Investments | 9 Months Ended | 12 Months Ended |
Sep. 30, 2014 | Dec. 31, 2013 |
Investments | -6 | Investments | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | -6 | Investments | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Available-for-Sale Securities | Available-for-Sale Securities |
The following table summarizes amortized cost, unrealized gains and losses and fair value of available-for-sale securities, as of the date indicated: | The following table summarizes amortized cost, unrealized gains and losses and fair value of available-for-sale securities, as of the dates indicated: |
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(in millions) | | Amortized | | | Unrealized | | | Unrealized | | | Fair value | | | | | | | | | | | | | | | | | | | | | | (in millions) | | Amortized | | | Unrealized | | | Unrealized | | | Fair | | | | | | | | | | | | | | | | | | | | | |
cost | gains | losses | | | | | | | | | | | | | | | | | | | | | cost | gains | losses | value | | | | | | | | | | | | | | | | | | | | |
30-Sep-14 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | December 31, 2013 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Fixed maturity securities: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Fixed maturity securities: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
U.S. Treasury securities and obligations of U.S. Government corporations and agencies | | $ | 460 | | | $ | 78 | | | $ | — | | | $ | 538 | | | | | | | | | | | | | | | | | | | | | | U.S. Treasury securities and obligations of U.S. Government corporations and agencies | | $ | 484 | | | $ | 79 | | | $ | 2 | | | $ | 561 | | | | | | | | | | | | | | | | | | | | | |
Obligations of states, political subdivisions and foreign governments | | | 1,952 | | | | 254 | | | | 5 | | | | 2,201 | | | | | | | | | | | | | | | | | | | | | | Obligations of states, political subdivisions and foreign governments | | | 1,892 | | | | 111 | | | | 40 | | | | 1,963 | | | | | | | | | | | | | | | | | | | | | |
Corporate public securities | | | 19,421 | | | | 1,426 | | | | 99 | | | | 20,748 | | | | | | | | | | | | | | | | | | | | | | Corporate public securities | | | 18,004 | | | | 1,076 | | | | 295 | | | | 18,785 | | | | | | | | | | | | | | | | | | | | | |
Corporate private securities | | | 4,437 | | | | 300 | | | | 18 | | | | 4,719 | | | | | | | | | | | | | | | | | | | | | | Corporate private securities | | | 4,374 | | | | 258 | | | | 38 | | | | 4,594 | | | | | | | | | | | | | | | | | | | | | |
Residential mortgage-backed securities | | | 3,690 | | | | 183 | | | | 47 | | | | 3,826 | | | | | | | | | | | | | | | | | | | | | | Residential mortgage-backed securities | | | 3,919 | | | | 163 | | | | 79 | | | | 4,003 | | | | | | | | | | | | | | | | | | | | | |
Commercial mortgage-backed securities | | | 1,426 | | | | 76 | | | | 7 | | | | 1,495 | | | | | | | | | | | | | | | | | | | | | | Commercial mortgage-backed securities | | | 1,439 | | | | 86 | | | | 21 | | | | 1,504 | | | | | | | | | | | | | | | | | | | | | |
Other asset-backed securities | | | 1,291 | | | | 29 | | | | 65 | | | | 1,255 | | | | | | | | | | | | | | | | | | | | | | Other asset-backed securities | | | 890 | | | | 26 | | | | 77 | | | | 839 | | | | | | | | | | | | | | | | | | | | | |
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Total fixed maturity securities | | $ | 32,677 | | | $ | 2,346 | | | $ | 241 | | | $ | 34,782 | | | | | | | | | | | | | | | | | | | | | | Total fixed maturity securities | | $ | 31,002 | | | $ | 1,799 | | | $ | 552 | | | $ | 32,249 | | | | | | | | | | | | | | | | | | | | | |
Equity securities | | | 6 | | | | 21 | | | | — | | | | 27 | | | | | | | | | | | | | | | | | | | | | | Equity securities | | | 6 | | | | 18 | | | | — | | | | 24 | | | | | | | | | | | | | | | | | | | | | |
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Total available-for-sale securities | | $ | 32,683 | | | $ | 2,367 | | | $ | 241 | | | $ | 34,809 | | | | | | | | | | | | | | | | | | | | | | Total available-for-sale securities | | $ | 31,008 | | | $ | 1,817 | | | $ | 552 | | | $ | 32,273 | | | | | | | | | | | | | | | | | | | | | |
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The fair value of the Company’s investments may fluctuate significantly in response to changes in interest rates, investment quality ratings and credit spreads. The Company has the ability and intent to hold equity securities until recovery. The Company does not have the intent to sell, nor is it more likely than not it will be required to sell, debt securities in an unrealized loss position. | December 31, 2012 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
The following table summarizes amortized cost and fair value of fixed maturity securities, by contractual maturity, as of September 30, 2014. Expected maturities may differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without early redemption penalties. | Fixed maturity securities: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| U.S. Treasury securities and obligations of U.S. Government corporations and agencies | | $ | 476 | | | $ | 121 | | | $ | — | | | $ | 597 | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Obligations of states, political subdivisions and foreign governments | | | 1,820 | | | | 301 | | | | 1 | | | | 2,120 | | | | | | | | | | | | | | | | | | | | | |
(in millions) | | Amortized | | | Fair | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Corporate public securities | | | 16,152 | | | | 1,891 | | | | 33 | | | | 18,010 | | | | | | | | | | | | | | | | | | | | | |
cost | value | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Corporate private securities | | | 4,216 | | | | 392 | | | | 19 | | | | 4,589 | | | | | | | | | | | | | | | | | | | | | |
Fixed maturity securities: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Residential mortgage-backed securities | | | 4,506 | | | | 267 | | | | 106 | | | | 4,667 | | | | | | | | | | | | | | | | | | | | | |
Due in one year or less | | $ | 915 | | | $ | 931 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Commercial mortgage-backed securities | | | 1,219 | | | | 133 | | | | 15 | | | | 1,337 | | | | | | | | | | | | | | | | | | | | | |
Due after one year through five years | | | 9,115 | | | | 9,893 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Other asset-backed securities | | | 533 | | | | 45 | | | | 87 | | | | 491 | | | | | | | | | | | | | | | | | | | | | |
Due after five years through ten years | | | 8,177 | | | | 8,538 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Due after ten years | | | 8,063 | | | | 8,844 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Total fixed maturity securities | | $ | 28,922 | | | $ | 3,150 | | | $ | 261 | | | $ | 31,811 | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Equity securities | | | 15 | | | | 5 | | | | — | | | | 20 | | | | | | | | | | | | | | | | | | | | | |
Subtotal | | $ | 26,270 | | | $ | 28,206 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Residential mortgage-backed securities | | | 3,690 | | | | 3,826 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Total available-for-sale securities | | $ | 28,937 | | | $ | 3,155 | | | $ | 261 | | | $ | 31,831 | | | | | | | | | | | | | | | | | | | | | |
Commercial mortgage-backed securities | | | 1,426 | | | | 1,495 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Other asset-backed securities | | | 1,291 | | | | 1,255 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | The fair value of the Company’s investments may fluctuate significantly in response to changes in interest rates, investment quality ratings and credit spreads. The Company has the ability and intent to hold equity securities until recovery. The Company does not have the intent to sell, nor is it more likely than not it will be required to sell, debt securities in an unrealized loss position. |
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Total fixed maturity securities | | $ | 32,677 | | | $ | 34,782 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | The following table summarizes the amortized cost and fair value of fixed maturity securities, by contractual maturity, as of December 31, 2013. Expected maturities may differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without early redemption penalties. |
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The following table summarizes components of net unrealized gains and losses, as of the date indicated: | (in millions) | | Amortized | | | Fair | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| cost | value | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Fixed maturity securities: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
(in millions) | | September 30, | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Due in one year or less | | $ | 1,081 | | | $ | 1,097 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2014 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Due after one year through five years | | | 8,927 | | | | 9,685 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net unrealized gains on available-for-sale securities, before adjustments, taxes and fair value hedging | | $ | 2,126 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Due after five years through ten years | | | 7,805 | | | | 7,967 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Change in fair value attributable to fixed maturity securities designated in fair value hedging relationships | | | — | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Due after ten years | | | 6,941 | | | | 7,154 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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Net unrealized gains on available-for-sale securities, before adjustments and taxes1 | | $ | 2,126 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Subtotal | | $ | 24,754 | | | $ | 25,903 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Adjustment to DAC and other expense | | | (338 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Residential mortgage-backed securities | | | 3,919 | | | | 4,003 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Adjustment to future policy benefits and claims | | | (132 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Commercial mortgage-backed securities | | | 1,439 | | | | 1,504 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Adjustment to policyholder dividend obligations | | | (116 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Other asset-backed securities | | | 890 | | | | 839 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Deferred federal income tax expense | | | (533 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Total fixed maturity securities | | $ | 31,002 | | | $ | 32,249 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net unrealized gains on available-for-sale securities | | $ | 1,007 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | The following table summarizes components of net unrealized gains and losses, as of the dates indicated: |
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1 | Includes net unrealized losses of $5 million as of September 30, 2014, related to the non-credit portion of other-than-temporarily impaired securities. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
The following table summarizes the change in net unrealized gains and losses reported in accumulated other comprehensive income, for the nine months ended: | (in millions) | | December 31, | | | December 31, | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 2013 | 2012 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Net unrealized gains on available-for-sale securities, before adjustments, taxes and fair value hedging | | $ | 1,265 | | | $ | 2,894 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
(in millions) | | September 30, | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Change in fair value attributable to fixed maturity securities designated in fair value hedging relationships | | | — | | | | (4 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2014 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Balance at beginning of period | | $ | 601 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Net unrealized gains on available-for-sale securities, before adjustments and taxes1 | | $ | 1,265 | | | $ | 2,890 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Adjustment to DAC and other | | | (176 | ) | | | (482 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized gains and losses arising during the period: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Adjustment to future policy benefits and claims | | | (89 | ) | | | (295 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net unrealized gains on available-for-sale securities before adjustments | | | 824 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Adjustment to policyholder dividend obligation | | | (85 | ) | | | (177 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Non-credit impairments and subsequent changes in fair value of impaired debt securities | | | 35 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Deferred federal income tax expense | | | (314 | ) | | | (672 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net adjustment to DAC and other expense | | | (162 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net adjustment to future policy benefits and claims | | | (43 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Net unrealized gains on available-for-sale securities | | $ | 601 | | | $ | 1,264 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net adjustment to policyholder dividend obligations | | | (31 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Related federal income tax expense | | | (218 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | 1 | Includes net unrealized losses of $(40) million and $(48) million as of December 31, 2013 and 2012, respectively, related to the non-credit portion of other-than-temporarily impaired securities. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized gains on available-for-sale securities | | $ | 405 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | The following table summarizes the change in net unrealized gains and losses reported in accumulated other comprehensive income, for the years ended: |
Less: Reclassification adjustment for net losses realized on available-for-sale securities, net of tax benefit ($1 as of September 30, 2014) | | | (1 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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Net unrealized gains on available-for-sale securities | | $ | 406 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | (in millions) | | December 31, | | | December 31, | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | 2013 | 2012 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Balance at end of period | | $ | 1,007 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Balance at beginning of year | | $ | 1,264 | | | $ | 693 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Unrealized gains and losses arising during the period: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Net unrealized (losses) gains on available-for-sale securities before adjustments | | | (1,657 | ) | | | 990 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
The following table summarizes, by asset class, available-for-sale securities in an unrealized loss position based on the amount of time each type of security has been in an unrealized loss position, as well as the related fair value, as of the date indicated: | Non-credit impairments and subsequent changes in fair value of impaired debt securities | | | 8 | | | | 178 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Net adjustment to DAC and other | | | 306 | | | | (135 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Net adjustment to future policy benefits and claims | | | 206 | | | | (112 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | Less than or equal to one year | | | More than one year | | | Total | | Net adjustment to policyholder dividend obligation | | | 92 | | | | (45 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
(in millions, except number | | Fair | | | Unrealized | | | Number | | | Fair | | | Unrealized | | | Number | | | Fair | | | Unrealized | | | Number | | Related federal income tax benefit (expense) | | | 366 | | | | (308 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
of securities) | value | losses | of | value | losses | of | value | losses | of | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | securities | | | securities | | | securities | Change in unrealized (losses) gains on available-for-sale securities | | $ | (679 | ) | | $ | 568 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
30-Sep-14 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Fixed maturity securities: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Reclassification adjustment for net losses realized on available-for-sale securities, net of tax benefit ($8 and $2 as of December 31, 2013 and 2012, respectively) | | | (16 | ) | | | (3 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Corporate public securities | | $ | 2,116 | | | $ | 28 | | | | 159 | | | $ | 2,127 | | | $ | 71 | | | | 130 | | | $ | 4,243 | | | $ | 99 | | | | 289 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Residential mortgage-backed securities | | | 239 | | | | 4 | | | | 31 | | | | 565 | | | | 43 | | | | 134 | | | | 804 | | | | 47 | | | | 165 | | Change in net unrealized (losses) gains on available-for-sale securities | | $ | (663 | ) | | $ | 571 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Other asset-backed securities | | | 392 | | | | 2 | | | | 22 | | | | 362 | | | | 63 | | | | 42 | | | | 754 | | | | 65 | | | | 64 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Other | | | 499 | | | | 14 | | | | 30 | | | | 672 | | | | 16 | | | | 46 | | | | 1,171 | | | | 30 | | | | 76 | | Balance at end of year | | $ | 601 | | | $ | 1,264 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | $ | 3,246 | | | $ | 48 | | | | 242 | | | $ | 3,726 | | | $ | 193 | | | | 352 | | | $ | 6,972 | | | $ | 241 | | | | 594 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | The following table summarizes by asset class available-for-sale securities, in an unrealized loss position based on the amount of time each type of security has been in an unrealized loss position, as well as the related fair value and number of securities, as of the dates indicated: |
The following table summarizes unrealized losses based on the ratio of fair value to amortized cost, for available-for-sale securities in an unrealized loss position, as of the date indicated: | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Less than or equal to one year | | | More than one year | | | Total | |
| | September 30, 2014 | | | | | | | | | | | | | | | | | | | | | | | | | | (in millions, except number | | Fair | | | Unrealized | | | Number | | | Fair | | | Unrealized | | | Number | | | Fair | | | Unrealized | | | Number | |
(in millions) | | Less | | | More | | | Total | | | | | | | | | | | | | | | | | | | | | | | | | | of securities) | value | losses | of | value | losses | of | value | losses | of |
than or | than | | | | | | | | | | | | | | | | | | | | | | | | | | | | securities | | | securities | | | securities |
equal to | one | | | | | | | | | | | | | | | | | | | | | | | | | December 31, 2013 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
one year | year | | | | | | | | | | | | | | | | | | | | | | | | | Fixed maturity securities: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
99.9% - 80.0% | | $ | 49 | | | $ | 131 | | | $ | 180 | | | | | | | | | | | | | | | | | | | | | | | | | | Corporate public securities | | $ | 4,889 | | | $ | 256 | | | | 346 | | | $ | 442 | | | $ | 39 | | | | 34 | | | $ | 5,331 | | | $ | 295 | | | | 380 | |
Less than 80.0%: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Residential mortgage-backed securities | | | 725 | | | | 16 | | | | 70 | | | | 604 | | | | 63 | | | | 148 | | | | 1,329 | | | | 79 | | | | 218 | |
Residential mortgage-backed securities | | | — | | | | 11 | | | | 11 | | | | | | | | | | | | | | | | | | | | | | | | | | Other asset-backed securities | | | 507 | | | | 6 | | | | 32 | | | | 144 | | | | 71 | | | | 40 | | | | 651 | | | | 77 | | | | 72 | |
Other asset-backed securities | | | — | | | | 50 | | | | 50 | | | | | | | | | | | | | | | | | | | | | | | | | | Other | | | 1,838 | | | | 85 | | | | 126 | | | | 222 | | | | 16 | | | | 20 | | | | 2,060 | | | | 101 | | | | 146 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | $ | 49 | | | $ | 192 | | | $ | 241 | | | | | | | | | | | | | | | | | | | | | | | | | | Total | | $ | 7,959 | | | $ | 363 | | | | 574 | | | $ | 1,412 | | | $ | 189 | | | | 242 | | | $ | 9,371 | | | $ | 552 | | | | 816 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Refer to Note 6 of the 2013 audited consolidated financial statements for the methodology related to the impairment assessment of residential mortgage-backed securities and certain other asset-backed securities. There have been no changes to these methodologies as of September 30, 2014. | December 31, 2012 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
The Company believes the unrealized losses on these available-for-sale securities represent temporary fluctuations in economic factors that are not indicative of other-than-temporary impairment. | Fixed maturity securities: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Mortgage Loans, Net of Allowance | Corporate public securities | | $ | 710 | | | $ | 11 | | | | 68 | | | $ | 150 | | | $ | 22 | | | | 10 | | | $ | 860 | | | $ | 33 | | | | 78 | |
As of September 30, 2014 the carrying value of commercial mortgage loans specifically reserved was $19 million, which is net of $5 million in specific reserves. | Residential mortgage-backed securities | | | 89 | | | | 2 | | | | 12 | | | | 1,029 | | | | 104 | | | | 190 | | | | 1,118 | | | | 106 | | | | 202 | |
The following table summarizes activity in the valuation allowance for mortgage loans, for the period indicated: | Other asset-backed securities | | | 27 | | | | 1 | | | | 5 | | | | 163 | | | | 86 | | | | 46 | | | | 190 | | | | 87 | | | | 51 | |
| Other | | | 326 | | | | 4 | | | | 23 | | | | 284 | | | | 31 | | | | 36 | | | | 610 | | | | 35 | | | | 59 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | Nine months ended | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Total | | $ | 1,152 | | | $ | 18 | | | | 108 | | | $ | 1,626 | | | $ | 243 | | | | 282 | | | $ | 2,778 | | | $ | 261 | | | | 390 | |
September 30, | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
(in millions) | | 2014 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | The following table summarizes gross unrealized losses based on the ratio of fair value to amortized cost, for available-for-sale securities in an unrealized loss position, as of the dates indicated: |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Balance at beginning of period | | $ | 35 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Current period provision1 | | | (10 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | December 31, 2013 | | | December 31, 2012 | | | | | | | | | | | | | |
Recoveries2 | | | (1 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | (in millions) | | Less | | | More | | | Total | | | Less | | | More | | | Total | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | than or | than | than or | than | | | | | | | | | | | | |
Balance at end of period | | $ | 24 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | equal to | one | equal to | one | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | one year | year | one year | year | | | | | | | | | | | | |
| 99.9% - 80.0% | | $ | 363 | | | $ | 107 | | | $ | 470 | | | $ | 18 | | | $ | 85 | | | $ | 103 | | | | | | | | | | | | | |
1 | Includes specific reserve provisions and all changes in non-specific reserves. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Less than 80.0% | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2 | Includes recoveries on sales and increases in the valuation of loans with specific reserves. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Residential mortgage-backed securities | | | — | | | | 21 | | | | 21 | | | | — | | | | 50 | | | | 50 | | | | | | | | | | | | | |
Refer to Note 6 of the 2013 audited consolidated financial statements for the assumptions used to determine the mortgage loan valuation allowance and the methodology for monitoring the credit quality ratings of the commercial and residential mortgage loan portfolios. There have been no changes to these assumptions and methodologies as of September 30, 2014. | Other asset-backed securities | | | — | | | | 61 | | | | 61 | | | | — | | | | 72 | | | | 72 | | | | | | | | | | | | | |
| Other | | | — | | | | — | | | | — | | | | — | | | | 36 | | | | 36 | | | | | | | | | | | | | |
Tax Credit Funds | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
The Company has sold $1.3 billion in Low-Income-Housing Tax Credit Funds (“Tax Credit Funds”) to unrelated third parties as of September 30, 2014. The Company has guaranteed after-tax benefits to the third party investors through periods ending in 2029. The Company held immaterial reserves on these transactions as of September 30, 2014. These guarantees are in effect for periods of approximately 15 years each. The Tax Credit Funds provide a stream of tax benefits to the investors that will generate a yield and return of capital. If the tax benefits are not sufficient to provide these cumulative after-tax yields, the Company must fund any shortfall. The maximum amount of undiscounted future payments that the Company could be required to pay the investors under the terms of the guarantees is $718 million, but the Company does not anticipate making any material payments related to the guarantees. The Company’s risks are mitigated in the following ways: (1) the Company has the right to buyout the equity related to the guarantee under certain circumstances, (2) the Company may replace underperforming properties to mitigate exposure to guarantee payments and (3) the Company oversees the asset management of the deals. | Total | | $ | 363 | | | $ | 189 | | | $ | 552 | | | $ | 18 | | | $ | 243 | | | $ | 261 | | | | | | | | | | | | | |
Consolidated VIEs | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
The Company has relationships with VIEs where the Company is the primary beneficiary. These consolidated VIEs are primarily made up of Tax Credit Funds with guarantees to limited partners. Net assets (controlling and noncontrolling interests) of all consolidated VIEs totaled $620 million as of September 30, 2014 and were composed primarily of other investments of $562 million, other assets of $91 million and other liabilities of $77 million. The Company’s general credit is not exposed to the creditors or beneficial interest holders of these consolidated VIEs. | |
Unconsolidated VIEs | Residential mortgage-backed securities are assessed for impairment using default estimates based on loan level data, where available. Where loan level data is not available, a proxy based on collateral characteristics is used. The impairment assessment considers loss severity as a function of multiple factors, including unpaid balance, interest rate, mortgage insurance ratios, assessed property value at origination, change in property value, loan-to-value (“LTV”) ratio at origination and prepayment speeds. Cash flows generated by the collateral are then utilized, along with consideration for the instrument’s position in the overall structure, to determine cash flows associated with the security. |
In addition to the consolidated VIEs, the Company holds investments in VIEs where the Company is not the primary beneficiary, which are primarily limited partner investments in Tax Credit Funds without guarantees to limited partners. The carrying value of these investments was $118 million as of September 30, 2014. In addition, the Company has made commitments for further investments in these VIEs of $18 million as of September 30, 2014. | Certain other asset-backed securities are assessed for impairment using expected cash flows based on various inputs including default estimates based on the underlying corporate securities, historical and forecasted loss severities or other market inputs when recovery estimates are not feasible. When the collateral is regional bank and insurance company trust preferred securities, default estimates used to estimate cash flows are based on U.S. Bank Rating service data and broker research. |
Net Investment Income | The Company believes the unrealized losses on these available-for-sale securities represent temporary fluctuations in economic factors that are not indicative of other-than-temporary impairment. |
The following table summarizes net investment income, by investment type, for the period indicated: | Mortgage Loans, Net of Allowance |
| The following table summarizes the amortized cost of mortgage loans by method of evaluation for credit loss, and the related valuation allowances by type of credit loss, as of the dates indicated: |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | Nine months ended | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
September 30, | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | (in millions) | | December 31, | | | December 31, | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
(in millions) | | 2014 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | 2013 | 2012 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Amortized cost: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Fixed maturity securities, available-for-sale | | $ | 1,174 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Loans with non-specific reserves | | $ | 6,350 | | | $ | 5,820 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Mortgage loans | | | 258 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Loans with specific reserves | | | 26 | | | | 51 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Policy loans | | | 38 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Other | | | (10 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Total amortized cost | | $ | 6,376 | | | $ | 5,871 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Valuation allowance: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Gross investment income | | $ | 1,460 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Non-specific reserves | | $ | 29 | | | $ | 33 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investment expenses | | | 43 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Specific reserves | | | 6 | | | | 11 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | $ | 1,417 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Total valuation allowance | | $ | 35 | | | $ | 44 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Mortgage loans, net of allowance | | $ | 6,341 | | | $ | 5,827 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Realized Investment Gains and Losses, Net of Other-Than-Temporary Impairments | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
The following table summarizes net realized investment gains and losses, net of other-than-temporary impairments, by source, for the period indicated: | The following table summarizes activity in the valuation allowance for mortgage loans, for the years ended: |
| |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | Nine months ended | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | (in millions) | | December 31, | | | December 31, | | | December 31, | | | | | | | | | | | | | | | | | | | | | | | | | |
September 30, | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | 2013 | 2012 | 2011 | | | | | | | | | | | | | | | | | | | | | | | | |
(in millions) | | 2014 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Balance at beginning of year | | $ | 44 | | | $ | 60 | | | $ | 96 | | | | | | | | | | | | | | | | | | | | | | | | | |
Net realized derivative losses | | $ | (616 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Current period provision1 | | | (4 | ) | | | 2 | | | | 25 | | | | | | | | | | | | | | | | | | | | | | | | | |
Realized gains on sales | | | 25 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Recoveries2 | | | (5 | ) | | | (15 | ) | | | (7 | ) | | | | | | | | | | | | | | | | | | | | | | | | |
Realized losses on sales | | | (13 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Charge offs and other | | | — | | | | (3 | ) | | | (54 | ) | | | | | | | | | | | | | | | | | | | | | | | | |
Other | | | 6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Balance at end of year | | $ | 35 | | | $ | 44 | | | $ | 60 | | | | | | | | | | | | | | | | | | | | | | | | | |
Net realized investment losses before other-than-temporary impairments on fixed maturity securities | | $ | (598 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Other-than-temporary impairments on fixed maturity securities1 | | | (5 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | 1 | Includes specific reserve provisions and all changes in non-specific reserves. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net realized investment losses, net of other-than-temporary impairments | | $ | (603 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | 2 | Includes recoveries on sales and increases in the valuation of loans with specific reserves. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| The following table summarizes impaired commercial mortgage loans by class, for the years ended: |
1 | Other-than-temporary impairments on fixed maturity securities are net of immaterial non-credit losses included in other comprehensive income for the nine months ended September 30, 2014. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Proceeds from the sale of available-for-sale securities were $480 million during the nine months ended September 30, 2014. Gross gains of $11 million and gross losses of $8 million were realized on sales of available-for-sale securities during the nine months ended September 30, 2014. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
The following table summarizes cumulative credit losses, for the period indicated: | (in millions) | | Office | | | Industrial | | | Retail | | | Other | | | Total | | | | | | | | | | | | | | | | | |
| December 31, 2013 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Amortized cost | | $ | — | | | $ | 26 | | | $ | — | | | $ | — | | | $ | 26 | | | | | | | | | | | | | | | | | |
| | Nine months ended | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Specific reserves | | | — | | | | (6 | ) | | | — | | | | — | | | | (6 | ) | | | | | | | | | | | | | | | | |
September 30, | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
(in millions) | | 2014 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Carrying value of impaired mortgage loans, net of allowance | | $ | — | | | $ | 20 | | | $ | — | | | $ | — | | | $ | 20 | | | | | | | | | | | | | | | | | |
Cumulative credit losses at beginning of period1 | | $ | (272 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
New credit losses | | | (1 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | December 31, 2012 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Incremental credit losses | | | (4 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Amortized cost | | $ | 13 | | | $ | 26 | | | $ | 12 | | | $ | — | | | $ | 51 | | | | | | | | | | | | | | | | | |
Losses related to securities included in the beginning balance sold or paid down during the period | | | 19 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Specific reserves | | | (2 | ) | | | (7 | ) | | | (2 | ) | | | — | | | | (11 | ) | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Cumulative credit losses at end of period1 | | $ | (258 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Carrying value of impaired mortgage loans, net of allowance | | $ | 11 | | | $ | 19 | | | $ | 10 | | | $ | — | | | $ | 40 | | | | | | | | | | | | | | | | | |
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| The following table summarizes average recorded investment and interest income recognized for impaired commercial mortgage loans by class, for the years ended: |
1 | Cumulative credit losses are defined as amounts related to the Company’s credit portion of the other-than-temporary impairment losses on debt securities that the Company does not intend to sell and that it is not more likely than not the Company will be required to sell, prior to recovery of the amortized cost basis. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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| (in millions) | | Office | | | Industrial | | | Retail | | | Other | | | Total | | | | | | | | | | | | | | | | | |
| December 31, 2013 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Average recorded investment | | $ | 5 | | | $ | 20 | | | $ | 5 | | | $ | — | | | $ | 30 | | | | | | | | | | | | | | | | | |
| Interest income recognized | | $ | 1 | | | $ | 1 | | | $ | 1 | | | $ | — | | | $ | 3 | | | | | | | | | | | | | | | | | |
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| December 31, 2012 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Average recorded investment | | $ | 9 | | | $ | 20 | | | $ | 11 | | | $ | 34 | | | $ | 74 | | | | | | | | | | | | | | | | | |
| Interest income recognized | | $ | 1 | | | $ | 2 | | | $ | 1 | | | $ | 6 | | | $ | 10 | | | | | | | | | | | | | | | | | |
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| As of December 31, 2013 and 2012, the Company’s mortgage loans classified as delinquent and/or in non-accrual status were immaterial in relation to the total mortgage loan portfolio. The Company had no mortgage loans 90 days or more past due and still accruing interest. |
| Management evaluates the credit quality of individual mortgage loans and the portfolio as a whole through a number of loan quality measurements, including, but not limited to, LTV and debt service coverage (“DSC”) ratios. The LTV ratio is calculated as a ratio of the amortized cost of a loan to the estimated value of the underlying collateral. DSC is the amount of cash flow generated by the underlying collateral of the mortgage loan available to meet periodic interest and principal payments of the loan. This process identifies mortgage loans representing the lowest risk profile and lowest potential for loss and those representing the highest risk profile and highest potential for loss. These factors are updated and evaluated at least annually. |
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| The following table summarizes the LTV ratio and DSC ratios of the mortgage loan portfolio, as of the dates indicated: |
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| | | LTV ratio | | | DSC ratio | | | | | |
| (in millions) | | Less | | | 80% - less | | | 90% or | | | Total | | | Greater | | | 1.00-1.10 | | | Less than | | | Total | | | | | |
| than | than 90% | greater | than 1.10 | 1 | | | | |
| 80% | | | | | | | | |
| December 31, 2013: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Apartment | | $ | 1,788 | | | $ | 52 | | | $ | 30 | | | $ | 1,870 | | | $ | 1,857 | | | $ | 6 | | | $ | 7 | | | $ | 1,870 | | | | | |
| Industrial | | | 951 | | | | 52 | | | | 86 | | | | 1,089 | | | | 893 | | | | 122 | | | | 74 | | | | 1,089 | | | | | |
| Office | | | 837 | | | | 30 | | | | 38 | | | | 905 | | | | 800 | | | | 43 | | | | 62 | | | | 905 | | | | | |
| Retail | | | 2,236 | | | | 41 | | | | 21 | | | | 2,298 | | | | 2,214 | | | | 61 | | | | 23 | | | | 2,298 | | | | | |
| Other | | | 213 | | | | — | | | | 1 | | | | 214 | | | | 214 | | | | — | | | | — | | | | 214 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Total | | $ | 6,025 | | | $ | 175 | | | $ | 176 | | | $ | 6,376 | | | $ | 5,978 | | | $ | 232 | | | $ | 166 | | | $ | 6,376 | | | | | |
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| Weighted average DSC ratio | | | 1.77 | | | | 1.22 | | | | 1 | | | | 1.74 | | | | n/a | | | | n/a | | | | n/a | | | | n/a | | | | | |
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| Weighted average LTV ratio | | | n/a | | | | n/a | | | | n/a | | | | n/a | | | | 60 | % | | | 61 | % | | | 91 | % | | | 61 | % | | | | |
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| December 31, 2012: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Apartment | | $ | 1,119 | | | $ | 129 | | | $ | 62 | | | $ | 1,310 | | | $ | 1,303 | | | $ | 5 | | | $ | 2 | | | $ | 1,310 | | | | | |
| Industrial | | | 922 | | | | 76 | | | | 162 | | | | 1,160 | | | | 951 | | | | 121 | | | | 88 | | | | 1,160 | | | | | |
| Office | | | 776 | | | | 55 | | | | 42 | | | | 873 | | | | 783 | | | | 16 | | | | 74 | | | | 873 | | | | | |
| Retail | | | 1,940 | | | | 250 | | | | 86 | | | | 2,276 | | | | 2,139 | | | | 92 | | | | 45 | | | | 2,276 | | | | | |
| Other | | | 189 | | | | 57 | | | | 6 | | | | 252 | | | | 252 | | | | — | | | | — | | | | 252 | | | | | |
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| Total | | $ | 4,946 | | | $ | 567 | | | $ | 358 | | | $ | 5,871 | | | $ | 5,428 | | | $ | 234 | | | $ | 209 | | | $ | 5,871 | | | | | |
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| Weighted average DSC ratio | | | 1.74 | | | | 1.27 | | | | 1.07 | | | | 1.65 | | | | n/a | | | | n/a | | | | n/a | | | | n/a | | | | | |
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| Weighted average LTV ratio | | | n/a | | | | n/a | | | | n/a | | | | n/a | | | | 66 | % | | | 76 | % | | | 96 | % | | | 68 | % | | | | |
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| While these loan quality measurements contribute to management’s assessment of relative credit risk in the mortgage loan portfolio for the dates indicated based on underwriting criteria and ongoing assessment of the properties’ performance, management believes the amounts, net of valuation allowance, are collectible. |
| Available-For-Sale Securities on Deposit, Held in Trust and Pledged as Collateral |
| Available-for-sale securities with a carrying value of $8 million and $9 million were on deposit with various regulatory agencies as required by law as of December 31, 2013 and 2012, respectively. Additionally, available-for-sale securities with a carrying value of $849 million and $73 million were pledged as collateral to secure recoveries under reinsurance contracts and other funding agreements as of December 31, 2013 and 2012, respectively. These securities are primarily included in fixed maturity securities in the consolidated balance sheets. |
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| Tax Credit Funds |
| The Company has sold $1.2 billion and $0.9 billion in Tax Credit Funds to unrelated third parties as of December 31, 2013 and 2012, respectively. The Company has guaranteed after-tax benefits to the third party investors through periods ending in 2028. The Company held immaterial reserves on these transactions as of December 31, 2013 and 2012. These guarantees are in effect for periods of approximately 15 years each. The Tax Credit Funds provide a stream of tax benefits to the investors that will generate a yield and return of capital. If the tax benefits are not sufficient to provide these cumulative after-tax yields, the Company must fund any shortfall. The maximum amount of undiscounted future payments that the Company could be required to pay the investors under the terms of the guarantees is $796 million, but the company does not anticipate making any material payments related to the guarantees. The Company’s risks are mitigated in the following ways: (1) the Company has the right to buyout the equity related to the guarantee under certain circumstances, (2) the Company may replace underperforming properties to mitigate exposure to guarantee payments and (3) the Company oversees the asset management of the deals. |
| Consolidated VIEs |
| The Company has relationships with VIEs where the Company is the primary beneficiary. These consolidated VIEs are primarily made up of Low-Income-Housing Tax Credit Funds with guarantees to limited partners. Net assets (controlling and noncontrolling interests) of all consolidated VIEs totaled $680 million and $347 million as of December 31, 2013 and 2012, respectively, which were composed primarily of other investments of $554 million, other assets of $182 million and other liabilities of $82 million as of December 31, 2013, and other investments of $348 million as of December 31, 2012. The Company’s general credit is not exposed to the creditors or beneficial interest holders of these consolidated VIEs. |
| Unconsolidated VIEs |
| In addition to the consolidated VIEs, the Company holds investments in VIEs where the Company is not the primary beneficiary, which are primarily investments in Tax Credit Funds without guarantees to limited partners. The carrying value of these investments was $104 million and $222 million as of December 31, 2013 and 2012, respectively. In addition, the Company has made commitments for further investments in these VIEs of $29 million and $66 million as of December 31, 2013 and 2012, respectively. |
| Net Investment Income |
| The following table summarizes net investment income by investment type, for the years ended: |
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| (in millions) | | December 31, | | | December 31, | | | December 31, | | | | | | | | | | | | | | | | | | | | | | | | | |
| 2013 | 2012 | 2011 | | | | | | | | | | | | | | | | | | | | | | | | |
| Fixed maturity securities, available-for-sale | | $ | 1,565 | | | $ | 1,506 | | | $ | 1,502 | | | | | | | | | | | | | | | | | | | | | | | | | |
| Mortgage loans | | | 348 | | | | 366 | | | | 370 | | | | | | | | | | | | | | | | | | | | | | | | | |
| Policy loans | | | 52 | | | | 53 | | | | 56 | | | | | | | | | | | | | | | | | | | | | | | | | |
| Other | | | (57 | ) | | | (45 | ) | | | (34 | ) | | | | | | | | | | | | | | | | | | | | | | | | |
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| Gross investment income | | $ | 1,908 | | | $ | 1,880 | | | $ | 1,894 | | | | | | | | | | | | | | | | | | | | | | | | | |
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| Investment expenses | | | 59 | | | | 55 | | | | 50 | | | | | | | | | | | | | | | | | | | | | | | | | |
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| Net investment income | | $ | 1,849 | | | $ | 1,825 | | | $ | 1,844 | | | | | | | | | | | | | | | | | | | | | | | | | |
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| Net Realized Investment Gains and Losses, Net of Other-Than-Temporary Impairments |
| The following table summarizes net realized investment gains and losses, net of other-than-temporary impairments, by source, for the years ended: |
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| (in millions) | | December 31, | | | December 31, | | | December 31, | | | | | | | | | | | | | | | | | | | | | | | | | |
| 2013 | 2012 | 2011 | | | | | | | | | | | | | | | | | | | | | | | | |
| Net derivative gains (losses) | | $ | 705 | | | $ | 314 | | | $ | (1,636 | ) | | | | | | | | | | | | | | | | | | | | | | | | |
| Realized gains on sales | | | 32 | | | | 48 | | | | 64 | | | | | | | | | | | | | | | | | | | | | | | | | |
| Realized losses on sales | | | (54 | ) | | | (23 | ) | | | (45 | ) | | | | | | | | | | | | | | | | | | | | | | | | |
| Other | | | — | | | | 12 | | | | (19 | ) | | | | | | | | | | | | | | | | | | | | | | | | |
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| Net realized investment gains (losses) before other-than-temporary impairments on fixed maturity securities | | $ | 683 | | | $ | 351 | | | $ | (1,636 | ) | | | | | | | | | | | | | | | | | | | | | | | | |
| Other-than-temporary impairments on fixed maturity securities1 | | | (5 | ) | | | (32 | ) | | | (40 | ) | | | | | | | | | | | | | | | | | | | | | | | | |
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| Net realized investment gains (losses), net of other-than-temporary impairments | | $ | 678 | | | $ | 319 | | | $ | (1,676 | ) | | | | | | | | | | | | | | | | | | | | | | | | |
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| 1 | Other-than-temporary impairments on fixed maturity securities are net $6 million, $36 million and $95 million of non-credit losses included in other comprehensive income for the years ended December 31, 2013, 2012 and 2011, respectively. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Proceeds from the sale of available-for-sale securities were $1.1 billion, $0.8 billion and $1.6 billion during the years ended December 31, 2013, 2012 and 2011, respectively. Gross gains of $31 million, $47 million and $50 million and gross losses of $50 million, $20 million and $39 million were realized on sales of available-for-sale securities during the years ended December 31, 2013, 2012 and 2011, respectively. |
| The following table summarizes the cumulative credit losses, for the years ended: |
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| (in millions) | | December 31, | | | December 31, | | | December 31, | | | | | | | | | | | | | | | | | | | | | | | | | |
| 2013 | 2012 | 2011 | | | | | | | | | | | | | | | | | | | | | | | | |
| Cumulative credit losses at beginning of year1 | | $ | (289 | ) | | $ | (328 | ) | | $ | (340 | ) | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | New credit losses | | | (3 | ) | | | (18 | ) | | | (8 | ) | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Incremental credit losses | | | (3 | ) | | | (10 | ) | | | (29 | ) | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Losses related to securities included in the beginning balance sold or paid down during the period | | | 23 | | | | 67 | | | | 49 | | | | | | | | | | | | | | | | | | | | | | | | | |
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| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Cumulative credit losses at end of year1 | | $ | (272 | ) | | $ | (289 | ) | | $ | (328 | ) | | | | | | | | | | | | | | | | | | | | | | | | |
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| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | 1 | Cumulative credit losses are defined as amounts related to the Company’s credit portion of the other-than-temporary impairment losses on debt securities that the Company does not intend to sell and that it is not more likely than not the Company will be required to sell prior to recovery of the amortized cost basis. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |