| Investments | 1.20x 1.00x - 1.20x < 1.00x Total (In millions) (In millions) September 30, 2015 Loan-to-value ratios Less than 65% $ 4,415 $ 152 $ 69 $ 4,636 91.8 % $ 4,916 92.3 % 65% to 75% 312 9 9 330 6.5 330 6.2 76% to 80% — — — — — — — Greater than 80% 45 25 14 84 1.7 82 1.5 Total $ 4,772 $ 186 $ 92 $ 5,050 100.0 % $ 5,328 100.0 % December 31, 2014 Loan-to-value ratios Less than 65% $ 3,668 $ 267 $ 125 $ 4,060 94.8 % $ 4,431 95.1 % 65% to 75% 113 14 — 127 3.0 134 2.9 76% to 80% 9 — — 9 0.2 10 0.2 Greater than 80% 45 26 14 85 2.0 83 1.8 Total $ 3,835 $ 307 $ 139 $ 4,281 100.0 % $ 4,658 100.0 % Credit Quality of Agricultural Mortgage Loans The credit quality of agricultural mortgage loans was as follows at: September 30, 2015 December 31, 2014 Recorded Investment % of Total Recorded Investment % of Total (In millions) (In millions) Loan-to-value ratios Less than 65% $ 1,341 94.7 % $ 1,239 95.1 % 65% to 75% 75 5.3 64 4.9 Total $ 1,416 100.0 % $ 1,303 100.0 % The estimated fair value of agricultural mortgage loans was $1.5 billion and $1.4 billion at September 30, 2015 and December 31, 2014 , respectively. Credit Quality of Residential Mortgage Loans Over 98% of residential mortgage loans held at September 30, 2015 were classified as performing with an estimated fair value of $232 million . Past Due and Interest Accrual Status of Mortgage Loans The Company has a high quality, well performing mortgage loan portfolio, with over 99% of all mortgage loans classified as performing at both September 30, 2015 and December 31, 2014 . The Company defines delinquency consistent with industry practice, when mortgage loans are past due as follows: commercial and residential mortgage loans — 60 days and agricultural mortgage loans — 90 days. The Company had no commercial and agricultural mortgage loans past due and no commercial and agricultural mortgage loans in non-accrual status at both September 30, 2015 and December 31, 2014 . The recorded investment of residential mortgage loans past due and in non-accrual status was $4 million at September 30, 2015 . The Company did not hold any residential mortgage loans at December 31, 2014 . Mortgage Loans Modified in a Troubled Debt Restructuring The Company may grant concessions related to borrowers experiencing financial difficulties, which are classified as troubled debt restructurings. Generally, the types of concessions include: reduction of the contractual interest rate, extension of the maturity date at an interest rate lower than current market interest rates, and/or a reduction of accrued interest. The amount, timing and extent of the concession granted is considered in determining any impairment or changes in the specific valuation allowance. There were no mortgage loans modified in a troubled debt restructuring during the three months and nine months ended September 30, 2015 and 2014 . Cash Equivalents The carrying value of cash equivalents, which includes securities and other investments with an original or remaining maturity of three months or less at the time of purchase, was $285 million and $681 million at September 30, 2015 and December 31, 2014 , respectively. Net Unrealized Investment Gains (Losses) Unrealized investment gains (losses) on fixed maturity and equity securities AFS and the effect on DAC, VOBA, deferred sales inducements (“DSI”) and future policy benefits, that would result from the realization of the unrealized gains (losses), are included in net unrealized investment gains (losses) in accumulated other comprehensive income (loss) (“AOCI”). The components of net unrealized investment gains (losses), included in AOCI, were as follows: September 30, 2015 December 31, 2014 (In millions) Fixed maturity securities $ 2,979 $ 4,311 Fixed maturity securities with noncredit OTTI losses in AOCI (31 ) (34 ) Total fixed maturity securities 2,948 4,277 Equity securities 46 69 Derivatives 361 282 Other 43 9 Subtotal 3,398 4,637 Amounts allocated from: Future policy benefits (67 ) (503 ) DAC and VOBA related to noncredit OTTI losses recognized in AOCI — (2 ) DAC, VOBA and DSI (254 ) (403 ) Subtotal (321 ) (908 ) Deferred income tax benefit (expense) related to noncredit OTTI losses recognized in AOCI 5 12 Deferred income tax benefit (expense) (1,060 ) (1,308 ) Net unrealized investment gains (losses) $ 2,022 $ 2,433 The changes in fixed maturity securities with noncredit OTTI losses included in AOCI were as follows: Nine Months Year (In millions) Balance, beginning of period $ (34 ) $ (45 ) Noncredit OTTI losses and subsequent changes recognized — 6 Securities sold with previous noncredit OTTI loss 13 9 Subsequent changes in estimated fair value (10 ) (4 ) Balance, end of period $ (31 ) $ (34 ) The changes in net unrealized investment gains (losses) were as follows: Nine Months (In millions) Balance, beginning of period $ 2,433 Fixed maturity securities on which noncredit OTTI losses have been recognized 3 Unrealized investment gains (losses) during the period (1,242 ) Unrealized investment gains (losses) relating to: Future policy benefits 436 DAC and VOBA related to noncredit OTTI losses recognized in AOCI 2 DAC, VOBA and DSI 149 Deferred income tax benefit (expense) related to noncredit OTTI losses recognized in AOCI (7 ) Deferred income tax benefit (expense) 248 Balance, end of period $ 2,022 Change in net unrealized investment gains (losses) $ (411 ) Concentrations of Credit Risk There were no investments in any counterparty that were greater than 10% of the Company’s stockholder’s equity, other than the U.S. government and its agencies, at both September 30, 2015 and December 31, 2014 . Securities Lending The Company participates in a securities lending program whereby securities are loaned to third parties, primarily brokerage firms and commercial banks. The Company obtains collateral, usually cash, in an amount generally equal to 102% of the estimated fair value of the securities loaned at inception of the loan. Securities loaned under such transactions may be sold or re-pledged by the transferee. The Company monitors the estimated fair value of the securities loaned on a daily basis with additional collateral obtained as necessary throughout the duration of the loan. Elements of the securities lending program are presented below at: September 30, 2015 December 31, 2014 (In millions) Securities on loan: (1) Amortized cost $ 8,416 $ 5,748 Estimated fair value $ 9,331 $ 6,703 Cash collateral on deposit from counterparties (2) $ 9,463 $ 6,781 Security collateral on deposit from counterparties (3) $ 85 $ 60 Reinvestment portfolio — estimated fair value $ 9,450 $ 6,846 __________________ (1) Included within fixed maturity securities and short-term investments. At September 30, 2015 , both amortized cost and estimated fair value also include $227 million , at estimated fair value, of securities which are not reflected in the consolidated financial statements. (2) Included within payables for collateral under securities loaned and other transactions. (3) Security collateral on deposit from counterparties may not be sold or re-pledged, unless the counterparty is in default, and is not reflected in the consolidated financial statements. The cash collateral liability by loaned security type and remaining tenor of the agreements were as follows at: September 30, 2015 Remaining Tenor of Securities Lending Agreements Open (1) 1 Month or Less 1 to 6 Months 6 Months to 1 Year Total % of Total (In millions) Cash collateral liability by loaned security type U.S. Treasury and agency $ 3,038 $ 3,264 $ 1,309 $ 55 $ 7,666 81.0 % Agency RMBS — 942 594 — 1,536 16.2 Foreign corporate 1 — — — 1 — U.S. corporate 9 206 — — 215 2.3 Foreign government 2 43 — — 45 0.5 Total $ 3,050 $ 4,455 $ 1,903 $ 55 $ 9,463 100.0 % December 31, 2014 Remaining Tenor of Securities Lending Agreements Open (1) 1 Month or Less 1 to 6 Months 6 Months to 1 Year Total % of Total (In millions) Cash collateral liability by loaned security type U.S. Treasury and agency $ 2,618 $ 2,611 $ 822 $ — $ 6,051 89.2 % Agency RMBS — 95 542 — 637 9.4 Foreign corporate 22 22 — — 44 0.7 U.S. corporate 7 35 — — 42 0.6 Foreign government 7 — — — 7 0.1 Total $ 2,654 $ 2,763 $ 1,364 $ — $ 6,781 100.0 % __________________ (1) The related loaned security could be returned to the Company on the next business day which would require the Company to immediately return the cash collateral. If the Company is required to return significant amounts of cash collateral on short notice and is forced to sell securities to meet the return obligation, it may have difficulty selling such collateral that is invested in securities in a timely manner, be forced to sell securities in a volatile or illiquid market for less than what otherwise would have been realized under normal market conditions, or both. The estimated fair value of the securities on loan related to the cash collateral on open at September 30, 2015 was $3.0 billion , over 99% of which were U.S. Treasury and agency securities which, if put back to the Company, could be immediately sold to satisfy the cash requirement. The reinvestment portfolio acquired with the cash collateral consisted principally of fixed maturity securities (including U.S. Treasury and agency, agency RMBS, ABS, non-agency RMBS and U.S. corporate securities) with over 56% invested in U.S. Treasury and agency, agency RMBS, short-term investments, or held in cash and cash equivalents. If the securities on loan or the reinvestment portfolio become less liquid, the Company has the liquidity resources of most of its general account available to meet any potential cash demands when securities on loan are put back to the Company. Repurchase Agreement Transactions Commencing in the first quarter of 2015, the Company began participating in short-term repurchase agreements and reverse repurchase agreements with unaffiliated financial institutions. Under these agreements, the Company lends fixed maturity securities and contemporaneously borrows other fixed maturity securities (e.g., repurchase and reverse repurchase, respectively). The Company obtains cash collateral in an amount greater than or equal to 95% of the estimated fair value of the securities loaned, and pledges cash collateral in an amount generally equal to 98% of the estimated fair value of the borrowed securities at the inception of the transaction. The Company monitors the estimated fair value of the securities loaned and borrowed on a daily basis with additional collateral obtained as necessary throughout the duration of the transaction. The Company accounted for these transactions as collateralized borrowing and lending. The amount of fixed maturity securities lent and borrowed, at estimated fair value, was $524 million and $512 million , respectively, at September 30, 2015 . Securities loaned under such transactions may be sold or re-pledged by the transferee. Securities borrowed under such transactions may be re-pledged and are not reflected in the consolidated financial statements. The amount of borrowed securities which were re-pledged was $227 million , at estimated fair value, at September 30, 2015 . The Company has elected to offset amounts recognized as receivables and payables resulting from these transactions. The gross amounts of the receivables and payables related to these transactions at September 30, 2015 were both $499 million . After the effect of offsetting of $499 million , the net amount presented in the consolidated balance sheet at September 30, 2015 was a liability of less than $1 million . Amounts owed to and due from counterparties may be settled in cash or offset, in accordance with the agreements. Cash inflows and outflows for cash settlements are reported on the consolidated statements of cash flows. At September 30, 2015 , all $499 million of payables from repurchase agreements had a remaining tenor of one to three months and were loans of U.S. and foreign corporate securities. See Note 5 for information regarding the estimated fair value of the Company’s net derivative assets and net derivative liabilities after the application of master netting agreements and collateral. Invested Assets on Deposit, Held in Trust and Pledged as Collateral Invested assets on deposit, held in trust and pledged as collateral are presented below at estimated fair value for all asset classes, except mortgage loans, which are presented at carrying value at: September 30, 2015 December 31, 2014 (In millions) Invested assets on deposit (regulatory deposits) $ 7,313 $ 7,334 Invested assets held in trust (reinsurance agreements) (1) 979 936 Invested assets pledged as collateral (2) 3,096 3,174 Total invested assets on deposit, held in trust and pledged as collateral $ 11,388 $ 11,444 __________________ (1) The Company has held in trust certain investments, primarily fixed maturity securities, in connection with certain reinsurance transactions. (2) The Company has pledged invested assets in connection with various agreements and transactions, including funding agreements (see Note 5 of the Notes to the Consolidated Financial Statements included in the 2014 Annual Report) and derivative transactions (see Note 5 ). See “— Securities Lending” and “— Repurchase Agreement Transactions” for information regarding securities on loan. Variable Interest Entities The Company has invested in certain structured transactions (including CSEs) that are VIEs. In certain instances, the Company holds both the power to direct the most significant activities of the entity, as well as an economic interest in the entity and, as such, is deemed to be the primary beneficiary or consolidator of the entity. The determination of the VIE’s primary beneficiary requires an evaluation of the contractual and implied rights and obligations associated with each party’s relationship with or involvement in the entity, an estimate of the entity’s expected losses and expected residual returns and the allocation of such estimates to each party involved in the entity. The Company generally uses a qualitative approach to determine whether it is the primary beneficiary. However, for VIEs that are investment companies or apply measurement principles consistent with those utilized by investment companies, the primary beneficiary is based on a risks and rewards model and is defined as the entity that will absorb a majority of a VIE’s expected losses, receive a majority of a VIE’s expected residual returns if no single entity absorbs a majority of expected losses, or both. The Company reassesses its involvement with VIEs on a quarterly basis. The use of different methodologies, assumptions and inputs in the determination of the primary beneficiary could have a material effect on the amounts presented within the consolidated financial statements. Consolidated VIEs The following table presents the total assets and total liabilities relating to VIEs for which the Company has concluded that it is the primary beneficiary and which are consolidated at September 30, 2015 and December 31, 2014 . Creditors or beneficial interest holders of VIEs where the Company is the primary beneficiary have no recourse to the general credit of the Company, as the Company’s obligation to the VIEs is limited to the amount of its committed investment. September 30, 2015 December 31, 2014 (In millions) CSEs: (1) Assets: Mortgage loans (commercial mortgage loans) $ 204 $ 280 Accrued investment income 1 2 Total assets $ 205 $ 282 Liabilities: Long-term debt $ 61 $ 139 Other liabilities — 1 Total liabilities $ 61 $ 140 __________________ (1) The Company consolidates entities that are structured as CMBS. The assets of these entities can only be used to settle their respective liabilities, and under no circumstances is the Company liable for any principal or interest shortfalls should any arise. The Company’s exposure was limited to that of its remaining investment in these entities of $126 million and $123 million at estimated fair value at September 30, 2015 and December 31, 2014 , respectively. The long-term debt bears interest primarily at fixed rates ranging from 2.25% to 5.57% , payable primarily on a monthly basis. Interest expense related to these obligations, included in other expenses, was $8 million and $10 million for the three months and nine months ended September 30, 2015 , respectively, and $3 million and $33 million for the three months and nine months ended September 30, 2014 , respectively. Unconsolidated VIEs The carrying amount and maximum exposure to loss relating to VIEs in which the Company holds a significant variable interest but is not the primary beneficiary and which have not been consolidated were as follows at: September 30, 2015 December 31, 2014 Carrying Amount Maximum Exposure to Loss (1) Carrying Amount Maximum Exposure to Loss (1) (In millions) Fixed maturity securities AFS: Structured securities (RMBS, CMBS and ABS) (2) $ 13,555 $ 13,555 $ 9,322 $ 9,322 U.S. and foreign corporate 485 485 526 526 Other limited partnership interests 1,641 1,959 1,774 2,162 Real estate joint ventures 35 39 47 51 Other invested assets 39 45 37 47 Equity securities AFS: Non-redeemable preferred stock 18 18 19 19 Total $ 15,773 $ 16,101 $ 11,725 $ 12,127 __________________ (1) The maximum exposure to loss relating to fixed maturity and equity securities AFS is equal to their carrying amounts or the carrying amounts of retained interests. The maximum exposure to loss relating to other limited partnership interests and real estate joint ventures is equal to the carrying amounts plus any unfunded commitments. 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 creditworthy third parties. 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 less than $1 million at both September 30, 2015 and December 31, 2014 . Such a maximum loss would be expected to occur only upon bankruptcy of the issuer or investee. (2) For these variable interests, the Company’s involvement is limited to that of a passive investor in mortgage-backed or asset-backed securities issued by trusts that do not have substantial equity. As described in Note 9 , the Company makes commitments to fund partnership investments in the normal course of business. Excluding these commitments, the Company did not provide financial or other support to investees designated as VIEs during both the nine months ended September 30, 2015 and 2014 . Net Investment Income The components of net investment income were as follows: Three Months Nine Months 2015 2014 2015 2014 (In millions) Investment income: Fixed maturity securities $ 506 $ 454 $ 1,499 $ 1,473 Equity securities 5 3 13 12 Mortgage loans 115 89 270 249 Policy loans 14 14 40 44 Real estate and real estate joint ventures 10 19 76 58 Other limited partnership interests 52 90 159 220 Cash, cash equivalents and short-term investments 1 2 6 4 Operating joint venture — — 8 (1 ) Other 6 7 9 2 Subtotal 709 678 2,080 2,061 Less: Investment expenses 29 24 85 76 Subtotal, net 680 654 1,995 1,985 FVO CSEs — interest income — commercial mortgage loans 4 10 13 44 Net investment income $ 684 $ 664 $ 2,008 $ 2,029 See “— Variable Interest Entities” for discussion of CSEs. See “— Related Party Investment Transactions” for discussion of affiliated net investment income and investment expenses. Net Investment Gains (Losses) Components of Net Investment Gains (Losses) The components of net investment gains (losses) were as follows: Three Months Nine Months 2015 2014 2015 2014 (In millions) Total gains (losses) on fixed maturity securities: Total OTTI losses recognized — by sector and industry: U.S. and foreign corporate securities — by industry: Transportation $ — $ — $ — $ (2 ) Consumer (8 ) — (8 ) (1 ) Industrial (2 ) — (3 ) — Total U.S. and foreign corporate securities (10 ) — (11 ) (3 ) RMBS (1 ) (6 ) (3 ) (8 ) OTTI losses on fixed maturity securities recognized in earnings (11 ) (6 ) (14 ) (11 ) Fixed maturity securities — net gains (losses) on sales and disposals (20 ) (9 ) (4 ) 25 Total gains (losses) on fixed maturity securities (31 ) (15 ) (18 ) 14 Total gains (losses) on equity securities: Total OTTI losses recognized — by sector: Non-redeemable preferred stock — — — (8" id="sjs-B4">4. Investments Fixed Maturity and Equity Securities Available-for-Sale Fixed Maturity and Equity Securities Available-for-Sale by Sector The following table presents the fixed maturity and equity securities available-for-sale (“AFS”) by sector. Redeemable preferred stock is reported within U.S. corporate and foreign corporate fixed maturity securities and non-redeemable preferred stock is reported within equity securities. Included within fixed maturity securities are structured securities including residential mortgage-backed securities (“RMBS”), commercial mortgage-backed securities (“CMBS”) and asset-backed securities (“ABS”). September 30, 2015 December 31, 2014 Cost or Gross Unrealized Estimated Cost or Gross Unrealized Estimated Gains Temporary OTTI Gains Temporary OTTI (In millions) Fixed maturity securities U.S. corporate $ 15,870 $ 1,159 $ 296 $ — $ 16,733 $ 15,286 $ 1,635 $ 119 $ — $ 16,802 U.S. Treasury and agency 12,101 1,480 29 — 13,552 14,147 1,686 7 — 15,826 RMBS 8,747 260 69 31 8,907 5,858 291 33 35 6,081 Foreign corporate 5,035 183 165 — 5,053 5,162 310 58 — 5,414 State and political subdivision 2,277 330 7 1 2,599 2,180 413 1 — 2,592 CMBS (1) 2,125 38 9 (1 ) 2,155 1,637 45 4 (1 ) 1,679 ABS 2,490 23 20 — 2,493 1,546 26 10 — 1,562 Foreign government 600 114 6 — 708 607 136 2 — 741 Total fixed maturity securities $ 49,245 $ 3,587 $ 601 $ 31 $ 52,200 $ 46,423 $ 4,542 $ 234 $ 34 $ 50,697 Equity securities Common stock $ 186 $ 36 $ 5 $ — $ 217 $ 176 $ 60 $ 3 $ — $ 233 Non-redeemable preferred stock 217 9 8 — 218 224 9 7 — 226 Total equity securities $ 403 $ 45 $ 13 $ — $ 435 $ 400 $ 69 $ 10 $ — $ 459 __________________ (1) The noncredit loss component of other-than-temporary impairment (“OTTI”) losses for CMBS was in an unrealized gain position of $1 million at both September 30, 2015 and December 31, 2014 , due to increases in estimated fair value subsequent to initial recognition of noncredit losses on such securities. See also “— Net Unrealized Investment Gains (Losses).” The Company held non-income producing fixed maturity securities with an estimated fair value of $15 million and $14 million with unrealized gains (losses) of $1 million and $4 million at September 30, 2015 and December 31, 2014 , respectively. Maturities of Fixed Maturity Securities The amortized cost and estimated fair value of fixed maturity securities, by contractual maturity date, were as follows at September 30, 2015 : Due in One Year or Less Due After One Year Through Five Years Due After Five Years Through Ten Years Due After Ten Years Structured Securities Total Fixed Maturity Securities (In millions) Amortized cost $ 2,478 $ 10,244 $ 7,211 $ 15,950 $ 13,362 $ 49,245 Estimated fair value $ 2,497 $ 10,655 $ 7,350 $ 18,143 $ 13,555 $ 52,200 Actual maturities may differ from contractual maturities due to the exercise of call or prepayment options. Fixed maturity securities not due at a single maturity date have been presented in the year of final contractual maturity. Structured securities (RMBS, CMBS and ABS) are shown separately, as they are not due at a single maturity. Continuous Gross Unrealized Losses for Fixed Maturity and Equity Securities AFS by Sector The following table presents the estimated fair value and gross unrealized losses of fixed maturity and equity securities AFS in an unrealized loss position, aggregated by sector and by length of time that the securities have been in a continuous unrealized loss position. September 30, 2015 December 31, 2014 Less than 12 Months Equal to or Greater than 12 Months Less than 12 Months Equal to or Greater than 12 Months Estimated Fair Value Gross Unrealized Losses Estimated Fair Value Gross Unrealized Losses Estimated Fair Value Gross Unrealized Losses Estimated Fair Value Gross Unrealized Losses (In millions, except number of securities) Fixed maturity securities U.S. corporate $ 3,517 $ 206 $ 471 $ 90 $ 1,346 $ 45 $ 685 $ 74 U.S. Treasury and agency 676 29 — — 4,067 5 163 2 RMBS 1,620 57 444 43 684 26 530 42 Foreign corporate 1,607 115 340 50 1,031 49 133 9 State and political subdivision 233 7 19 1 11 — 24 1 CMBS 423 7 40 1 124 1 78 2 ABS 1,082 15 189 5 334 2 231 8 Foreign government 85 6 3 — 27 1 9 1 Total fixed maturity securities $ 9,243 $ 442 $ 1,506 $ 190 $ 7,624 $ 129 $ 1,853 $ 139 Equity securities Common stock $ 14 $ 5 $ 1 $ — $ 11 $ 3 $ — $ — Non-redeemable preferred stock 21 1 41 7 28 1 44 6 Total equity securities $ 35 $ 6 $ 42 $ 7 $ 39 $ 4 $ 44 $ 6 Total number of securities in an unrealized loss position 1,391 340 752 333 Evaluation of AFS Securities for OTTI and Evaluating Temporarily Impaired AFS Securities As described more fully in Notes 1 and 8 of the Notes to the Consolidated Financial Statements included in the 2014 Annual Report, the Company performs a regular evaluation of all investment classes for impairment, including fixed maturity securities and equity securities, in accordance with its impairment policy, in order to evaluate whether such investments are other-than-temporarily impaired. Current Period Evaluation Based on the Company’s current evaluation of its AFS securities in an unrealized loss position in accordance with its impairment policy, and the Company’s current intentions and assessments (as applicable to the type of security) about holding, selling and any requirements to sell these securities, the Company concluded that these securities were not other-than-temporarily impaired at September 30, 2015 . Future OTTI will depend primarily on economic fundamentals, issuer performance (including changes in the present value of future cash flows expected to be collected), changes in credit ratings, collateral valuation, interest rates and credit spreads. If economic fundamentals deteriorate or if there are adverse changes in the above factors, OTTI may be incurred in upcoming periods. Gross unrealized losses on fixed maturity securities increased $364 million during the nine months ended September 30, 2015 to $632 million . The increase in gross unrealized losses for the nine months ended September 30, 2015 was primarily attributable to widening credit spreads, and to a lesser extent, the impact of weakening foreign currencies on non-functional currency denominated fixed maturity securities . At September 30, 2015 , $48 million of the total $632 million of gross unrealized losses were from 15 fixed maturity securities with an unrealized loss position of 20% or more of amortized cost for six months or greater. Investment Grade Fixed Maturity Securities Of the $48 million of gross unrealized losses on fixed maturity securities with an unrealized loss of 20% or more of amortized cost for six months or greater, $38 million , or 79% , were related to gross unrealized losses on seven investment grade fixed maturity securities. Unrealized losses on investment grade fixed maturity securities are principally related to widening credit spreads and, with respect to fixed-rate fixed maturity securities, rising interest rates since purchase. Below Investment Grade Fixed Maturity Securities Of the $48 million of gross unrealized losses on fixed maturity securities with an unrealized loss of 20% or more of amortized cost for six months or greater, $10 million , or 21% , were related to gross unrealized losses on eight below investment grade fixed maturity securities. Unrealized losses on below investment grade fixed maturity securities are principally related to non-agency RMBS (primarily alternative residential mortgage loans) and U.S. corporate securities (primarily utility industry securities) and are the result of significantly wider credit spreads resulting from higher risk premiums since purchase, largely due to economic and market uncertainties including concerns over valuations of residential real estate supporting non-agency RMBS. Management evaluates non-agency RMBS based on actual and projected cash flows after considering the quality of underlying collateral, expected prepayment speeds, current and forecasted loss severity, consideration of the payment terms of the underlying assets backing a particular security, and the payment priority within the tranche structure of the security; and evaluates U.S. corporate securities based on factors such as expected cash flows and the financial condition and near-term and long-term prospects of the issuers. Equity Securities Gross unrealized losses on equity securities increased $3 million during the nine months ended September 30, 2015 to $13 million . Of the $13 million , $5 million were from three securities with gross unrealized losses of 20% or more of cost for 12 months or greater. Of the $5 million , 40% were from securities rated A or better, and all were from financial services industry investment grade non-redeemable preferred stock securities. Mortgage Loans Mortgage Loans by Portfolio Segment Mortgage loans are summarized as follows at: September 30, 2015 December 31, 2014 Carrying Value % of Total Carrying Value % of Total (In millions) (In millions) Mortgage loans: Commercial $ 5,050 73.6 % $ 4,281 73.3 % Agricultural 1,416 20.6 1,303 22.3 Residential 227 3.3 — — Subtotal (1) 6,693 97.5 5,584 95.6 Valuation allowances (32 ) (0.5 ) (25 ) (0.4 ) Subtotal mortgage loans, net 6,661 97.0 5,559 95.2 Commercial mortgage loans held by CSEs - fair value option ("FVO") 204 3.0 280 4.8 Total mortgage loans, net $ 6,865 100.0 % $ 5,839 100.0 % __________________ (1) Purchases of mortgage loans were $184 million and $224 million for the three months and nine months ended September 30, 2015 , respectively. There were no mortgage loans purchased for both the three months and nine months ended September 30, 2014 . See “— Variable Interest Entities” for discussion of consolidated securitization entities (“CSEs”). See “— Related Party Investment Transactions” for discussion of related party mortgage loans. Information on commercial, agricultural and residential mortgage loans is presented in the tables below. Information on commercial mortgage loans held by CSEs - FVO is presented in Note 6 . The Company elects the FVO for certain commercial mortgage loans and related long-term debt that are managed on a total return basis. Mortgage Loans, Valuation Allowance and Impaired Loans by Portfolio Segment Mortgage loans by portfolio segment, by method of evaluation of credit loss, impaired mortgage loans including those modified in a troubled debt restructuring, and the related valuation allowances, were as follows at: Evaluated Individually for Credit Losses Evaluated Collectively for Credit Losses Impaired Loans Impaired Loans with a Valuation Allowance Impaired Loans without a Valuation Allowance Unpaid Principal Balance Recorded Investment Valuation Unpaid Principal Balance Recorded Recorded Valuation Carrying (In millions) September 30, 2015 Commercial $ — $ — $ — $ — $ — $ 5,050 $ 26 $ — Agricultural 4 3 — — — 1,413 5 3 Residential — — — — — 227 1 — Total $ 4 $ 3 $ — $ — $ — $ 6,690 $ 32 $ 3 December 31, 2014 Commercial $ — $ — $ — $ — $ — $ 4,281 $ 21 $ — Agricultural 4 3 — — — 1,300 4 3 Residential — — — — — — — — Total $ 4 $ 3 $ — $ — $ — $ 5,581 $ 25 $ 3 The average recorded investment for impaired commercial, agricultural and residential mortgage loans was $0 , $3 million and $0 , respectively, for both the three months and the nine months ended September 30, 2015 . The average recorded investment for impaired commercial, agricultural and residential mortgage loans was $34 million , $3 million and $0 , respectively, for the three months ended September 30, 2014 ; and $53 million , $3 million and $0 , respectively, for the nine months ended September 30, 2014 . Valuation Allowance Rollforward by Portfolio Segment The changes in the valuation allowance, by portfolio segment, were as follows: Nine Months 2015 2014 Commercial Agricultural Residential Total Commercial Agricultural Residential Total (In millions) Balance, beginning of period $ 21 $ 4 $ — $ 25 $ 31 $ 4 $ — $ 35 Provision (release) 5 1 1 7 (9 ) — — (9 ) Balance, end of period $ 26 $ 5 $ 1 $ 32 $ 22 $ 4 $ — $ 26 Credit Quality of Commercial Mortgage Loans The credit quality of commercial mortgage loans was as follows at: Recorded Investment Debt Service Coverage Ratios % of Total Estimated Fair Value % of Total > 1.20x 1.00x - 1.20x < 1.00x Total (In millions) (In millions) September 30, 2015 Loan-to-value ratios Less than 65% $ 4,415 $ 152 $ 69 $ 4,636 91.8 % $ 4,916 92.3 % 65% to 75% 312 9 9 330 6.5 330 6.2 76% to 80% — — — — — — — Greater than 80% 45 25 14 84 1.7 82 1.5 Total $ 4,772 $ 186 $ 92 $ 5,050 100.0 % $ 5,328 100.0 % December 31, 2014 Loan-to-value ratios Less than 65% $ 3,668 $ 267 $ 125 $ 4,060 94.8 % $ 4,431 95.1 % 65% to 75% 113 14 — 127 3.0 134 2.9 76% to 80% 9 — — 9 0.2 10 0.2 Greater than 80% 45 26 14 85 2.0 83 1.8 Total $ 3,835 $ 307 $ 139 $ 4,281 100.0 % $ 4,658 100.0 % Credit Quality of Agricultural Mortgage Loans The credit quality of agricultural mortgage loans was as follows at: September 30, 2015 December 31, 2014 Recorded Investment % of Total Recorded Investment % of Total (In millions) (In millions) Loan-to-value ratios Less than 65% $ 1,341 94.7 % $ 1,239 95.1 % 65% to 75% 75 5.3 64 4.9 Total $ 1,416 100.0 % $ 1,303 100.0 % The estimated fair value of agricultural mortgage loans was $1.5 billion and $1.4 billion at September 30, 2015 and December 31, 2014 , respectively. Credit Quality of Residential Mortgage Loans Over 98% of residential mortgage loans held at September 30, 2015 were classified as performing with an estimated fair value of $232 million . Past Due and Interest Accrual Status of Mortgage Loans The Company has a high quality, well performing mortgage loan portfolio, with over 99% of all mortgage loans classified as performing at both September 30, 2015 and December 31, 2014 . The Company defines delinquency consistent with industry practice, when mortgage loans are past due as follows: commercial and residential mortgage loans — 60 days and agricultural mortgage loans — 90 days. The Company had no commercial and agricultural mortgage loans past due and no commercial and agricultural mortgage loans in non-accrual status at both September 30, 2015 and December 31, 2014 . The recorded investment of residential mortgage loans past due and in non-accrual status was $4 million at September 30, 2015 . The Company did not hold any residential mortgage loans at December 31, 2014 . Mortgage Loans Modified in a Troubled Debt Restructuring The Company may grant concessions related to borrowers experiencing financial difficulties, which are classified as troubled debt restructurings. Generally, the types of concessions include: reduction of the contractual interest rate, extension of the maturity date at an interest rate lower than current market interest rates, and/or a reduction of accrued interest. The amount, timing and extent of the concession granted is considered in determining any impairment or changes in the specific valuation allowance. There were no mortgage loans modified in a troubled debt restructuring during the three months and nine months ended September 30, 2015 and 2014 . Cash Equivalents The carrying value of cash equivalents, which includes securities and other investments with an original or remaining maturity of three months or less at the time of purchase, was $285 million and $681 million at September 30, 2015 and December 31, 2014 , respectively. Net Unrealized Investment Gains (Losses) Unrealized investment gains (losses) on fixed maturity and equity securities AFS and the effect on DAC, VOBA, deferred sales inducements (“DSI”) and future policy benefits, that would result from the realization of the unrealized gains (losses), are included in net unrealized investment gains (losses) in accumulated other comprehensive income (loss) (“AOCI”). The components of net unrealized investment gains (losses), included in AOCI, were as follows: September 30, 2015 December 31, 2014 (In millions) Fixed maturity securities $ 2,979 $ 4,311 Fixed maturity securities with noncredit OTTI losses in AOCI (31 ) (34 ) Total fixed maturity securities 2,948 4,277 Equity securities 46 69 Derivatives 361 282 Other 43 9 Subtotal 3,398 4,637 Amounts allocated from: Future policy benefits (67 ) (503 ) DAC and VOBA related to noncredit OTTI losses recognized in AOCI — (2 ) DAC, VOBA and DSI (254 ) (403 ) Subtotal (321 ) (908 ) Deferred income tax benefit (expense) related to noncredit OTTI losses recognized in AOCI 5 12 Deferred income tax benefit (expense) (1,060 ) (1,308 ) Net unrealized investment gains (losses) $ 2,022 $ 2,433 The changes in fixed maturity securities with noncredit OTTI losses included in AOCI were as follows: Nine Months Year (In millions) Balance, beginning of period $ (34 ) $ (45 ) Noncredit OTTI losses and subsequent changes recognized — 6 Securities sold with previous noncredit OTTI loss 13 9 Subsequent changes in estimated fair value (10 ) (4 ) Balance, end of period $ (31 ) $ (34 ) The changes in net unrealized investment gains (losses) were as follows: Nine Months (In millions) Balance, beginning of period $ 2,433 Fixed maturity securities on which noncredit OTTI losses have been recognized 3 Unrealized investment gains (losses) during the period (1,242 ) Unrealized investment gains (losses) relating to: Future policy benefits 436 DAC and VOBA related to noncredit OTTI losses recognized in AOCI 2 DAC, VOBA and DSI 149 Deferred income tax benefit (expense) related to noncredit OTTI losses recognized in AOCI (7 ) Deferred income tax benefit (expense) 248 Balance, end of period $ 2,022 Change in net unrealized investment gains (losses) $ (411 ) Concentrations of Credit Risk There were no investments in any counterparty that were greater than 10% of the Company’s stockholder’s equity, other than the U.S. government and its agencies, at both September 30, 2015 and December 31, 2014 . Securities Lending The Company participates in a securities lending program whereby securities are loaned to third parties, primarily brokerage firms and commercial banks. The Company obtains collateral, usually cash, in an amount generally equal to 102% of the estimated fair value of the securities loaned at inception of the loan. Securities loaned under such transactions may be sold or re-pledged by the transferee. The Company monitors the estimated fair value of the securities loaned on a daily basis with additional collateral obtained as necessary throughout the duration of the loan. Elements of the securities lending program are presented below at: September 30, 2015 December 31, 2014 (In millions) Securities on loan: (1) Amortized cost $ 8,416 $ 5,748 Estimated fair value $ 9,331 $ 6,703 Cash collateral on deposit from counterparties (2) $ 9,463 $ 6,781 Security collateral on deposit from counterparties (3) $ 85 $ 60 Reinvestment portfolio — estimated fair value $ 9,450 $ 6,846 __________________ (1) Included within fixed maturity securities and short-term investments. At September 30, 2015 , both amortized cost and estimated fair value also include $227 million , at estimated fair value, of securities which are not reflected in the consolidated financial statements. (2) Included within payables for collateral under securities loaned and other transactions. (3) Security collateral on deposit from counterparties may not be sold or re-pledged, unless the counterparty is in default, and is not reflected in the consolidated financial statements. The cash collateral liability by loaned security type and remaining tenor of the agreements were as follows at: September 30, 2015 Remaining Tenor of Securities Lending Agreements Open (1) 1 Month or Less 1 to 6 Months 6 Months to 1 Year Total % of Total (In millions) Cash collateral liability by loaned security type U.S. Treasury and agency $ 3,038 $ 3,264 $ 1,309 $ 55 $ 7,666 81.0 % Agency RMBS — 942 594 — 1,536 16.2 Foreign corporate 1 — — — 1 — U.S. corporate 9 206 — — 215 2.3 Foreign government 2 43 — — 45 0.5 Total $ 3,050 $ 4,455 $ 1,903 $ 55 $ 9,463 100.0 % December 31, 2014 Remaining Tenor of Securities Lending Agreements Open (1) 1 Month or Less 1 to 6 Months 6 Months to 1 Year Total % of Total (In millions) Cash collateral liability by loaned security type U.S. Treasury and agency $ 2,618 $ 2,611 $ 822 $ — $ 6,051 89.2 % Agency RMBS — 95 542 — 637 9.4 Foreign corporate 22 22 — — 44 0.7 U.S. corporate 7 35 — — 42 0.6 Foreign government 7 — — — 7 0.1 Total $ 2,654 $ 2,763 $ 1,364 $ — $ 6,781 100.0 % __________________ (1) The related loaned security could be returned to the Company on the next business day which would require the Company to immediately return the cash collateral. If the Company is required to return significant amounts of cash collateral on short notice and is forced to sell securities to meet the return obligation, it may have difficulty selling such collateral that is invested in securities in a timely manner, be forced to sell securities in a volatile or illiquid market for less than what otherwise would have been realized under normal market conditions, or both. The estimated fair value of the securities on loan related to the cash collateral on open at September 30, 2015 was $3.0 billion , over 99% of which were U.S. Treasury and agency securities which, if put back to the Company, could be immediately sold to satisfy the cash requirement. The reinvestment portfolio acquired with the cash collateral consisted principally of fixed maturity securities (including U.S. Treasury and agency, agency RMBS, ABS, non-agency RMBS and U.S. corporate securities) with over 56% invested in U.S. Treasury and agency, agency RMBS, short-term investments, or held in cash and cash equivalents. If the securities on loan or the reinvestment portfolio become less liquid, the Company has the liquidity resources of most of its general account available to meet any potential cash demands when securities on loan are put back to the Company. Repurchase Agreement Transactions Commencing in the first quarter of 2015, the Company began participating in short-term repurchase agreements and reverse repurchase agreements with unaffiliated financial institutions. Under these agreements, the Company lends fixed maturity securities and contemporaneously borrows other fixed maturity securities (e.g., repurchase and reverse repurchase, respectively). The Company obtains cash collateral in an amount greater than or equal to 95% of the estimated fair value of the securities loaned, and pledges cash collateral in an amount generally equal to 98% of the estimated fair value of the borrowed securities at the inception of the transaction. The Company monitors the estimated fair value of the securities loaned and borrowed on a daily basis with additional collateral obtained as necessary throughout the duration of the transaction. The Company accounted for these transactions as collateralized borrowing and lending. The amount of fixed maturity securities lent and borrowed, at estimated fair value, was $524 million and $512 million , respectively, at September 30, 2015 . Securities loaned under such transactions may be sold or re-pledged by the transferee. Securities borrowed under such transactions may be re-pledged and are not reflected in the consolidated financial statements. The amount of borrowed securities which were re-pledged was $227 million , at estimated fair value, at September 30, 2015 . The Company has elected to offset amounts recognized as receivables and payables resulting from these transactions. The gross amounts of the receivables and payables related to these transactions at September 30, 2015 were both $499 million . After the effect of offsetting of $499 million , the net amount presented in the consolidated balance sheet at September 30, 2015 was a liability of less than $1 million . Amounts owed to and due from counterparties may be settled in cash or offset, in accordance with the agreements. Cash inflows and outflows for cash settlements are reported on the consolidated statements of cash flows. At September 30, 2015 , all $499 million of payables from repurchase agreements had a remaining tenor of one to three months and were loans of U.S. and foreign corporate securities. See Note 5 for information regarding the estimated fair value of the Company’s net derivative assets and net derivative liabilities after the application of master netting agreements and collateral. Invested Assets on Deposit, Held in Trust and Pledged as Collateral Invested assets on deposit, held in trust and pledged as collateral are presented below at estimated fair value for all asset classes, except mortgage loans, which are presented at carrying value at: September 30, 2015 December 31, 2014 (In millions) Invested assets on deposit (regulatory deposits) $ 7,313 $ 7,334 Invested assets held in trust (reinsurance agreements) (1) 979 936 Invested assets pledged as collateral (2) 3,096 3,174 Total invested assets on deposit, held in trust and pledged as collateral $ 11,388 $ 11,444 __________________ (1) The Company has held in trust certain investments, primarily fixed maturity securities, in connection with certain reinsurance transactions. (2) The Company has pledged invested assets in connection with various agreements and transactions, including funding agreements (see Note 5 of the Notes to the Consolidated Financial Statements included in the 2014 Annual Report) and derivative transactions (see Note 5 ). See “— Securities Lending” and “— Repurchase Agreement Transactions” for information regarding securities on loan. Variable Interest Entities The Company has invested in certain structured transactions (including CSEs) that are VIEs. In certain instances, the Company holds both the power to direct the most significant activities of the entity, as well as an economic interest in the entity and, as such, is deemed to be the primary beneficiary or consolidator of the entity. The determination of the VIE’s primary beneficiary requires an evaluation of the contractual and implied rights and obligations associated with each party’s relationship with or involvement in the entity, an estimate of the entity’s expected losses and expected residual returns and the allocation of such estimates to each party involved in the entity. The Company generally uses a qualitative approach to determine whether it is the primary beneficiary. However, for VIEs that are investment companies or apply measurement principles consistent with those utilized by investment companies, the primary beneficiary is based on a risks and rewards model and is defined as the entity that will absorb a majority of a VIE’s expected losses, receive a majority of a VIE’s expected residual returns if no single entity absorbs a majority of expected losses, or both. The Company reassesses its involvement with VIEs on a quarterly basis. The use of different methodologies, assumptions and inputs in the determination of the primary beneficiary could have a material effect on the amounts presented within the consolidated financial statements. Consolidated VIEs The following table presents the total assets and total liabilities relating to VIEs for which the Company has concluded that it is the primary beneficiary and which are consolidated at September 30, 2015 and December 31, 2014 . Creditors or beneficial interest holders of VIEs where the Company is the primary beneficiary have no recourse to the general credit of the Company, as the Company’s obligation to the VIEs is limited to the amount of its committed investment. September 30, 2015 December 31, 2014 (In millions) CSEs: (1) Assets: Mortgage loans (commercial mortgage loans) $ 204 $ 280 Accrued investment income 1 2 Total assets $ 205 $ 282 Liabilities: Long-term debt $ 61 $ 139 Other liabilities — 1 Total liabilities $ 61 $ 140 __________________ (1) The Company consolidates entities that are structured as CMBS. The assets of these entities can only be used to settle their respective liabilities, and under no circumstances is the Company liable for any principal or interest shortfalls should any arise. The Company’s exposure was limited to that of its remaining investment in these entities of $126 million and $123 million at estimated fair value at September 30, 2015 and December 31, 2014 , respectively. The long-term debt bears interest primarily at fixed rates ranging from 2.25% to 5.57% , payable primarily on a monthly basis. Interest expense related to these obligations, included in other expenses, was $8 million and $10 million for the three months and nine months ended September 30, 2015 , respectively, and $3 million and $33 million for the three months and nine months ended September 30, 2014 , respectively. Unconsolidated VIEs The carrying amount and maximum exposure to loss relating to VIEs in which the Company holds a significant variable interest but is not the primary beneficiary and which have not been consolidated were as follows at: September 30, 2015 December 31, 2014 Carrying Amount Maximum Exposure to Loss (1) Carrying Amount Maximum Exposure to Loss (1) (In millions) Fixed maturity securities AFS: Structured securities (RMBS, CMBS and ABS) (2) $ 13,555 $ 13,555 $ 9,322 $ 9,322 U.S. and foreign corporate 485 485 526 526 Other limited partnership interests 1,641 1,959 1,774 2,162 Real estate joint ventures 35 39 47 51 Other invested assets 39 45 37 47 Equity securities AFS: Non-redeemable preferred stock 18 18 19 19 Total $ 15,773 $ 16,101 $ 11,725 $ 12,127 __________________ (1) The maximum exposure to loss relating to fixed maturity and equity securities AFS is equal to their carrying amounts or the carrying amounts of retained interests. The maximum exposure to loss relating to other limited partnership interests and real estate joint ventures is equal to the carrying amounts plus any unfunded commitments. 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 creditworthy third parties. 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 less than $1 million at both September 30, 2015 and December 31, 2014 . Such a maximum loss would be expected to occur only upon bankruptcy of the issuer or investee. (2) For these variable interests, the Company’s involvement is limited to that of a passive investor in mortgage-backed or asset-backed securities issued by trusts that do not have substantial equity. As described in Note 9 , the Company makes commitments to fund partnership investments in the normal course of business. Excluding these commitments, the Company did not provide financial or other support to investees designated as VIEs during both the nine months ended September 30, 2015 and 2014 . Net Investment Income The components of net investment income were as follows: Three Months Nine Months 2015 2014 2015 2014 (In millions) Investment income: Fixed maturity securities $ 506 $ 454 $ 1,499 $ 1,473 Equity securities 5 3 13 12 Mortgage loans 115 89 270 249 Policy loans 14 14 40 44 Real estate and real estate joint ventures 10 19 76 58 Other limited partnership interests 52 90 159 220 Cash, cash equivalents and short-term investments 1 2 6 4 Operating joint venture — — 8 (1 ) Other 6 7 9 2 Subtotal 709 678 2,080 2,061 Less: Investment expenses 29 24 85 76 Subtotal, net 680 654 1,995 1,985 FVO CSEs — interest income — commercial mortgage loans 4 10 13 44 Net investment income $ 684 $ 664 $ 2,008 $ 2,029 See “— Variable Interest Entities” for discussion of CSEs. See “— Related Party Investment Transactions” for discussion of affiliated net investment income and investment expenses. Net Investment Gains (Losses) Components of Net Investment Gains (Losses) The components of net investment gains (losses) were as follows: Three Months Nine Months 2015 2014 2015 2014 (In millions) Total gains (losses) on fixed maturity securities: Total OTTI losses recognized — by sector and industry: U.S. and foreign corporate securities — by industry: Transportation $ — $ — $ — $ (2 ) Consumer (8 ) — (8 ) (1 ) Industrial (2 ) — (3 ) — Total U.S. and foreign corporate securities (10 ) — (11 ) (3 ) RMBS (1 ) (6 ) (3 ) (8 ) OTTI losses on fixed maturity securities recognized in earnings (11 ) (6 ) (14 ) (11 ) Fixed maturity securities — net gains (losses) on sales and disposals (20 ) (9 ) (4 ) 25 Total gains (losses) on fixed maturity securities (31 ) (15 ) (18 ) 14 Total gains (losses) on equity securities: Total OTTI losses recognized — by sector: Non-redeemable preferred stock — — — (8 |
