 2010; and | |
• | ABS holdings by collateral type and selected other information at September 30, 2011 and December 31, 2010. |
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• | Evaluatingavailable-for-sale securities forother-than-temporary impairment; | |
• | Net unrealized investment gains (losses); | |
• | Continuous gross unrealized losses and OTTI losses for fixed maturity and equity securitiesavailable-for-sale by sector; | |
• | Aging of gross unrealized losses and OTTI losses for fixed maturity and equity securitiesavailable-for-sale; | |
• | Concentration of gross unrealized losses and OTTI losses for fixed maturity and equity securitiesavailable-for-sale; and | |
• | Evaluating temporarily impairedavailable-for-sale securities. |
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September 30, 2011 | ||||||||||||||||
Trading and Other | Trading | |||||||||||||||
Securities | Liabilities | |||||||||||||||
(In millions) | ||||||||||||||||
Quoted prices in active markets for identical assets and liabilities (Level 1) | $ | 7,332 | 39 | % | $ | 64 | 96 | % | ||||||||
Significant other observable inputs (Level 2) | 10,074 | 54 | 3 | 4 | ||||||||||||
Significant unobservable inputs (Level 3) | 1,292 | 7 | — | — | ||||||||||||
Total estimated fair value | $ | 18,698 | 100 | % | $ | 67 | 100 | % | ||||||||
Three Months | Nine Months | |||||||
Ended | Ended | |||||||
September 30, 2011 | September 30, 2011 | |||||||
(In millions) | ||||||||
Balance, beginning of period | $ | 679 | $ | 822 | ||||
Total realized/unrealized gains (losses) included in earnings | (17 | ) | 58 | |||||
Purchases | 1,026 | 1,033 | ||||||
Sales | (297 | ) | (488 | ) | ||||
Transfers into Level 3 | — | 123 | ||||||
Transfers out of Level 3 | (99 | ) | (256 | ) | ||||
Balance, end of period | $ | 1,292 | $ | 1,292 | ||||
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• | The components of net investment gains (losses) for the three months and nine months ended September 30, 2011 and 2010; | |
• | Proceeds from sales or disposals of fixed maturity and equity securities and the components of fixed maturity and equity securities net investment gains (losses) for the three months and nine months ended September 30, 2011 and 2010; | |
• | Fixed maturity security OTTI losses recognized in earnings by sector and industry within the U.S. and foreign corporate securities sector for the three months and nine months ended September 30, 2011 and 2010; and | |
• | Equity security OTTI losses recognized in earnings by sector and industry for the three months and nine months ended September 30, 2011 and 2010. |
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• | Securities on loan, aging of cash collateral liability, security collateral on deposit from counterparties and the estimated fair value of the reinvestment portfolio at September 30, 2011 and December 31, 2010; and | |
• | Estimated fair value of the securities on loan related to the cash collateral on open at September 30, 2011 and portion consisting of U.S. Treasury and agency securities at September 30, 2011 and composition of the remaining securities on loan and the composition of the reinvestment portfolio at September 30, 2011. |
• | A table of the invested assets on deposit, invested assets held in trust and invested assets pledged as collateral at September 30, 2011 and December 31, 2010; | |
• | The amount of the Company’s cash received from and due back to counterparties pursuant to its securities lending program; and | |
• | Assets of certain CSEs that can only be used to settle liabilities of such entities. |
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September 30, 2011 | December 31, 2010 | |||||||||||||||
% of | % of | |||||||||||||||
Amount | Total | Amount | Total | |||||||||||||
(In millions) | ||||||||||||||||
Region: | ||||||||||||||||
South Atlantic | $ | 8,626 | 21.5 | % | $ | 8,016 | 21.2 | % | ||||||||
Pacific | 8,556 | 21.3 | 8,974 | 23.7 | ||||||||||||
Middle Atlantic | 7,917 | 19.8 | 6,484 | 17.1 | ||||||||||||
International | 4,650 | 11.6 | 4,214 | 11.1 | ||||||||||||
West South Central | 3,257 | 8.1 | 3,266 | 8.6 | ||||||||||||
East North Central | 3,253 | 8.1 | 3,066 | 8.1 | ||||||||||||
New England | 1,723 | 4.3 | 1,531 | 4.1 | ||||||||||||
Mountain | 896 | 2.2 | 884 | 2.3 | ||||||||||||
West North Central | 534 | 1.3 | 666 | 1.8 | ||||||||||||
East South Central | 453 | 1.1 | 461 | 1.2 | ||||||||||||
Other | 255 | 0.7 | 256 | 0.8 | ||||||||||||
Total recorded investment | 40,120 | 100.0 | % | 37,818 | 100.0 | % | ||||||||||
Less: valuation allowances | 428 | 562 | ||||||||||||||
Carrying value, net of valuation allowances | $ | 39,692 | $ | 37,256 | ||||||||||||
Property Type: | ||||||||||||||||
Office | $ | 19,290 | 48.1 | % | $ | 16,857 | 44.6 | % | ||||||||
Retail | 8,564 | 21.3 | 9,215 | 24.3 | ||||||||||||
Apartments | 4,166 | 10.4 | 3,630 | 9.6 | ||||||||||||
Industrial | 3,138 | 7.8 | 2,910 | 7.7 | ||||||||||||
Hotels | 2,982 | 7.4 | 3,089 | 8.2 | ||||||||||||
Other | 1,980 | 5.0 | 2,117 | 5.6 | ||||||||||||
Total recorded investment | 40,120 | 100.0 | % | 37,818 | 100.0 | % | ||||||||||
Less: valuation allowances | 428 | 562 | ||||||||||||||
Carrying value, net of valuation allowances | $ | 39,692 | $ | 37,256 | ||||||||||||
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September 30, 2011 | December 31, 2010 | |||||||||||||||||||||||||||||||
% of | % of | |||||||||||||||||||||||||||||||
Recorded | % of | Valuation | Recorded | Recorded | % of | Valuation | Recorded | |||||||||||||||||||||||||
Investment | Total | Allowance | Investment | Investment | Total | Allowance | Investment | |||||||||||||||||||||||||
(In millions) | ||||||||||||||||||||||||||||||||
Commercial: | ||||||||||||||||||||||||||||||||
Performing | $ | 39,680 | 98.9 | % | $ | 358 | 0.9 | % | $ | 37,487 | 99.1 | % | $ | 528 | 1.4 | % | ||||||||||||||||
Restructured (1) | 242 | 0.6 | 46 | 19.0 | % | 93 | 0.2 | 6 | 6.5 | % | ||||||||||||||||||||||
Potentially delinquent | 43 | 0.1 | 18 | 41.9 | % | 180 | 0.5 | 28 | 15.6 | % | ||||||||||||||||||||||
Delinquent or under foreclosure | 155 | 0.4 | 6 | 3.9 | % | 58 | 0.2 | — | — | % | ||||||||||||||||||||||
Total | $ | 40,120 | 100.0 | % | $ | 428 | 1.1 | % | $ | 37,818 | 100.0 | % | $ | 562 | 1.5 | % | ||||||||||||||||
Agricultural (2): | ||||||||||||||||||||||||||||||||
Performing | $ | 12,750 | 98.3 | % | $ | 41 | 0.3 | % | $ | 12,486 | 97.9 | % | $ | 35 | 0.3 | % | ||||||||||||||||
Restructured (3) | 68 | 0.5 | 8 | 11.8 | % | 33 | 0.3 | 8 | 24.2 | % | ||||||||||||||||||||||
Potentially delinquent | 11 | 0.1 | 4 | 36.4 | % | 62 | 0.5 | 11 | 17.7 | % | ||||||||||||||||||||||
Delinquent or under foreclosure (3) | 138 | 1.1 | 29 | 21.0 | % | 170 | 1.3 | 34 | 20.0 | % | ||||||||||||||||||||||
Total | $ | 12,967 | 100.0 | % | $ | 82 | 0.6 | % | $ | 12,751 | 100.0 | % | $ | 88 | 0.7 | % | ||||||||||||||||
Residential (4): | ||||||||||||||||||||||||||||||||
Performing | $ | 3,377 | 98.6 | % | $ | 18 | 0.5 | % | $ | 2,145 | 96.1 | % | $ | 12 | 0.6 | % | ||||||||||||||||
Restructured (5) | 3 | 0.1 | — | — | % | 4 | 0.2 | — | — | % | ||||||||||||||||||||||
Potentially delinquent | 10 | 0.3 | — | — | % | 4 | 0.2 | — | — | % | ||||||||||||||||||||||
Delinquent or under foreclosure (5) | 34 | 1.0 | 1 | 5.9 | % | 78 | 3.5 | 2 | 2.6 | % | ||||||||||||||||||||||
Total | $ | 3,424 | 100.0 | % | $ | 19 | 0.6 | % | $ | 2,231 | 100.0 | % | $ | 14 | 0.6 | % | ||||||||||||||||
(1) | As of September 30, 2011 and December 31, 2010, restructured commercial mortgage loans were comprised of ten and five restructured loans, respectively, all of which were performing. | |
(2) | Of the $13.0 billion of agricultural mortgage loans outstanding at September 30, 2011, 50% were subject to rate resets prior to maturity. A substantial portion of these mortgage loans have been successfully reset, refinanced or extended at market terms. | |
(3) | As of September 30, 2011 and December 31, 2010, restructured agricultural mortgage loans were comprised of fourteen and five restructured loans, respectively, all of which were performing. Additionally, as of December 31, 2010, delinquent or under foreclosure agricultural mortgage loans included two restructured loans with a recorded investment of $29 million, which were not performing. | |
(4) | Residential mortgage loansheld-for-investment consist primarily of first lien residential mortgage loans, and to a much lesser extent, second lien residential mortgage loans and home equity lines of credit. | |
(5) | As of September 30, 2011 and December 31, 2010, restructured residential mortgage loans were comprised of eight and twelve restructured loans, respectively, all of which were performing. Additionally, as of September 30, 2011, potentially delinquent restructured mortgage loans included five restructured loans. |
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September 30, 2011 | December 31, 2010 | |||||||||||||||
Carrying | % of | Carrying | % of | |||||||||||||
Value | Total | Value | Total | |||||||||||||
(In millions) | ||||||||||||||||
Traditional | $ | 5,690 | 69.4 | % | $ | 5,030 | 62.6 | % | ||||||||
Real estate joint ventures and funds | 2,327 | 28.4 | 2,707 | 33.7 | ||||||||||||
Real estate and real estate joint ventures | 8,017 | 97.8 | 7,737 | 96.3 | ||||||||||||
Foreclosed (commercial, agricultural and residential) | 173 | 2.1 | 152 | 1.9 | ||||||||||||
Real estateheld-for-investment | 8,190 | 99.9 | 7,889 | 98.2 | ||||||||||||
Real estateheld-for-sale | 7 | 0.1 | 141 | 1.8 | ||||||||||||
Total real estate and real estate joint ventures | $ | 8,197 | 100.0 | % | $ | 8,030 | 100.0 | % | ||||||||
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September 30, 2011 | December 31, 2010 | |||||||||||||||
Carrying | % of | Carrying | % of | |||||||||||||
Value | Total | Value | Total | |||||||||||||
(In millions) | ||||||||||||||||
Freestanding derivatives with positive estimated fair values | $ | 16,284 | 70.4 | % | $ | 7,777 | 50.4 | % | ||||||||
Leveraged leases, net of non-recourse debt | 2,240 | 9.7 | 2,191 | 14.2 | ||||||||||||
Tax credit partnerships | 1,045 | 4.5 | 976 | 6.3 | ||||||||||||
MSRs | 686 | 3.0 | 950 | 6.2 | ||||||||||||
Funds withheld | 562 | 2.4 | 551 | 3.6 | ||||||||||||
Joint venture investments | 201 | 0.9 | 694 | 4.5 | ||||||||||||
Other | 2,120 | 9.1 | 2,291 | 14.8 | ||||||||||||
Total | $ | 23,138 | 100.0 | % | $ | 15,430 | 100.0 | % | ||||||||
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• | A comprehensive description of the nature of the Company’s derivative instruments, including the strategies for which derivatives are used in managing various risks. | |
• | Information about the notional amount, estimated fair value, and primary underlying risk exposure of the Company’s derivative financial instruments, excluding embedded derivatives held at September 30, 2011 and December 31, 2010. |
• | The notional amount and estimated fair value of derivatives and non-derivative instruments designated as hedging instruments by type of hedge designation at September 30, 2011 and December 31, 2010. | |
• | The notional amount and estimated fair value of derivatives that were not designated or do not qualify as hedging instruments by derivative type at September 30, 2011 and December 31, 2010. | |
• | The statement of operations effects of derivatives in cash flow, fair value, or non-qualifying hedge relationships for the three months and nine months ended September 30, 2011 and 2010. |
September 30, 2011 | ||||||||||||||||
Derivative | Derivative | |||||||||||||||
Assets | Liabilities | |||||||||||||||
(In millions) | ||||||||||||||||
Quoted prices in active markets for identical assets and liabilities (Level 1) | $ | 196 | 1 | % | $ | 129 | 3 | % | ||||||||
Significant other observable inputs (Level 2) | 14,767 | 91 | 3,694 | 93 | ||||||||||||
Significant unobservable inputs (Level 3) | 1,321 | 8 | 136 | 4 | ||||||||||||
Total estimated fair value | $ | 16,284 | 100 | % | $ | 3,959 | 100 | % | ||||||||
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Three Months | Nine Months | |||||||
Ended | Ended | |||||||
September 30, 2011 | September 30, 2011 | |||||||
(In millions) | ||||||||
Balance, beginning of period | $ | 79 | $ | 173 | ||||
Total realized/unrealized gains (losses) included in: | ||||||||
Earnings | 692 | 594 | ||||||
Other comprehensive income (loss) | 333 | 338 | ||||||
Purchases, sales, issuances and settlements | 80 | 182 | ||||||
Transfer into and/or out of Level 3 | 1 | (102 | ) | |||||
Balance, end of period | $ | 1,185 | $ | 1,185 | ||||
September 30, 2011 | ||||||||||||||||
Net Embedded Derivatives Within | ||||||||||||||||
Asset Host | Liability Host | |||||||||||||||
Contracts | Contracts | |||||||||||||||
(In millions) | ||||||||||||||||
Quoted prices in active markets for identical assets and liabilities (Level 1) | $ | — | — | % | $ | — | — | % | ||||||||
Significant other observable inputs (Level 2) | 2 | 1 | 19 | 1 | ||||||||||||
Significant unobservable inputs (Level 3) | 354 | 99 | 4,862 | 99 | ||||||||||||
Total estimated fair value | $ | 356 | 100 | % | $ | 4,881 | 100 | % | ||||||||
Three Months | Nine Months | |||||||
Ended | Ended | |||||||
September 30, 2011 | September 30, 2011 | |||||||
(In millions) | ||||||||
Balance, beginning of period | $ | (2,074 | ) | $ | (2,438 | ) | ||
Total realized/unrealized gains (losses) included in: | ||||||||
Earnings | (2,199 | ) | (1,615 | ) | ||||
Other comprehensive income (loss) | (114 | ) | (116 | ) | ||||
Purchases, sales, issuances and settlements | (121 | ) | (339 | ) | ||||
Transfer into and/or out of Level 3 | — | — | ||||||
Balance, end of period | $ | (4,508 | ) | $ | (4,508 | ) | ||
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• | Commitments to Fund Partnership Investments; | |
• | Mortgage Loan Commitments; | |
• | Commitments to Fund Bank Credit Facilities, Bridge Loans and Private Corporate Bond Investments; and | |
• | Guarantees. |
194
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195
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196
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Nine Months | ||||||||
Ended | ||||||||
September 30, | ||||||||
2011 | 2010 | |||||||
(In millions) | ||||||||
Sources: | ||||||||
Net cash provided by operating activities | $ | 9,040 | $ | 5,193 | ||||
Net cash provided by changes in policyholder account balances | 2,910 | 3,583 | ||||||
Net cash provided by changes in payables for collateral under securities loaned and other transactions | 7,661 | 7,695 | ||||||
Net cash provided by changes in bank deposits | 296 | — | ||||||
Net cash provided by short-term debt issuances | 145 | 1,145 | ||||||
Long-term debt issued | 1,346 | 4,590 | ||||||
Cash received in connection with collateral financing arrangements | 100 | — | ||||||
Common stock issued, net of issuance costs | 2,950 | 3,529 | ||||||
Stock options exercised | 77 | 32 | ||||||
Cash provided by the effect of change in foreign currency exchange rates | 133 | — | ||||||
Total sources | 24,658 | 25,767 | ||||||
Uses: | ||||||||
Net cash used in investing activities | 23,349 | 19,369 | ||||||
Net cash used for changes in bank deposits | — | 959 | ||||||
Long-term debt repaid | 1,192 | 689 | ||||||
Debt issuance costs | 1 | 14 | ||||||
Redemption of convertible preferred stock | 2,805 | — | ||||||
Preferred stock redemption premium | 146 | — | ||||||
Dividends on preferred stock | 91 | 91 | ||||||
Net cash used in other, net | 68 | 192 | ||||||
Cash used in the effect of change in foreign currency exchange rates | — | 8 | ||||||
Total uses | 27,652 | 21,322 | ||||||
Net increase (decrease) in cash and cash equivalents | $ | (2,994 | ) | $ | 4,445 | |||
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• | The Holding Company and MetLife Funding, Inc. (“MetLife Funding”) each have commercial paper programs supported by $4.0 billion in general corporate credit facilities. MetLife Funding, a subsidiary of Metropolitan Life Insurance Company (“MLIC”), serves as a centralized finance unit for the Company. MetLife Funding raises cash from its commercial paper program and uses the proceeds to extend loans, through MetLife Credit Corp., another subsidiary of MLIC, to the Holding Company, MLIC and other affiliates in order to enhance the financial flexibility and liquidity of these companies. Outstanding balances for the commercial paper program fluctuate in line with changes to affiliates’ financing arrangements. Pursuant to a support agreement, MLIC has agreed to cause MetLife Funding to have a tangible net worth of at least one dollar. At both September 30, 2011 and December 31, 2010, MetLife Funding had a tangible net worth of $12 million. At September 30, 2011 and December 31, 2010, MetLife Funding had total outstanding liabilities for its commercial paper program, including accrued interest payable, of $101 million and $102 million, respectively. | |
• | MetLife Bank is a depository institution that is approved to use the Federal Reserve Bank of New York Discount Window borrowing privileges. To utilize these privileges, MetLife Bank has pledged qualifying loans and investment securities to the Federal Reserve Bank of New York as collateral. At both September 30, 2011 and December 31, 2010, MetLife Bank had no liability for advances from the Federal Reserve Bank of New York under this facility. | |
• | MetLife Bank has a cash need to fund residential mortgage loans that it originates and generally holds for a relatively short period before selling them to one of the government-sponsored enterprises such as FNMA or FHLMC. The outstanding volume of residential mortgage originations varies from month to month and is cyclical within a month. To meet the variable funding requirements from this mortgage activity, as well as to increase overall liquidity from time to time, MetLife Bank takes advantage of short-term collateralized borrowing opportunities with the Federal Home Loan Bank of New York (“FHLB of NY”). MetLife Bank has entered into advances agreements with the FHLB of NY whereby MetLife Bank has received cash advances and under which the FHLB of NY has been granted a blanket lien on certain of MetLife Bank’s residential mortgage loans, mortgage loansheld-for-sale, commercial mortgage loans and mortgage-backed securities to collateralize MetLife Bank’s repayment obligations. Upon any event of default by MetLife Bank, the FHLB of NY’s recovery is limited to the amount of MetLife Bank’s liability under the advances agreements. MetLife Bank has received advances from the FHLB of NY on both short-term and long-term bases, with a total liability of $4.6 billion and $3.8 billion at September 30, 2011 and December 31, 2010, respectively. | |
• | The Company also had obligations under funding agreements with the FHLB of NY of $11.8 billion and $12.6 billion at September 30, 2011 and December 31, 2010, respectively, for MLIC, and with the Federal Home Loan Bank of Boston (“FHLB of Boston”) of $450 million and $100 million at September 30, 2011 and December 31, 2010, respectively, for MetLife Insurance Company of Connecticut (“MICC”). See Note 8 of the Notes to the Consolidated Financial Statements included in the 2010 Annual Report. In September 2010, MetLife Investors Insurance Company (“MLIIC”) and General American Life Insurance Company (“GALIC”), subsidiaries of MetLife, Inc., each became a member of the Federal Home Loan Bank of Des Moines (“FHLB of Des Moines”), and each purchased $10 million of FHLB of Des Moines |
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common stock. Membership in the FHLB of Des Moines provides an additional source of contingent liquidity for the Company. The Company had obligations under funding agreements with the FHLB of Des Moines of $220 million for MLIIC and $475 million for GALIC at September 30, 2011. There were no funding agreements with the FHLB of Des Moines at December 31, 2010. |
• | The Company issues fixed and floating rate funding agreements, which are denominated in either U.S. dollars or foreign currencies, to certain special purpose entities (“SPEs”) that have issued either debt securities or commercial paper for which payment of interest and principal is secured by such funding agreements. At September 30, 2011 and December 31, 2010, funding agreements outstanding, which are included in PABs, were $24.9 billion and $27.2 billion, respectively. See Note 8 of the Notes to the Consolidated Financial Statements included in the 2010 Annual Report. | |
• | MLIC and MICC have each issued funding agreements to the Federal Agricultural Mortgage Corporation (“Farmer Mac”) and certain SPEs that have issued debt securities for which payment of interest and principal is secured by such funding agreements, and such debt securities are also guaranteed as to payment of interest and principal by Farmer Mac, a federally chartered instrumentality of the U.S. The obligations under all such funding agreements are secured by a pledge of certain eligible agricultural real estate mortgage loans and may, under certain circumstances, be secured by other qualified collateral. The amount of the Company’s liability for funding agreements issued was $2.8 billion at both September 30, 2011 and December 31, 2010, which is included in PABs. The obligations under these funding agreements are collateralized by designated agricultural real estate mortgage loans with carrying values of $3.2 billion at both September 30, 2011 and December 31, 2010. See Note 8 of the Notes to the Consolidated Financial Statements included in the 2010 Annual Report. |
September 30, 2011 | December 31, 2010 | |||||||
(In millions) | ||||||||
Short-term debt | $ | 451 | $ | 306 | ||||
Long-term debt (1) | $ | 21,596 | $ | 20,766 | ||||
Collateral financing arrangements | $ | 5,297 | $ | 5,297 | ||||
Junior subordinated debt securities | $ | 3,192 | $ | 3,191 |
(1) | Excludes $3,157 million and $6,820 million at September 30, 2011 and December 31, 2010, respectively, of long-term debt relating to CSEs. See Note 3 of the Notes to the Interim Condensed Consolidated Financial Statements. |
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Dividend | ||||||||||||||||||||
Series A | Series A | Series B | Series B | |||||||||||||||||
Declaration Date | Record Date | Payment Date | Per Share | Aggregate | Per Share | Aggregate | ||||||||||||||
(In millions, except per share data) | ||||||||||||||||||||
August 15, 2011 | August 31, 2011 | September 15, 2011 | $ | 0.2555555 | $ | 6 | $ | 0.4062500 | $ | 24 | ||||||||||
May 16, 2011 | May 31, 2011 | June 15, 2011 | $ | 0.2555555 | 7 | $ | 0.4062500 | 24 | ||||||||||||
March 7, 2011 | February 28, 2011 | March 15, 2011 | $ | 0.2500000 | 6 | $ | 0.4062500 | 24 | ||||||||||||
$ | 19 | $ | 72 | |||||||||||||||||
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2011 | ||||
Permitted w/o | ||||
Company | Approval (1) | |||
(In millions) | ||||
Metropolitan Life Insurance Company | $ | 1,321 | ||
American Life Insurance Company | $ | 661 | ||
MetLife Insurance Company of Connecticut | $ | 517 | ||
Metropolitan Property and Casualty Insurance Company | $ | — | ||
Metropolitan Tower Life Insurance Company | $ | 80 |
(1) | Reflects dividend amounts that may be paid during 2011 without prior regulatory approval. However, because dividend tests may be based on dividends previously paid over rolling12-month periods, if paid before a specified date during 2011, some or all of such dividends may require regulatory approval. On April 29, 2011, MLIC paid as a dividend $183 million of such available amount to the Holding Company. |
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No other available amounts were paid by the above subsidiaries to the Holding Company during the nine months ended September 30, 2011. |
September 30, 2011 | December 31, 2010 | |||||||
(In millions) | ||||||||
Long-term debt — unaffiliated | $ | 16,419 | $ | 16,258 | ||||
Long-term debt — affiliated (1) | $ | 500 | $ | 665 | ||||
Collateral financing arrangements | $ | 2,797 | $ | 2,797 | ||||
Junior subordinated debt securities | $ | 1,748 | $ | 1,748 |
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(1) | Includes $165 million of affiliated senior notes associated with bonds held by ALICO at December 31, 2010. Such bonds were sold to a third party in the second quarter of 2011. |
Subsidiaries | Interest Rate | Maturity Date | September 30, 2011 | December 31, 2010 | ||||||||
(In millions) | ||||||||||||
Metropolitan Life Insurance Company (1) | 6-month LIBOR + 1.80% | December 31, 2011 | $ | — | $ | 775 | ||||||
American Life Insurance Company (2) | 6-month LIBOR + 1.06% | September 26, 2013 | 100 | — | ||||||||
Metropolitan Life Insurance Company | 7.13% | December 15, 2032 | 400 | 400 | ||||||||
Metropolitan Life Insurance Company | 7.13% | January 15, 2033 | 100 | 100 | ||||||||
Total | $ | 600 | $ | 1,275 | ||||||||
(1) | In April 2011, MLIC repaid in cash the $775 million surplus note issued to the Holding Company in December 2009. The early redemption was approved by the New York Superintendent of Insurance. | |
(2) | On September 26, 2011, American Life issued a note to the Holding Company for $100 million maturing no later than September 26, 2013 with an interest rate of6-month LIBOR + 1.06% in exchange for cash. |
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Item 3. | Quantitative and Qualitative Disclosures About Market Risk |
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• | implementing a corporate risk framework, which outlines the Company’s approach for managing risk on an enterprise-wide basis; | |
• | developing policies and procedures for managing, measuring, monitoring and controlling those risks identified in the corporate risk framework; | |
• | establishing appropriate corporate risk tolerance levels; | |
• | deploying capital on an economic capital basis; and | |
• | reporting on a periodic basis to the Finance and Risk Committee of the Company’s Board of Directors; with respect to credit risk, reporting to the Investment Committee of the Company’s Board of Directors; and reporting on various aspects of risk to financial and non-financial senior management committees. |
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• | The Company’s Treasury Department is responsible for managing the exposure to investments in foreign subsidiaries. Limits to exposures are established and monitored by the Treasury Department and managed by the Investment Department. | |
• | The Investment Department is responsible for managing the exposure to foreign currency investments. Exposure limits to unhedged foreign currency investments are incorporated into the standing authorizations granted to management by the Board of Directors and are reported to the Board of Directors on a periodic basis. | |
• | The lines of business are responsible for establishing limits and managing any foreign exchange rate exposure caused by the sale or issuance of insurance products. |
• | Risks Related to Living Guarantee Benefits — The Company uses a wide range of derivative contracts to hedge the risk associated with variable annuity living guarantee benefits. These hedges include equity and interest rate futures, interest rate swaps, currency futures/forwards, equity indexed options and interest rate option contracts and equity variance swaps. | |
• | Minimum Interest Rate Guarantees — For certain Company liability contracts, the Company provides the contractholder a guaranteed minimum interest rate. These contracts include certain fixed annuities and other insurance liabilities. The Company purchases interest rate floors to reduce risk associated with these liability guarantees. | |
• | Reinvestment Risk in Long Duration Liability Contracts — Derivatives are used to hedge interest rate risk related to certain long duration liability contracts, such as deferred annuities. Hedges include zero coupon interest rate swaps and swaptions. | |
• | Foreign Currency Risk — The Company uses currency swaps and forwards to hedge foreign currency risk. These hedges primarily swap foreign currency denominated bonds, investments in foreign subsidiaries or equity exposures to U.S. dollars. | |
• | General ALM Hedging Strategies — In the ordinary course of managing the Company’s asset/liability risks, the Company uses interest rate futures, interest rate swaps, interest rate caps, interest rate floors and inflation swaps. These hedges are designed to reduce interest rate risk or inflation risk related to the existing assets or liabilities or related to expected future cash flows. |
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• | the net present values of its interest rate sensitive exposures resulting from a 10% change (increase or decrease) in interest rates; | |
• | the U.S. dollar equivalent estimated fair values of the Company’s foreign currency exposures due to a 10% change (increase or decrease) in foreign currency exchange rates; and | |
• | the estimated fair value of its equity positions due to a 10% change (increase or decrease) in equity market prices. |
• | the market risk information is limited by the assumptions and parameters established in creating the related sensitivity analysis, including the impact of prepayment rates on mortgages; | |
• | for the derivatives that qualify as hedges, the impact on reported earnings may be materially different from the change in market values; | |
• | the analysis excludes other significant real estate holdings and liabilities pursuant to insurance contracts; and | |
• | the model assumes that the composition of assets and liabilities remains unchanged throughout the period. |
September 30, 2011 | ||||
(In millions) | ||||
Non-trading: | ||||
Interest rate risk | $ | 3,427 | ||
Foreign currency exchange rate risk | $ | 4,446 | ||
Equity market risk | $ | (45 | ) | |
Trading: | ||||
Interest rate risk | $ | 3 | ||
Foreign currency exchange rate risk | $ | 449 |
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September 30, 2011 | ||||||||||||
Assuming a | ||||||||||||
Estimated | 10% Increase | |||||||||||
Notional | Fair | in the Yield | ||||||||||
Amount | Value (3) | Curve | ||||||||||
(In millions) | ||||||||||||
Assets: | ||||||||||||
Fixed maturity securities | $ | 353,927 | $ | (4,072 | ) | |||||||
Equity securities | 3,118 | — | ||||||||||
Trading and other securities | 18,698 | (4 | ) | |||||||||
Mortgage loans: | ||||||||||||
Held-for-investment | 61,624 | (226 | ) | |||||||||
Held-for-sale | 3,740 | (4 | ) | |||||||||
Mortgage loans, net | 65,364 | (230 | ) | |||||||||
Policy loans | 13,889 | (119 | ) | |||||||||
Real estate joint ventures (1) | 603 | — | ||||||||||
Other limited partnership interests (1) | 1,658 | — | ||||||||||
Short-term investments | 15,913 | (1 | ) | |||||||||
Other invested assets: | ||||||||||||
Mortgage servicing rights | 686 | 56 | ||||||||||
Other | 1,453 | — | ||||||||||
Cash and cash equivalents | 10,001 | (1 | ) | |||||||||
Accrued investment income | 4,793 | — | ||||||||||
Premiums, reinsurance and other receivables | 5,376 | (237 | ) | |||||||||
Other assets | 482 | (2 | ) | |||||||||
Net embedded derivatives within asset host contracts (2) | 356 | (18 | ) | |||||||||
Mortgage loan commitments | $ | 3,743 | 4 | (2 | ) | |||||||
Commitments to fund bank credit facilities, bridge loans and private corporate | ||||||||||||
bond investments | $ | 1,855 | 33 | — | ||||||||
Total Assets | $ | (4,630 | ) | |||||||||
Liabilities: | ||||||||||||
Policyholder account balances | $ | 153,778 | $ | 794 | ||||||||
Payables for collateral under securities loaned and other transactions | 34,933 | — | ||||||||||
Bank deposits | 10,754 | 2 | ||||||||||
Short-term debt | 451 | — | ||||||||||
Long-term debt | 22,991 | 219 | ||||||||||
Collateral financing arrangements | 4,647 | — | ||||||||||
Junior subordinated debt securities | 3,219 | 98 | ||||||||||
Other liabilities: | ||||||||||||
Trading liabilities | 67 | 1 | ||||||||||
Other | 4,793 | — | ||||||||||
Net embedded derivatives within liability host contracts (2) | 4,881 | 1,556 | ||||||||||
Total Liabilities | $ | 2,670 | ||||||||||
Derivative Instruments: | ||||||||||||
Interest rate swaps | $ | 72,828 | $ | 5,625 | $ | (980 | ) | |||||
Interest rate floors | $ | 23,866 | 1,066 | (90 | ) | |||||||
Interest rate caps | $ | 38,727 | 70 | 20 | ||||||||
Interest rate futures | $ | 15,429 | (12 | ) | (74 | ) | ||||||
Interest rate options | $ | 18,088 | 1,080 | (241 | ) | |||||||
Interest rate forwards | $ | 16,812 | 206 | (46 | ) | |||||||
Synthetic GICs | $ | 4,420 | — | — | ||||||||
Foreign currency swaps | $ | 16,823 | 269 | 14 | ||||||||
Foreign currency forwards | $ | 10,029 | 307 | 29 | ||||||||
Currency futures | $ | 633 | — | — | ||||||||
Currency options | $ | 2,502 | 13 | — | ||||||||
Credit default swaps | $ | 13,450 | 210 | — | ||||||||
Credit forwards | $ | 20 | 3 | — | ||||||||
Equity futures | $ | 6,845 | 144 | — | ||||||||
Equity options | $ | 17,413 | 3,003 | (94 | ) | |||||||
Variance swaps | $ | 19,394 | 310 | (8 | ) | |||||||
Total rate of return swaps | $ | 1,612 | 31 | — | ||||||||
Total Derivative Instruments | $ | (1,470 | ) | |||||||||
Net Change | $ | (3,430 | ) | |||||||||
(1) | Represents only those investments accounted for using the cost method. | |
(2) | Embedded derivatives are recognized in the consolidated balance sheet in the same caption as the host contract. |
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(3) | Separate account assets and liabilities which are interest rate sensitive are not included herein as any interest rate risk is borne by the holder of the separate account. |
September 30, 2011 | ||||||||||||
Assuming a | ||||||||||||
Estimated | 10% Increase | |||||||||||
Notional | Fair | in the Foreign | ||||||||||
Amount | Value (1) | Exchange Rate | ||||||||||
(In millions) | ||||||||||||
Assets: | ||||||||||||
Fixed maturity securities | $ | 353,927 | $ | (7,782 | ) | |||||||
Equity securities | 3,118 | (150 | ) | |||||||||
Trading and other securities | 18,698 | (449 | ) | |||||||||
Mortgage loans: | ||||||||||||
Held-for-investment | 61,624 | (446 | ) | |||||||||
Held-for-sale | 3,740 | — | ||||||||||
Mortgage loans, net | 65,364 | (446 | ) | |||||||||
Policy loans | 13,889 | (200 | ) | |||||||||
Other limited partnership interests | 1,658 | (13 | ) | |||||||||
Short-term investments | 15,913 | (204 | ) | |||||||||
Other invested assets: | ||||||||||||
Mortgage servicing rights | 686 | — | ||||||||||
Other | 1,453 | (111 | ) | |||||||||
Cash and cash equivalents | 10,001 | (122 | ) | |||||||||
Accrued investment income | 4,793 | (14 | ) | |||||||||
Premiums, reinsurance and other receivables | 5,376 | (160 | ) | |||||||||
Other assets | 482 | (11 | ) | |||||||||
Total Assets | $ | (9,662 | ) | |||||||||
Liabilities: | ||||||||||||
Policyholder account balances | $ | 153,778 | $ | 3,425 | ||||||||
Bank deposits | 10,754 | — | ||||||||||
Long-term debt | 22,991 | 118 | ||||||||||
Payable for collateral under securities loaned and other transactions | 34,933 | 3 | ||||||||||
Other liabilities | 4,793 | 208 | ||||||||||
Net embedded derivatives within liability host contracts (2) | 4,881 | 424 | ||||||||||
Total Liabilities | $ | 4,178 | ||||||||||
Derivative Instruments: | ||||||||||||
Interest rate swaps | $ | 72,828 | $ | 5,625 | $ | (29 | ) | |||||
Interest rate floors | $ | 23,866 | 1,066 | — | ||||||||
Interest rate caps | $ | 38,727 | 70 | — | ||||||||
Interest rate futures | $ | 15,429 | (12 | ) | — | |||||||
Interest rate options | $ | 18,088 | 1,080 | (17 | ) | |||||||
Interest rate forwards | $ | 16,812 | 206 | — | ||||||||
Synthetic GICs | $ | 4,420 | — | — | ||||||||
Foreign currency swaps | $ | 16,823 | 269 | 716 | ||||||||
Foreign currency forwards | $ | 10,029 | 307 | 69 | ||||||||
Currency futures | $ | 633 | — | (56 | ) | |||||||
Currency options | $ | 2,502 | 13 | 8 | ||||||||
Credit default swaps | $ | 13,450 | 210 | — | ||||||||
Credit forwards | $ | 20 | 3 | — | ||||||||
Equity futures | $ | 6,845 | 144 | 5 | ||||||||
Equity options | $ | 17,413 | 3,003 | (106 | ) | |||||||
Variance swaps | $ | 19,394 | 310 | (1 | ) | |||||||
Total rate of return swaps | $ | 1,612 | 31 | — | ||||||||
Total Derivative Instruments | $ | 589 | ||||||||||
Net Change | $ | (4,895 | ) | |||||||||
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(1) | Estimated fair value presented in the table above represents the estimated fair value of all financial instruments within this financial statement caption, not necessarily those solely subject to foreign exchange risk. | |
(2) | Embedded derivatives are recognized in the consolidated balance sheet in the same caption as the host contract. |
September 30, 2011 | ||||||||||||
Assuming a | ||||||||||||
Estimated | 10% Decrease | |||||||||||
Notional | Fair | in Equity | ||||||||||
Amount | Value (1) | Prices | ||||||||||
(In millions) | ||||||||||||
Assets: | ||||||||||||
Equity securities | $ | 3,118 | $ | (334 | ) | |||||||
Other invested assets: | ||||||||||||
Net embedded derivatives within asset host contracts (2) | 356 | 19 | ||||||||||
Total Assets | $ | (315 | ) | |||||||||
Liabilities: | ||||||||||||
Policyholder account balances | $ | 153,778 | $ | — | ||||||||
Bank deposits | 10,754 | — | ||||||||||
Other liabilities: | ||||||||||||
Net embedded derivatives within liability host contracts (2) | 4,881 | (787 | ) | |||||||||
Total Liabilities | $ | (787 | ) | |||||||||
Derivative Instruments: | ||||||||||||
Interest rate swaps | $ | 72,828 | $ | 5,625 | $ | — | ||||||
Interest rate floors | $ | 23,866 | 1,066 | — | ||||||||
Interest rate caps | $ | 38,727 | 70 | — | ||||||||
Interest rate futures | $ | 15,429 | (12 | ) | — | |||||||
Interest rate options | $ | 18,088 | 1,080 | — | ||||||||
Interest rate forwards | $ | 16,812 | 206 | — | ||||||||
Synthetic GICs | $ | 4,420 | — | — | ||||||||
Foreign currency swaps | $ | 16,823 | 269 | — | ||||||||
Foreign currency forwards | $ | 10,029 | 307 | — | ||||||||
Currency futures | $ | 633 | — | — | ||||||||
Currency options | $ | 2,502 | 13 | — | ||||||||
Credit default swaps | $ | 13,450 | 210 | — | ||||||||
Credit forwards | $ | 20 | 3 | — | ||||||||
Equity futures | $ | 6,845 | 144 | 612 | ||||||||
Equity options | $ | 17,413 | 3,003 | 400 | ||||||||
Variance swaps | $ | 19,394 | 310 | — | ||||||||
Total rate of return swaps | $ | 1,612 | 31 | 135 | ||||||||
Total Derivative Instruments | $ | 1,147 | ||||||||||
Net Change | $ | 45 | ||||||||||
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(1) | Estimated fair value presented in the table above represents the estimated fair value of all financial instruments within this financial statement caption not necessarily those solely subject to equity price risk. | |
(2) | Embedded derivatives are recognized in the consolidated balance sheet in the same caption as the host contract. |
Item 4. | Controls and Procedures |
Item 1. | Legal Proceedings |
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Item 1A. | Risk Factors |
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• | licensing companies and agents to transact business; | |
• | calculating the value of assets to determine compliance with statutory requirements; | |
• | mandating certain insurance benefits; | |
• | regulating certain premium rates; | |
• | reviewing and approving policy forms; | |
• | regulating unfair trade and claims practices, including through the imposition of restrictions on marketing and sales practices, distribution arrangements and payment of inducements; | |
• | regulating advertising; | |
• | protecting privacy; | |
• | establishing statutory capital and reserve requirements and solvency standards; | |
• | fixing maximum interest rates on insurance policy loans and minimum rates for guaranteed crediting rates on life insurance policies and annuity contracts; | |
• | approving changes in control of insurance companies; | |
• | restricting the payment of dividends and other transactions between affiliates; and | |
• | regulating the types, amounts and valuation of investments. |
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• | chartering to carry on business as a bank; | |
• | the permissibility of certain activities; | |
• | maintaining minimum capital ratios; | |
• | capital management in relation to the bank’s assets; | |
• | dividend payments and repurchases of securities, including common stock; | |
• | safety and soundness standards; | |
• | loan loss and other related liabilities; | |
• | liquidity; | |
• | financial reporting and disclosure standards; | |
• | counterparty credit concentration; | |
• | restrictions on related party and affiliate transactions; | |
• | lending limits (and, in addition, Dodd-Frank includes the credit exposures arising from securities lending by MetLife Bank within lending limits otherwise applicable to loans); | |
• | payment of interest; | |
• | unfair or deceptive acts or practices; | |
• | mortgage servicing practices; | |
• | privacy; and | |
• | relationships with MetLife, Inc. in its capacity as a bank holding company and potentially with other investors in connection with a change in control of MetLife Bank. |
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• | As a large, interconnected bank holding company with assets of $50 billion or more, or possibly as an otherwise systemically important financial institution, MetLife, Inc. will be subject to enhanced prudential standards imposed on such companies. Enhanced standards could be applied to RBC, liquidity, leverage (unless another, similar, standard is appropriate), resolution plan and credit exposure reporting, concentration limits, and risk management. Off-balance sheet activities are required to be accounted for in meeting capital requirements. In addition, if it were determined that MetLife, Inc. posed a substantial threat to U.S. financial stability, the applicable federal regulators would have the right to require it to take one or more other mitigating actions to reduce that risk, including limiting its ability to merge with or acquire another company, terminating activities, restricting its ability to offer financial products or requiring it to sell assets or off-balance sheet items to unaffiliated entities. Enhanced standards would also permit, but not require, regulators to establish requirements with respect to contingent capital, enhanced public disclosures and short-term debt limits. These standards are described as being more stringent than those otherwise imposed on bank holding companies; however, the Federal Reserve Board is permitted to apply them on aninstitution-by-institution basis, depending on its determination of the institution’s riskiness. In addition, under Dodd-Frank, all bank holding companies that have elected to be treated as financial holding companies, such as MetLife, Inc. will be required to be “well capitalized” and “well managed” as defined by the Federal Reserve Board, on a consolidated basis and not just at their depository institution(s), a higher standard than was applicable to financial holding companies before Dodd-Frank. | |
• | MetLife, Inc., as a bank holding company, will have to meet minimum leverage ratio and RBC requirements on a consolidated basis to be established by the Federal Reserve Board that are not less than those applicable to insured depository institutions under so-called prompt corrective action regulations as in effect on the date of the enactment of Dodd-Frank. One consequence of these new rules will ultimately be the inability of bank holding companies to include trust-preferred securities as part of their Tier 1 capital. Because of the phase-in period for these new rules, they should have little practical effect on MetLife’s ability to treat its currently outstanding trust-preferred securities as part of its Tier 1 capital, but they do prevent MetLife, Inc. from treating the common equity units issued originally as part of the consideration for the Acquisition (and since re-sold to the public) as Tier I capital, since the new rules apply immediately to instruments issued after May 19, 2010. | |
• | Under the provisions of Dodd-Frank relating to the resolution or liquidation of certain types of financial institutions, including bank holding companies, if MetLife, Inc. were to become insolvent or were in danger of defaulting on its obligations, it could be compelled to undergo liquidation with the FDIC as receiver. For this new regime to be applicable, a number of determinations would have to be made, including that a default by the affected company would have serious adverse effects on financial stability in the U.S. If the FDIC were to be appointed as the receiver for such a company, the liquidation of that company would occur under the provisions of the new liquidation authority, and not under the Bankruptcy Code. In such a liquidation, the holders of such company’s debt could in certain respects be treated differently than under the Bankruptcy Code. In particular, unsecured creditors and shareholders are intended to bear the losses of the company being liquidated. As required by Dodd-Frank, the FDIC has established rules relating to the priority of creditors’ claims and the potentially dissimilar treatment of similarly situated creditors. These provisions could apply to some financial institutions whose outstanding debt securities we hold in our investment portfolios. Dodd-Frank also provides for the assessment of bank holding companies with assets of $50 billion or more, non-bank financial companies supervised by the Federal Reserve, and other financial companies with assets of $50 billion or more to cover the costs of liquidating any financial company subject to the new liquidation authority. In addition, regulations have been proposed by the FDIC |
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and the Federal Reserve Board regarding the advance preparation of resolution plans by companies potentially subject to the FDIC’s liquidation authority. Although it is not possible to assess the full impact of the liquidation authority at this time, it could affect the funding costs of large bank holding companies or financial companies that might be viewed as systemically significant. It could also lead to an increase in secured financings. |
• | Dodd-Frank also includes a new framework of regulation of the over-the-counter (“OTC”) derivatives markets which will require clearing of certain types of transactions currently traded OTC and could potentially impose additional costs, including new capital, reporting and margin requirements and additional regulation on the Company. Increased margin requirements on MetLife, Inc.’s part, combined with restrictions on securities that will qualify as eligible collateral, could reduce its liquidity and require an increase in its holdings of cash and government securities with lower yields causing a reduction in income. MetLife, Inc. uses derivatives to mitigate a wide range of risks in connection with its businesses, including the impact of increased benefit exposures from our annuity products that offer guaranteed benefits. The derivative clearing requirements of Dodd-Frank could increase the cost of our risk mitigation and expose us to the risk of a default by a clearinghouse with respect to MetLife, Inc.’s cleared derivative transactions. In addition, we have always been subject to the risk that hedging and other management procedures might prove ineffective in reducing the risks to which insurance policies expose us or that unanticipated policyholder behavior or mortality, combined with adverse market events, produces economic losses beyond the scope of the risk management techniques employed. Any such losses could be increased by higher costs of writing derivatives (including customized derivatives) that might result from the enactment of Dodd-Frank. | |
• | Dodd-Frank restricts the ability of insured depository institutions and of companies, such as MetLife, Inc., that control an insured depository institution, and their affiliates, to engage in proprietary trading and to sponsor or invest in funds (hedge funds and private equity funds) that rely on certain exemptions from the Investment Company Act. Dodd-Frank provides an exemption for investment activity by a regulated insurance company or its affiliate solely for the general account of such insurance company if such activity is in compliance with the insurance company investment laws of the state or jurisdiction in which such company is domiciled and the appropriate Federal regulators after consultation with relevant insurance commissioners have not jointly determined such laws to be insufficient to protect the safety and soundness of the institution or the financial stability of the U.S. Other exemptions, including, but not limited to, activities for risk-mitigating hedging and activities on behalf of customers, may be available for the general account or separate account activities of insurance companies. Notwithstanding the foregoing, the appropriate Federal regulatory authorities are permitted under the legislation to impose, as part of rulemaking, additional capital requirements and other restrictions on any exempted activity. Dodd-Frank provides for a period of rule-making during which the effects of the statutory language may be clarified. Among other things, one task of the rule-making is to appropriately accommodate the business of insurance within an insurance company subject to regulation in accordance with relevant insurance company investments laws. Until the rule-making is complete, including the scope of the statutory exemptions to be applied to insurance companies for each of the prohibitions on proprietary trading and fund sponsoring or investing, it is unclear whether MetLife, Inc. may have to alter any of its future activities to comply, including continuing to invest in private investment funds for its general accounts or to issue certain insurance products backed by its separate accounts. | |
• | Until the various final regulations are promulgated pursuant to Dodd-Frank, and perhaps for some time thereafter, the full impact of Dodd-Frank on the investments and investment activities, banking activities and insurance and annuity products of MetLife, Inc. and its subsidiaries will remain unclear. For example, besides directly limiting our future investment activities, Dodd-Frank could potentially negatively impact the market for, the returns from, or liquidity in, primary and secondary investments in private equity funds and hedge funds that are related to (either through a fund sponsorship or investor relationship) a company affiliated with an insured depository institution. The number of sponsors of such funds going forward may diminish, which may impact our available fund investment opportunities. Although Dodd-Frank provides for various transition periods for coming into compliance, fund sponsors that are subject to Dodd-Frank, and |
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in whose funds we have invested, may have to divest their funds business or reduce their ownership stakes in their funds, thereby potentially impacting our related investments in such funds. In addition, should such funds be required or choose to liquidate or sell their underlying assets, the market value and liquidity of such assets or the broader related asset classes could negatively be affected, including securities and real estate assets that MetLife, Inc. and its subsidiaries hold or may plan to sell. Secondary sales of fund interests at significant discounts by banking institutions and their affiliates, which are not fund sponsors but nevertheless are subject to the divestment requirements of Dodd-Frank, could reduce the returns realized by investors such as MetLife, Inc. and its subsidiaries seeking to access liquidity by selling their fund interests. In addition, our existing derivatives counterparties and the financial institutions subject to Dodd-Frank in which we have invested also could be negatively impacted by Dodd-Frank. See also “Risk Factors — New and Impending Compensation and Corporate Governance Regulations Could Hinder or Prevent Us From Attracting and Retaining Management and Other Employees with the Talent and Experience to Manage and Conduct Our Business Effectively” in the 2010 Annual Report. Finally, rulemaking mandated by Dodd-Frank to define the scope of the term “swap,” and the extent to which insurance products may or may not be excluded from the definition of a swap, could impact a number of categories of insurance products issued and sold by MetLife, including stable value products. |
• | In addition, Dodd-Frank statutorily imposes the requirement that MetLife, Inc. serve as a source of strength for MetLife Bank. |
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Item 2. | Unregistered Sales of Equity Securities and Use of Proceeds |
(c) Total Number | (d) Maximum Number | |||||||||||||||
of Shares | (or Approximate | |||||||||||||||
Purchased as Part | Dollar Value) of | |||||||||||||||
(a) Total Number | of Publicly | Shares that May Yet | ||||||||||||||
of Shares | (b) Average Price | Announced Plans | Be Purchased Under the | |||||||||||||
Period | Purchased (1) | Paid per Share | or Programs | Plans or Programs (2) | ||||||||||||
July 1 — July 31, 2011 | 2,364 | $ | 41.40 | — | $ | 1,260,735,127 | ||||||||||
August 1 — August 31, 2011 | 42,867 | $ | 32.95 | — | $ | 1,260,735,127 | ||||||||||
September 1 — September 30, 2011 | 9,693 | $ | 29.97 | — | $ | 1,260,735,127 |
(1) | During the periods July 1 through July 31, 2011, August 1 through August 31, 2011 and September 1 through September 30, 2011, separate account and other affiliates of the Company purchased 2,364 shares, 42,867 shares and 9,693 shares, respectively, of common stock on the open market in nondiscretionary transactions to rebalance index funds. Except as disclosed above, there were no shares of common stock which were repurchased by the Company. | |
(2) | At September 30, 2011, the Company had $1,261 million remaining under its common stock repurchase program authorizations. In April 2008, the Company’s Board of Directors authorized an additional $1.0 billion common stock repurchase program, which will begin after the completion of the January 2008 $1.0 billion common stock repurchase program, of which $261 million remained outstanding at September 30, 2011. Under these authorizations, the Company may purchase its common stock from the MetLife Policyholder Trust, in the open market (including pursuant to the terms of a pre-set trading plan meeting the requirements of Rule 10b5-1 under the Securities Exchange Act of 1934) and in privately negotiated transactions. Any future common stock repurchases will be dependent upon several factors, including the Company’s capital position, its liquidity, its financial strength and credit ratings, general market conditions and the market price of MetLife, Inc.’s common stock compared to management’s assessment of the stock’s underlying value and applicable regulatory, legal and accounting factors. |
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Item 6. | Exhibits |
Exhibit | ||||
No. | Description | |||
10 | .1 | Five-Year Credit Agreement, dated as of August 12, 2011, among MetLife, Inc. and MetLife Funding, Inc., as borrowers, and the other parties signatory thereto, amending and restating the364-Day Credit Agreement, dated as of October 15, 2010, among MetLife, Inc. and MetLife Funding, Inc., as borrowers, and the other parties signatory thereto (Incorporated by reference to Exhibit 10.1 to MetLife, Inc.’s Current Report onForm 8-K dated August 15, 2011). | ||
10 | .2 | Offer Letter and Appendix, dated July 14, 2011, between MetLife, Inc. and Martin J. Lippert. | ||
10 | .3 | Offer Letter, dated July 27, 2011, between MetLife, Inc. and Frans Hijkoop. | ||
10 | .4 | Resolutions of the MetLife, Inc., Board of Directors (adopted September 13, 2011) regarding non-management director compensation. | ||
31 | .1 | Certification of Chief Executive Officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. | ||
31 | .2 | Certification of Chief Financial Officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. | ||
32 | .1 | Certification of Chief Executive Officer pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. | ||
32 | .2 | Certification of Chief Financial Officer pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. | ||
101 | .INS | XBRL Instance Document. | ||
101 | .SCH | XBRL Taxonomy Extension Schema Document. | ||
101 | .CAL | XBRL Taxonomy Extension Calculation Linkbase Document. | ||
101 | .LAB | XBRL Taxonomy Extension Label Linkbase Document. | ||
101 | .PRE | XBRL Taxonomy Extension Presentation Linkbase Document. | ||
101 | .DEF | XBRL Taxonomy Extension Definition Linkbase Document. |
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By | /s/ Peter M. Carlson |
Title: | Executive Vice President, Finance |
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Exhibit | ||||
No. | Description | |||
10 | .1 | Five-Year Credit Agreement, dated as of August 12, 2011, among MetLife, Inc. and MetLife Funding, Inc., as borrowers, and the other parties signatory thereto, amending and restating the364-Day Credit Agreement, dated as of October 15, 2010, among MetLife, Inc. and MetLife Funding, Inc., as borrowers, and the other parties signatory thereto (Incorporated by reference to Exhibit 10.1 to MetLife, Inc.’s Current Report onForm 8-K dated August 15, 2011). | ||
10 | .2 | Offer Letter and Appendix, dated July 14, 2011, between MetLife, Inc. and Martin J. Lippert. | ||
10 | .3 | Offer Letter, dated July 27, 2011, between MetLife, Inc. and Frans Hijkoop. | ||
10 | .4 | Resolutions of the MetLife, Inc., Board of Directors (adopted September 13, 2011) regarding non-management director compensation. | ||
31 | .1 | Certification of Chief Executive Officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. | ||
31 | .2 | Certification of Chief Financial Officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. | ||
32 | .1 | Certification of Chief Executive Officer pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. | ||
32 | .2 | Certification of Chief Financial Officer pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. | ||
101 | .INS | XBRL Instance Document. | ||
101 | .SCH | XBRL Taxonomy Extension Schema Document. | ||
101 | .CAL | XBRL Taxonomy Extension Calculation Linkbase Document. | ||
101 | .LAB | XBRL Taxonomy Extension Label Linkbase Document. | ||
101 | .PRE | XBRL Taxonomy Extension Presentation Linkbase Document. | ||
101 | .DEF | XBRL Taxonomy Extension Definition Linkbase Document. |
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