QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
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(State or other jurisdiction of incorporation or organization) |
(I.R.S. Employer Identification Number) | |
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(Address of principal executive offices) |
(Zip Code) |
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☒ |
Accelerated filer |
☐ | ||
Non-accelerated filer |
☐ |
Smaller reporting company |
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Emerging growth company |
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Title of Each Class |
Trading Symbol |
Name of each exchange on which registered | ||
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Page |
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Item 1. |
3 |
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3 |
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4 |
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5 |
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6 |
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7 |
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8 |
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Item 2. |
67 |
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Item 3. |
140 |
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Item 4. |
140 |
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141 |
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Item 1. |
141 |
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Item 1A. |
141 |
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Item 6. |
142 |
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143 |
March 31, 2020 |
December 31, 2019 |
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(Unaudited) |
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Assets |
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Investments: |
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Fixed maturity securities available-for-sale, at fair value (amortized cost of $ |
$ | |
$ | |
||||
Equity securities, at fair value |
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||||||
Commercial mortgage loans (net of unamortized balance of loan origination fees and costs of $ |
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||||||
Less: Allowance for credit losses |
( |
) | ( |
) | ||||
Commercial mortgage loans, net |
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Policy loans |
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Other invested assets |
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Total investments |
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Cash, cash equivalents and restricted cash |
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Accrued investment income |
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Deferred acquisition costs |
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Intangible assets and goodwill |
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Reinsurance recoverable |
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Less: Allowance for credit losses |
( |
) | — |
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Reinsurance recoverable, net |
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Other assets |
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Deferred tax asset |
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Separate account assets |
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Total assets |
$ | |
$ | |
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Liabilities and equity |
||||||||
Liabilities: |
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Future policy benefits |
$ | |
$ | |
||||
Policyholder account balances |
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|
||||||
Liability for policy and contract claims |
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|
||||||
Unearned premiums |
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||||||
Other liabilities |
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||||||
Non-recourse funding obligations |
— |
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Long-term borrowings |
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Separate account liabilities |
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Total liabilities |
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Commitments and contingencies |
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Equity: |
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Class A common stock, $ |
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Additional paid-in capital |
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|
||||||
Accumulated other comprehensive income (loss) |
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||||||
Retained earnings |
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|
||||||
Treasury stock, at cost ( |
( |
) | ( |
) | ||||
Total Genworth Financial, Inc.’s stockholders’ equity |
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|
||||||
Noncontrolling interests |
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|
||||||
Total equity |
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||||||
Total liabilities and equity |
$ | |
$ | |
||||
Three months ended March 31, |
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2020 |
2019 |
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Revenues: |
||||||||
Premiums |
$ |
|
$ |
|
||||
Net investment income |
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|
||||||
Net investment gains (losses) |
( |
) |
|
|||||
Policy fees and other income |
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||||||
Total revenues |
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||||||
Benefits and expenses: |
||||||||
Benefits and other changes in policy reserves |
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||||||
Interest credited |
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||||||
Acquisition and operating expenses, net of deferrals |
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||||||
Amortization of deferred acquisition costs and intangibles |
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Interest expense |
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Total benefits and expenses |
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Income (loss) from continuing operations before income taxes |
( |
) |
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|||||
Provision (benefit) for income taxes |
( |
) |
|
|||||
Income (loss) from continuing operations |
( |
) |
|
|||||
Income from discontinued operations, net of taxes |
— |
|
||||||
Net income (loss) |
( |
) |
|
|||||
Less: net income (loss) from continuing operations attributable to noncontrolling interests |
( |
) |
|
|||||
Less: net income from discontinued operations attributable to noncontrolling interests |
— |
|
||||||
Net income (loss) available to Genworth Financial, Inc.’s common stockholders |
$ |
( |
) |
$ |
|
|||
Net income (loss) available to Genworth Financial, Inc.’s common stockholders: |
||||||||
Income (loss) from continuing operations available to Genworth Financial, Inc.’s common stockholders |
( |
) |
|
|||||
Income from discontinued operations available to Genworth Financial, Inc.’s common common stockholders |
— |
|
||||||
Net income (loss) available to Genworth Financial, Inc.’s common stockholders |
$ |
( |
) |
$ |
|
|||
Income (loss) from continuing operations available to Genworth Financial, Inc.’s common stockholders per share: |
||||||||
Basic |
$ |
( |
) |
$ |
|
|||
Diluted |
$ |
( |
) |
$ |
|
|||
Net income (loss) available to Genworth Financial, Inc.’s common stockholders per share: |
||||||||
Basic |
$ |
( |
) |
$ |
|
|||
Diluted |
$ |
( |
) |
$ |
|
|||
Weighted-average common shares outstanding: |
||||||||
Basic |
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||||||
Diluted |
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||||||
Three months ended March 31, |
||||||||
2020 |
2019 |
|||||||
Net income (loss) |
$ ( |
) | $ |
|||||
Other comprehensive income (loss), net of taxes: |
||||||||
Net unrealized gains (losses) on securities without an allowance for credit losses |
( |
) | — |
|||||
Net unrealized gains (losses) on securities with an allowance for credit losses |
— |
— |
||||||
Net unrealized gains (losses) on securities not other-than-temporarily impaired |
— |
|
||||||
Net unrealized gains (losses) on other-than-temporarily impaired securities |
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|
||||||
Derivatives qualifying as hedges |
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|
||||||
Foreign currency translation and other adjustments |
( |
) | |
|||||
Total other comprehensive income (loss) |
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|
||||||
Total comprehensive income |
|
|
||||||
Less: comprehensive income (loss) attributable to noncontrolling interests |
( |
) | |
|||||
Total comprehensive income available to Genworth Financial, Inc.’s common stockholders |
$ |
$ |
||||||
Three months ended March 31, 2020 |
||||||||||||||||||||||||||||||||
Common stock |
Additional paid-in capital |
Accumulated other comprehensive income (loss) |
Retained earnings |
Treasury stock, at cost |
Total Genworth Financial, Inc.’s stockholders’ equity |
Noncontrolling interests |
Total equity |
|||||||||||||||||||||||||
Balances as of December 31, 2019 |
$ | |
$ | |
$ | |
$ | |
$ | ( |
$ | |
$ | |
$ | |
||||||||||||||||
Cumulative effect of change in accounting, net of taxes |
— |
— |
— |
( |
) | — |
( |
) | — |
( |
) | |||||||||||||||||||||
Comprehensive income (loss): |
||||||||||||||||||||||||||||||||
Net loss |
— |
— |
— |
( |
) | — |
( |
) | ( |
) | ( |
) | ||||||||||||||||||||
Other comprehensive income (loss), net of taxes |
— |
— |
|
— |
— |
|
( |
) | |
|||||||||||||||||||||||
Total comprehensive income (loss) |
|
( |
) | |
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Dividends to noncontrolling interests |
— |
— |
— |
— |
— |
— |
( |
) | ( |
) | ||||||||||||||||||||||
Stock-based compensation expense and exercises and other |
— |
|
— |
— |
— |
|
— |
|
||||||||||||||||||||||||
Balances as of March 31, 2020 |
$ | |
$ | |
$ | |
$ | |
$ | ( |
) | $ | |
$ | |
$ |
|
|||||||||||||||
Three months ended March 31, 2019 |
||||||||||||||||||||||||||||||||
Common stock |
Additional paid-in capital |
Accumulated other comprehensive income (loss) |
Retained earnings |
Treasury stock, at cost |
Total Genworth Financial, Inc.’s stockholders’ equity |
Noncontrolling interests |
Total equity |
|||||||||||||||||||||||||
Balances as of December 31, 2018 |
$ | |
$ | |
$ | |
$ | |
$ | ( |
) | $ | |
$ | |
$ | |
|||||||||||||||
Repurchase of subsidiary shares |
— |
— |
— |
— |
— |
— |
( |
) | ( |
) | ||||||||||||||||||||||
Comprehensive income: |
||||||||||||||||||||||||||||||||
Net income |
— |
— |
— |
|
— |
|
|
|
||||||||||||||||||||||||
Other comprehensive income, net of taxes |
— |
— |
|
— |
— |
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|
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Total comprehensive income |
|
|
|
|||||||||||||||||||||||||||||
Dividends to noncontrolling interests |
— |
— |
— |
— |
— |
— |
( |
) | ( |
) | ||||||||||||||||||||||
Stock-based compensation expense and exercises and other |
— |
|
— |
— |
— |
|
( |
) | — |
|||||||||||||||||||||||
Balances as of March 31, 2019 |
$ | |
$ | |
$ | |
$ | |
$ | ( |
) | $ | |
$ | |
$ |
|
|||||||||||||||
|
Three months ended March 31, |
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2020 |
2019 |
|||||||
Cash flows from operating activities: |
||||||||
Net income (loss) |
$ | ( |
) | $ | |
|||
Less income from discontinued operations, net of taxes |
— |
( |
) | |||||
Adjustments to reconcile net income (loss) to net cash from operating activities: |
||||||||
Amortization of fixed maturity securities discounts and premiums |
( |
) | ( |
) | ||||
Net investment (gains) losses |
|
( |
) | |||||
Charges assessed to policyholders |
( |
) | ( |
) | ||||
Acquisition costs deferred |
( |
) | ( |
) | ||||
Amortization of deferred acquisition costs and intangibles |
|
|
||||||
Deferred income taxes |
( |
) | |
|||||
Derivative instruments, limited partnerships and other |
|
( |
) | |||||
Stock-based compensation expense |
|
|
||||||
Change in certain assets and liabilities: |
||||||||
Accrued investment income and other assets |
( |
) | ( |
) | ||||
Insurance reserves |
|
|
||||||
Current tax liabilities |
( |
) | |
|||||
Other liabilities, policy and contract claims and other policy-related balances |
|
|
||||||
Cash from operating activities—discontinued operations |
— |
|
||||||
Net cash from operating activities |
|
|
||||||
Cash flows from (used by) investing activities: |
||||||||
Proceeds from maturities and repayments of investments: |
||||||||
Fixed maturity securities |
|
|
||||||
Commercial mortgage loans |
|
|
||||||
Other invested assets |
|
|
||||||
Proceeds from sales of investments: |
||||||||
Fixed maturity and equity securities |
|
|
||||||
Purchases and originations of investments: |
||||||||
Fixed maturity and equity securities |
( |
) | ( |
) | ||||
Commercial mortgage loans |
( |
) | ( |
) | ||||
Other invested assets |
( |
) | ( |
) | ||||
Short-term investments, net |
|
|
||||||
Policy loans, net |
|
|
||||||
Cash used by investing activities—discontinued operations |
— |
( |
) | |||||
Net cash from (used by) investing activities |
( |
) | |
|||||
Cash flows used by financing activities: |
||||||||
Deposits to universal life and investment contracts |
|
|
||||||
Withdrawals from universal life and investment contracts |
( |
) | ( |
) | ||||
Redemption of non-recourse funding obligations |
( |
) | — |
|||||
Repayment and repurchase of long-term debt |
( |
) | — |
|||||
Repurchase of subsidiary shares |
— |
( |
) | |||||
Dividends paid to noncontrolling interests |
( |
) | ( |
) | ||||
Other, net |
|
|
||||||
Cash used by financing activities—discontinued operations |
— |
( |
) | |||||
Net cash used by financing activities |
( |
) | ( |
) | ||||
Effect of exchange rate changes on cash, cash equivalents and restricted cash (includes $ |
( |
) | |
|||||
Net change in cash, cash equivalents and restricted cash |
( |
) | |
|||||
Cash, cash equivalents and restricted cash at beginning of period |
|
|
||||||
Cash, cash equivalents and restricted cash at end of period |
|
|
||||||
Less cash, cash equivalents and restricted cash of discontinued operations at end of period |
— |
|
||||||
Cash, cash equivalents and restricted cash of continuing operations at end of period |
$ | |
$ | |
||||
• | U.S. Mortgage Insurance. |
• | Australia Mortgage Insurance. |
• | U.S. Life Insurance. |
• | Runoff. |
• | assumptions will no longer be locked-in at contract inception and all cash flow assumptions used to estimate the liability for future policy benefits (except the discount rate) will be reviewed at least annually in the same period each year or more frequently if actual experience indicates a change is required. Changes will be recorded in net income (loss) using a retrospective approach with a cumulative catch-up adjustment by recalculating the net premium ratio (which will be capped at 100%) using actual historical and updated future cash flow assumptions; |
• | the discount rate used to determine the liability for future policy benefits will be a current upper-medium grade (low credit risk) fixed-income instrument yield, which is generally interpreted to mean a single-A rated bond rate for the same duration, and is required to be reviewed quarterly, with changes in the discount rate recorded in other comprehensive income (loss); |
• | the provision for adverse deviation and the premium deficiency test will be eliminated; |
• | market risk benefits associated with deposit-type contracts will be measured at fair value with changes related to instrument-specific credit risk recorded in other comprehensive income (loss) and remaining changes recorded in net income (loss); |
• | the amortization method for DAC will generally be on a straight-line basis over the expected contract term; and |
• | disclosures will be greatly expanded to include significant assumptions and product liability rollforwards. |
Three months March 31, |
||||||||
(Amounts in millions, except per share amounts) |
2020 |
2019 |
||||||
Weighted-average shares used in basic earnings (loss) per share calculations |
|
|
||||||
Potentially dilutive securities: |
||||||||
Stock options, restricted stock units and stock appreciation rights |
|
|
||||||
Weighted-average shares used in diluted earnings (loss) per share calculations (1) |
|
|
||||||
Income (loss) from continuing operations: |
||||||||
Income (loss) from continuing operations |
$ | ( |
) | $ |
|
|||
Less: net income (loss) from continuing operations attributable to noncontrolling interests |
( |
) | |
|||||
Income (loss) from continuing operations available to Genworth Financial, Inc.’s common stockholders |
$ | ( |
) | $ | |
|||
Basic per share |
$ | ( |
) | $ | |
|||
Diluted per share |
$ | ( |
) | $ | |
|||
Income from discontinued operations: |
||||||||
Income from discontinued operations, net of taxes |
$ |
|
$ | |
||||
Less: net income from discontinued operations attributable to noncontrolling interests |
|
|
||||||
Income from discontinued operations available to Genworth Financial, Inc.’s common stockholders |
$ | |
$ | |
||||
Basic per share |
$ | |
$ | |
||||
Diluted per share |
$ | |
$ | |
||||
Net income (loss): |
||||||||
Income (loss) from continuing operations |
$ | ( |
) | $ | |
|||
Income from discontinued operations, net of taxes |
|
|
||||||
Net income (loss) |
( |
) | |
|||||
Less: net income (loss) attributable to noncontrolling interests |
( |
) | |
|||||
Net income (loss) available to Genworth Financial, Inc.’s common stockholders |
$ | ( |
) | $ | |
|||
Basic per share (2) |
$ | ( |
) | $ | |
|||
Diluted per share |
$ | ( |
) | $ | |
(1) |
Under applicable accounting guidance, companies in a loss position are required to use basic weighted-average common shares outstanding in the calculation of diluted loss per share. Therefore, as a result of our loss from continuing operations available to Genworth Financial, Inc.’s common stockholders for the three months ended March 31, 2020, we were required to use basic weighted-average common shares outstanding as the inclusion of shares for stock options, restricted stock units and stock appreciation rights of |
(2) |
May not total due to whole number calculation. |
Three months ended March 31, |
||||||||
(Amounts in millions) |
2020 |
2019 |
||||||
Fixed maturity securities—taxable |
$ | $ | ||||||
Fixed maturity securities—non-taxable |
||||||||
Equity securities |
||||||||
Commercial mortgage loans |
||||||||
Policy loans |
||||||||
Other invested assets |
||||||||
Cash, cash equivalents, restricted cash and short-term investments |
||||||||
Gross investment income before expenses and fees |
||||||||
Expenses and fees |
( |
) | ( |
) | ||||
Net investment income |
$ | $ | ||||||
Three months ended March 31, |
||||||||
(Amounts in millions) |
2020 |
2019 |
||||||
Available-for-sale fixed maturity securities: |
||||||||
Realized gains |
$ | $ | ||||||
Realized losses |
( |
) | ( |
) | ||||
Net realized gains (losses) on available-for-sale fixed maturity securities |
||||||||
Impairments: |
||||||||
Total other-than-temporary impairments |
||||||||
Portion of other-than-temporary impairments included in othercomprehensive income |
||||||||
Net other-than-temporary impairments |
||||||||
Net change in allowance for credit losses on available-for-sale fixed maturity |
||||||||
Net realized gains (losses) on equity securities sold |
||||||||
Net unrealized gains (losses) on equity securities still held |
( |
) | ||||||
Limited partnerships |
( |
) | ||||||
Commercial mortgage loans |
( |
) | ||||||
Derivative instruments (1) |
( |
) | ( |
) | ||||
Other |
( |
) | ||||||
Net investment gains (losses) |
$ | ( |
) | $ | ||||
(1) |
See note 5 for additional information on the impact of derivative instruments included in net investment gains (losses). |
(Amounts in millions) |
||||
Beginning balance |
$ | |||
Other-than-temporary impairments not previously recognized |
||||
Increases related to other-than-temporary impairments previously recognized |
||||
Reductions: |
||||
Securities sold, paid down or disposed |
( |
) | ||
Ending balance |
$ | |||
(Amounts in millions) |
March 31, 2020 |
December 31, 2019 |
||||||
Net unrealized gains (losses) on fixed maturity securities without an allowance for credit losses (1) |
$ |
$ |
||||||
Net unrealized gains (losses) on fixed maturity securities with an allowance for credit losses (1) |
||||||||
Adjustments to deferred acquisition costs, present value of future profits, sales inducements |
( |
) | ( |
) | ||||
Income taxes, net |
( |
) | ( |
) | ||||
Net unrealized investment gains (losses) |
||||||||
Less: net unrealized investment gains (losses) attributable to noncontrolling interests |
||||||||
Net unrealized investment gains (losses) attributable to Genworth Financial, Inc. |
$ |
$ |
||||||
(1) |
Excludes foreign exchange. |
(Amounts in millions) |
2020 |
2019 |
||||||
Beginning balance |
$ |
|
$ |
|
||||
Unrealized gains (losses) arising during the period: |
||||||||
Unrealized gains (losses) on fixed maturity securities |
( |
) | |
|||||
Adjustment to deferred acquisition costs |
|
( |
) | |||||
Adjustment to present value of future profits |
( |
) | ( |
) | ||||
Adjustment to sales inducements |
|
( |
) | |||||
Adjustment to benefit reserves |
|
( |
) | |||||
Provision for income taxes |
|
( |
) | |||||
Change in unrealized gains (losses) on investment securities |
( |
) | |
|||||
Reclassification adjustments to net investment (gains) losses, net of taxes of $ |
( |
) | ( |
) | ||||
Change in net unrealized investment gains (losses) |
( |
) | |
|||||
Less: change in net unrealized investment gains (losses) attributable to noncontrolling interests |
( |
) | |
|||||
Ending balance |
$ |
|
$ |
|
||||
(Amounts in millions) |
Amortized cost or cost |
Gross unrealized gains |
Gross unrealized losses |
Allowance for credit losses |
Fair value |
|||||||||||||||
Fixed maturity securities: |
||||||||||||||||||||
U.S. government, agencies and government-sponsored enterprises |
$ | |
$ | |
$ | |
$ | |
$ | |
||||||||||
State and political subdivisions |
|
|
( |
) | |
|
||||||||||||||
Non-U.S. government |
|
|
( |
) | |
|
||||||||||||||
U.S. corporate: |
||||||||||||||||||||
Utilities |
|
|
( |
) | |
|
||||||||||||||
Energy |
|
|
( |
) | |
|
||||||||||||||
Finance and insurance |
|
|
( |
) | |
|
||||||||||||||
Consumer—non-cyclical |
|
|
( |
) | |
|
||||||||||||||
Technology and communications |
|
|
( |
) | |
|
||||||||||||||
Industrial |
|
|
( |
) | |
|
||||||||||||||
Capital goods |
|
|
( |
) | |
|
||||||||||||||
Consumer—cyclical |
|
|
( |
) | |
|
||||||||||||||
Transportation |
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|
( |
) | |
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||||||||||||||
Other |
|
|
( |
) | |
|
||||||||||||||
Total U.S. corporate |
|
|
( |
) | |
|
||||||||||||||
Non-U.S. corporate: |
||||||||||||||||||||
Utilities |
|
|
( |
) | |
|
||||||||||||||
Energy |
|
|
( |
) | |
|
||||||||||||||
Finance and insurance |
|
|
( |
) | |
|
||||||||||||||
Consumer—non-cyclical |
|
|
( |
) | |
|
||||||||||||||
Technology and communications |
|
|
( |
) | |
|
||||||||||||||
Industrial |
|
|
( |
) | |
|
||||||||||||||
Capital goods |
|
|
( |
) | |
|
||||||||||||||
Consumer—cyclical |
|
|
( |
) | |
|
||||||||||||||
Transportation |
|
|
( |
) | |
|
||||||||||||||
Other |
|
|
( |
) | |
|
||||||||||||||
Total non-U.S. corporate |
|
|
( |
) | |
|
||||||||||||||
Residential mortgage-backed |
|
|
( |
) | |
|
||||||||||||||
Commercial mortgage-backed |
|
|
( |
) | |
|
||||||||||||||
Other asset-backed |
|
|
( |
) | |
|
||||||||||||||
Total available-for-sale fixed maturity securities |
$ | |
$ | |
$ | ( |
) | $ | |
$ |
|
|||||||||
Gross unrealized gains |
Gross unrealized losses |
|||||||||||||||||||||||
(Amounts in millions) |
Amortized cost or cost |
Not other-than- temporarily impaired |
Other-than- temporarily impaired |
Not other-than- temporarily impaired |
Other-than- temporarily impaired |
Fair value |
||||||||||||||||||
Fixed maturity securities: |
||||||||||||||||||||||||
U.S. government, agencies and government-sponsored enterprises |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
State and political subdivisions |
( |
) | ||||||||||||||||||||||
Non-U.S. government |
( |
) | ||||||||||||||||||||||
U.S. corporate: |
||||||||||||||||||||||||
Utilities |
||||||||||||||||||||||||
Energy |
( |
) | ||||||||||||||||||||||
Finance and insurance |
( |
) | ||||||||||||||||||||||
Consumer—non-cyclical |
( |
) | ||||||||||||||||||||||
Technology and communications |
( |
) | ||||||||||||||||||||||
Industrial |
||||||||||||||||||||||||
Capital goods |
( |
) | ||||||||||||||||||||||
Consumer—cyclical |
( |
) | ||||||||||||||||||||||
Transportation |
( |
) | ||||||||||||||||||||||
Other |
||||||||||||||||||||||||
Total U.S. corporate |
( |
) | ||||||||||||||||||||||
Non-U.S. corporate: |
||||||||||||||||||||||||
Utilities |
||||||||||||||||||||||||
Energy |
||||||||||||||||||||||||
Finance and insurance |
||||||||||||||||||||||||
Consumer—non-cyclical |
( |
) | ||||||||||||||||||||||
Technology and communications |
||||||||||||||||||||||||
Industrial |
||||||||||||||||||||||||
Capital goods |
||||||||||||||||||||||||
Consumer—cyclical |
||||||||||||||||||||||||
Transportation |
( |
) | ||||||||||||||||||||||
Other |
( |
) | ||||||||||||||||||||||
Total non-U.S. corporate |
( |
) | ||||||||||||||||||||||
Residential mortgage-backed |
( |
) | ||||||||||||||||||||||
Commercial mortgage-backed |
( |
) | ||||||||||||||||||||||
Other asset-backed |
( |
) | ||||||||||||||||||||||
Total available-for-sale fixed maturity securities |
$ | $ | $ | $ | ( |
) | $ | $ |
||||||||||||||||
Less than 12 months |
12 months or more |
Total |
||||||||||||||||||||||||||||||||||
(Dollar amounts in millions) |
Fair value |
Gross unrealized losses |
Number of securities |
Fair value |
Gross unrealized losses |
Number of securities |
Fair value |
Gross unrealized losses |
Number of securities |
|||||||||||||||||||||||||||
Description of Securities |
||||||||||||||||||||||||||||||||||||
Fixed maturity securities: |
||||||||||||||||||||||||||||||||||||
State and political subdivisions |
$ | $ | ( |
) | $ | $ | $ | $ | ( |
) |
||||||||||||||||||||||||||
Non-U.S. government |
( |
) | ( |
) |
||||||||||||||||||||||||||||||||
U.S. corporate |
( |
) | ( |
) |
( |
) |
||||||||||||||||||||||||||||||
Non-U.S. corporate |
( |
) | ( |
) |
( |
) |
||||||||||||||||||||||||||||||
Residential mortgage-backed |
( |
) | ( |
) |
( |
) |
||||||||||||||||||||||||||||||
Commercial mortgage-backed |
( |
) | ( |
) |
( |
) |
||||||||||||||||||||||||||||||
Other asset-backed |
( |
) | ( |
) |
( |
) |
||||||||||||||||||||||||||||||
Total for fixed maturity securities inan unrealized loss position |
$ | $ | ( |
) | $ | $ | ( |
) | $ | $ | ( |
) | ||||||||||||||||||||||||
% Below cost: |
||||||||||||||||||||||||||||||||||||
<20% Below cost |
$ | $ | ( |
) | $ | $ | ( |
) | $ | $ | ( |
) |
||||||||||||||||||||||||
20%-50% Below cost |
( |
) | ( |
) |
( |
) |
||||||||||||||||||||||||||||||
>50% Below cost |
( |
) | ( |
) |
( |
) |
||||||||||||||||||||||||||||||
Total for fixed maturity securities inan unrealized loss position |
$ | $ | ( |
) | $ | $ | ( |
) | $ | $ | ( |
) | ||||||||||||||||||||||||
Investment grade |
$ | $ | ( |
) | $ | $ | ( |
) | $ | $ | ( |
) |
||||||||||||||||||||||||
Below investment grade |
( |
) | ( |
) |
( |
) |
||||||||||||||||||||||||||||||
Total for fixed maturity securities inan unrealized loss position |
$ |
$ | ( |
) | $ | $ | ( |
) | $ |
$ | ( |
) | ||||||||||||||||||||||||
Less than 12 months |
12 months or more |
Total |
||||||||||||||||||||||||||||||||||
(Dollar amounts in millions) |
Fair value |
Gross unrealized losses |
Number of securities |
Fair value |
Gross unrealized losses |
Number of securities |
Fair value |
Gross unrealized losses |
Number of securities |
|||||||||||||||||||||||||||
Description of Securities |
||||||||||||||||||||||||||||||||||||
U.S. corporate: |
||||||||||||||||||||||||||||||||||||
Utilities |
$ | $ | ( |
) | $ | $ | $ | $ | ( |
) | ||||||||||||||||||||||||||
Energy |
( |
) | ( |
) | ( |
) | ||||||||||||||||||||||||||||||
Finance and insurance |
( |
) | ( |
) | ||||||||||||||||||||||||||||||||
Consumer—non- |
( |
) | ( |
) | ( |
) | ||||||||||||||||||||||||||||||
Technology andcommunications |
( |
) | ( |
) | ||||||||||||||||||||||||||||||||
Industrial |
( |
) | ( |
) | ||||||||||||||||||||||||||||||||
Capital goods |
( |
) | ( |
) | ( |
) | ||||||||||||||||||||||||||||||
Consumer—cyclical |
( |
) | ( |
) | ( |
) | ||||||||||||||||||||||||||||||
Transportation |
( |
) | ( |
) | ||||||||||||||||||||||||||||||||
Other |
( |
) | ( |
) | ||||||||||||||||||||||||||||||||
Subtotal, U.S. corporate |
( |
) | ( |
) | ( |
) | ||||||||||||||||||||||||||||||
Non-U.S. corporate: |
||||||||||||||||||||||||||||||||||||
Utilities |
( |
) | ( |
) | ||||||||||||||||||||||||||||||||
Energy |
( |
) | ( |
) | ||||||||||||||||||||||||||||||||
Finance and insurance |
( |
) | ( |
) | ||||||||||||||||||||||||||||||||
Consumer—non- |
( |
) | ( |
) | ( |
) | ||||||||||||||||||||||||||||||
Technology andcommunications |
( |
) | ( |
) | ||||||||||||||||||||||||||||||||
Industrial |
( |
) | ( |
) | ||||||||||||||||||||||||||||||||
Capital goods |
( |
) | ( |
) | ||||||||||||||||||||||||||||||||
Consumer—cyclical |
( |
) | ( |
) | ||||||||||||||||||||||||||||||||
Transportation |
( |
) | ( |
) | ( |
) | ||||||||||||||||||||||||||||||
Other |
( |
) | ( |
) | ( |
) | ||||||||||||||||||||||||||||||
Subtotal, non-U.S. corporate |
( |
) | ( |
) | ( |
) | ||||||||||||||||||||||||||||||
Total for corporate securities in anunrealized loss position |
$ |
$ | ( |
) | $ | $ | ( |
) | $ |
$ | ( |
) | ||||||||||||||||||||||||
Less than 12 months |
12 months or more |
Total |
||||||||||||||||||||||||||||||||||
(Dollar amounts in millions) |
Fair value |
Gross unrealized losses |
Number of securities |
Fair value |
Gross unrealized losses |
Number of securities |
Fair value |
Gross unrealized losses |
Number of securities |
|||||||||||||||||||||||||||
Description of Securities |
||||||||||||||||||||||||||||||||||||
Fixed maturity securities: |
||||||||||||||||||||||||||||||||||||
State and political subdivisions |
$ | $ | ( |
) | $ | $ | $ | $ | ( |
) |
||||||||||||||||||||||||||
Non-U.S. government |
( |
) | ( |
) |
||||||||||||||||||||||||||||||||
U.S. corporate |
( |
) | ( |
) |
( |
) |
||||||||||||||||||||||||||||||
Non-U.S. corporate |
( |
) | ( |
) |
( |
) |
||||||||||||||||||||||||||||||
Residential mortgage-backed |
( |
) | ( |
) |
||||||||||||||||||||||||||||||||
Commercial mortgage-backed |
( |
) | ( |
) |
( |
) |
||||||||||||||||||||||||||||||
Other asset-backed |
( |
) | ( |
) |
( |
) |
||||||||||||||||||||||||||||||
Total for fixed maturity securities in |
$ | $ | ( |
) | $ | $ | ( |
) | $ | $ | ( |
) | ||||||||||||||||||||||||
% Below cost: |
||||||||||||||||||||||||||||||||||||
<20% Below cost |
$ | $ | ( |
) | $ | $ | ( |
) | $ | $ | ( |
) | ||||||||||||||||||||||||
20%-50% Below cost |
( |
) |
( |
) |
||||||||||||||||||||||||||||||||
Total for fixed maturity securities in |
$ | $ | ( |
) | $ | $ | ( |
) | $ | $ | ( |
) | ||||||||||||||||||||||||
Investment grade |
$ | $ | ( |
) | $ | $ | ( |
) | $ | $ | ( |
) | ||||||||||||||||||||||||
Below investment grade |
( |
) | ( |
) |
( |
) |
||||||||||||||||||||||||||||||
Total for fixed maturity securities in |
$ | $ | ( |
) | $ | $ | ( |
) | $ | $ | ( |
) | ||||||||||||||||||||||||
Less than 12 months |
12 months or more |
Total |
||||||||||||||||||||||||||||||||||
(Dollar amounts in millions) |
Fair value |
Gross unrealized losses |
Number of securities |
Fair value |
Gross unrealized losses |
Number of securities |
Fair value |
Gross unrealized losses |
Number of securities |
|||||||||||||||||||||||||||
Description of Securities |
||||||||||||||||||||||||||||||||||||
U.S. corporate: |
||||||||||||||||||||||||||||||||||||
Energy |
$ | $ | ( |
) | $ | $ | ( |
) | $ | $ | ( |
) | ||||||||||||||||||||||||
Finance and insurance |
( |
) | ( |
) | ||||||||||||||||||||||||||||||||
Consumer—non-cyclical |
( |
) | ( |
) | ( |
) | ||||||||||||||||||||||||||||||
Technology and |
( |
) | ( |
) | ||||||||||||||||||||||||||||||||
Capital goods |
( |
) | ( |
) | ||||||||||||||||||||||||||||||||
Consumer—cyclical |
( |
) | ( |
) | ||||||||||||||||||||||||||||||||
Transportation |
( |
) | ( |
) | ||||||||||||||||||||||||||||||||
Subtotal, U.S. corporate |
( |
) | ( |
) | ( |
) | ||||||||||||||||||||||||||||||
Non-U.S. corporate: |
||||||||||||||||||||||||||||||||||||
Consumer—non-cyclical |
( |
) | ( |
) | ||||||||||||||||||||||||||||||||
Transportation |
( |
) | ( |
) | ||||||||||||||||||||||||||||||||
Other |
( |
) | ( |
) | ( |
) | ||||||||||||||||||||||||||||||
Subtotal, non-U.S. corporate |
( |
) | ( |
) | ( |
) | ||||||||||||||||||||||||||||||
Total for corporate securities in anunrealized loss position |
$ |
$ | ( |
) | $ |
$ | ( |
) | $ | $ | ( |
) | ||||||||||||||||||||||||
(Amounts in millions) |
Amortized cost or cost |
Fair value |
||||||
Due one year or less |
$ |
$ |
||||||
Due after one year through five years |
||||||||
Due after five years through ten years |
||||||||
Due after ten years |
||||||||
Subtotal |
||||||||
Residential mortgage-backed |
||||||||
Commercial mortgage-backed |
||||||||
Other asset-backed |
||||||||
Total |
$ |
$ |
||||||
March 31, 2020 |
December 31, 2019 |
|||||||||||||||
(Amounts in millions) |
Carrying value |
% of total |
Carrying value |
% of total |
||||||||||||
Property type: |
||||||||||||||||
Retail |
$ | % | $ | % | ||||||||||||
Industrial |
||||||||||||||||
Office |
||||||||||||||||
Apartments |
||||||||||||||||
Mixed use |
||||||||||||||||
Other |
||||||||||||||||
Subtotal |
% | % | ||||||||||||||
Unamortized balance of loan origination fees |
( |
) | ||||||||||||||
Allowance for credit losses |
( |
) | ( |
) | ||||||||||||
Total |
$ | $ | ||||||||||||||
March 31, 2020 |
December 31, 2019 |
|||||||||||||||
(Amounts in millions) |
Carrying value |
% of total |
Carrying value |
% of total |
||||||||||||
Geographic region: |
||||||||||||||||
South Atlantic |
$ | |
|
% | $ | |
|
% | ||||||||
Pacific |
|
|
|
|
||||||||||||
Middle Atlantic |
|
|
|
|
||||||||||||
Mountain |
|
|
|
|
||||||||||||
West North Central |
|
|
|
|
||||||||||||
East North Central |
|
|
|
|
||||||||||||
West South Central |
|
|
|
|
||||||||||||
New England |
|
|
|
|
||||||||||||
East South Central |
|
|
|
|
||||||||||||
Subtotal |
|
|
% | 6,980 |
|
% | ||||||||||
Unamortized balance of loan origination fees |
|
( |
) | |||||||||||||
Allowance for credit losses |
( |
) | ( |
) | ||||||||||||
Total |
$ | |
$ | |
||||||||||||
March 31, 2020 |
||||||||||||||||||||||||
(Amounts in millions) |
31 - 60 dayspast due |
61 - 90 days past due |
Greater than 90 days past due |
Total past due |
Current |
Total |
||||||||||||||||||
Property type: |
||||||||||||||||||||||||
Retail |
$ | |
$ | |
$ | |
$ | |
$ | |
$ | |
||||||||||||
Industrial |
|
|
|
|
|
|
||||||||||||||||||
Office |
|
|
|
|
|
|
||||||||||||||||||
Apartments |
|
|
|
|
|
|
||||||||||||||||||
Mixed use |
|
|
|
|
|
|
||||||||||||||||||
Other |
|
|
|
|
|
|
||||||||||||||||||
Total amortized cost |
$ | |
$ | |
$ | |
$ | |
$ |
|
$ |
|
||||||||||||
% of total commercial mortgage loans |
|
% | |
% | |
% | |
% | |
% | |
% | ||||||||||||
December 31, 2019 |
||||||||||||||||||||||||
(Amounts in millions) |
31 - 60 days past due |
61 - 90 days past due |
Greater than 90 days past due |
Total past due |
Current |
Total |
||||||||||||||||||
Property type: |
||||||||||||||||||||||||
Retail |
$ | |
$ | |
$ | |
$ | |
$ | |
$ | |
||||||||||||
Industrial |
|
|
|
|
|
|
||||||||||||||||||
Office |
|
|
|
|
|
|
||||||||||||||||||
Apartments |
|
|
|
|
|
|
||||||||||||||||||
Mixed use |
|
|
|
|
|
|
||||||||||||||||||
Other |
|
|
|
|
|
|
||||||||||||||||||
Total recorded investment |
$ | |
$ | |
$ | |
$ |
|
$ | |
$ | 6,980 |
||||||||||||
% of total commercial mortgage loans |
|
% | |
% | |
% | |
% | |
% | |
% | ||||||||||||
Three months ended March 31, |
||||||||
(Amounts in millions) |
2020 |
2019 |
||||||
Allowance for credit losses: |
||||||||
Beginning balance |
$ | |
$ | |
||||
Cumulative effect of change in accounting |
|
|
||||||
Provision |
|
|
||||||
Write-offs |
|
|
||||||
Recoveries |
|
|
||||||
Ending balance |
$ | |
$ | |
||||
March 31, 2020 |
||||||||||||||||||||||||
(Amounts in millions) |
0% - 50% |
51% - 60% |
61% - 75% |
76% - 100% |
Greater than 100% |
Total |
||||||||||||||||||
Property type: |
||||||||||||||||||||||||
Retail |
$ | |
$ | |
$ | |
$ | |
$ | |
$ | |
||||||||||||
Industrial |
|
|
|
|
|
|
||||||||||||||||||
Office |
|
|
|
|
|
|
||||||||||||||||||
Apartments |
|
|
|
|
|
|
||||||||||||||||||
Mixed use |
|
|
|
|
|
|
||||||||||||||||||
Other |
|
|
|
|
|
|
||||||||||||||||||
Total amortized cost |
$ | |
$ | |
$ | |
$ | |
$ | |
$ | |
||||||||||||
% of total |
|
% | |
% | |
% | |
% | |
% | |
% | ||||||||||||
Weighted-average debt service coverage ratio |
|
|
|
|
|
|
||||||||||||||||||
December 31, 2019 |
||||||||||||||||||||||||
(Amounts in millions) |
0% - 50% |
51% - 60% |
61% - 75% |
76% - 100% |
Greater than 100% |
Total |
||||||||||||||||||
Property type: |
||||||||||||||||||||||||
Retail |
$ | |
$ | |
$ | |
$ | |
$ | |
$ | |
||||||||||||
Industrial |
|
|
|
|
|
|
||||||||||||||||||
Office |
|
|
|
|
|
|
||||||||||||||||||
Apartments |
|
|
|
|
|
|
||||||||||||||||||
Mixed use |
|
|
|
|
|
|
||||||||||||||||||
Other |
|
|
|
|
|
|
||||||||||||||||||
Total recorded investment |
$ | |
$ | |
$ | |
$ | |
$ | |
$ | 6,980 |
||||||||||||
% of total |
|
% | |
% | |
% | |
% | |
% | |
% | ||||||||||||
Weighted-average debt service coverage ratio |
|
|
|
|
|
|
||||||||||||||||||
March 31, 2020 |
||||||||||||||||||||||||
(Amounts in millions) |
Less than 1.00 |
1.00 - 1.25 |
1.26 - 1.50 |
1.51 - 2.00 |
Greater than 2.00 |
Total |
||||||||||||||||||
Property type: |
||||||||||||||||||||||||
Retail |
$ | |
$ | |
$ | |
$ | |
$ | |
$ | |
||||||||||||
Industrial |
|
|
|
|
|
|
||||||||||||||||||
Office |
|
|
|
|
|
|
||||||||||||||||||
Apartments |
|
|
|
|
|
|
||||||||||||||||||
Mixed use |
|
|
|
|
|
|
||||||||||||||||||
Other |
|
|
|
|
|
|
||||||||||||||||||
Total amortized cost |
$ | |
$ | |
$ | |
$ | |
$ | |
$ | |
||||||||||||
% of total |
|
% | |
% | |
% | |
% | |
% | |
% | ||||||||||||
Weighted-average debt-to-value |
|
% | |
% | |
% | |
% | |
% | |
% | ||||||||||||
December 31, 2019 |
||||||||||||||||||||||||
(Amounts in millions) |
Less than 1.00 |
1.00 - 1.25 |
1.26 - 1.50 |
1.51 - 2.00 |
Greater than 2.00 |
Total |
||||||||||||||||||
Property type: |
||||||||||||||||||||||||
Retail |
$ | |
$ | |
$ | |
$ | |
$ | |
$ |
|
||||||||||||
Industrial |
|
|
|
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Office |
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Apartments |
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Mixed use |
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Other |
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|
||||||||||||||||||
Total recorded investment |
$ | |
$ | |
$ | |
$ | |
$ | |
$ | |
||||||||||||
% of total |
|
% | |
% | |
% | |
% | |
% | |
% | ||||||||||||
Weighted-average debt-to-value |
|
% | |
% | |
% | |
% | |
% | |
% | ||||||||||||
(Amounts in millions) |
2020 |
2019 |
2018 |
2017 |
2016 |
2015 and prior |
Total |
|||||||||||||||||||||
Debt-to-value: |
||||||||||||||||||||||||||||
0% - 50% |
$ | $ | $ | $ | $ | $ | $ | |||||||||||||||||||||
51% - 60% |
||||||||||||||||||||||||||||
61% - 75% |
||||||||||||||||||||||||||||
76% - 100% |
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Greater than 100% |
||||||||||||||||||||||||||||
Total amortized cost |
$ |
$ |
$ |
$ |
$ |
$ | $ |
|||||||||||||||||||||
Debt service coverage ratio: |
||||||||||||||||||||||||||||
Less than 1.00 |
$ | $ | $ | $ | $ | $ | $ | |||||||||||||||||||||
1.00 - 1.25 |
||||||||||||||||||||||||||||
1.26 - 1.50 |
||||||||||||||||||||||||||||
1.51 - 2.00 |
||||||||||||||||||||||||||||
Greater than 2.00 |
||||||||||||||||||||||||||||
Total amortized cost |
$ | $ | $ | $ | $ | $ | $ | |||||||||||||||||||||
Write-offs, gross |
$ | $ | $ | $ | $ | $ | $ | |||||||||||||||||||||
Recoveries |
||||||||||||||||||||||||||||
Write-offs, net |
$ | $ | $ | $ | $ | $ | $ | |||||||||||||||||||||
Derivative assets |
Derivative liabilities |
|||||||||||||||||||
Balance classification |
Fair value |
Balance classification |
Fair value |
|||||||||||||||||
(Amounts in millions) |
March 31, 2020 |
December 31, 2019 |
March 31, 2020 |
December 31, 2019 |
||||||||||||||||
Derivatives designated as |
||||||||||||||||||||
Cash flow hedges: |
||||||||||||||||||||
Interest rate swaps |
Other invested assets |
$ | $ | Other liabilities |
$ | $ | ||||||||||||||
Foreign currency swaps |
Other invested assets |
Other liabilities |
||||||||||||||||||
Total cash flow |
||||||||||||||||||||
Total derivatives |
||||||||||||||||||||
Derivatives not designated as |
||||||||||||||||||||
Equity index options |
Other invested assets |
Other liabilities |
||||||||||||||||||
Financial futures |
Other invested assets |
Other liabilities |
||||||||||||||||||
Other foreign currency |
Other invested assets |
Other liabilities |
||||||||||||||||||
GMWB embeddedderivatives |
Reinsurance (1) |
Policyholder account balances (2) |
||||||||||||||||||
Fixed index annuity embedded |
Other assets |
Policyholder (3) |
||||||||||||||||||
Indexed universal lifeembedded |
Reinsurance |
Policyholder account balances (4) |
||||||||||||||||||
Total derivatives not |
||||||||||||||||||||
Total derivatives |
$ | $ | $ | $ | ||||||||||||||||
(1) |
Represents embedded derivatives associated with the reinsured portion of our guaranteed minimum withdrawal benefits (“GMWB”) liabilities. |
(2) |
Represents the embedded derivatives associated with our GMWB liabilities, excluding the impact of reinsurance. |
(3) |
Represents the embedded derivatives associated with our fixed index annuity liabilities. |
(4) |
Represents the embedded derivatives associated with our indexed universal life liabilities. |
(Notional in millions) |
Measurement |
December 31, 2019 |
Additions |
Maturities/ terminations |
March 31, 2020 |
|||||||||||||||
Derivatives designated as hedges |
||||||||||||||||||||
Cash flow hedges: |
||||||||||||||||||||
Interest rate swaps |
Notional |
$ | $ | $ | ( |
) | $ | |||||||||||||
Foreign currency swaps |
Notional |
|||||||||||||||||||
Total cash flow hedges |
( |
) | ||||||||||||||||||
Total derivatives designated as hedges |
( |
) | ||||||||||||||||||
Derivatives not designated as hedges |
||||||||||||||||||||
Interest rate swaps |
Notional |
|||||||||||||||||||
Equity index options |
Notional |
( |
) | |||||||||||||||||
Financial futures |
Notional |
( |
) | |||||||||||||||||
Other foreign currency contracts |
Notional |
( |
) | |||||||||||||||||
Total derivatives not designated as hedges |
( |
) | ||||||||||||||||||
Total derivatives |
$ | $ | $ | ( |
) | $ | ||||||||||||||
(Number of policies) |
Measurement |
December 31, 2019 |
Additions |
Maturities/ terminations |
March 31, 2020 |
|||||||||||||||
Derivatives not designated as hedges |
||||||||||||||||||||
GMWB embedded derivatives |
Policies |
( |
) | |||||||||||||||||
Fixed index annuity embedded derivatives |
Policies |
( |
) | |||||||||||||||||
Indexed universal life embedded derivatives |
Policies |
( |
) |
(Amounts in millions) |
Gain (loss) recognized in OCI |
Gain (loss) reclassified into net income (loss) from OCI |
Classification of gain (loss) reclassified into net income (loss) |
Gain (loss) recognized in net income (loss) |
Classification of gain (loss) recognized in net income (loss) |
|||||||||||||||
Interest rate swaps hedging assets |
$ | $ | Net investment income |
$ | Net investment gains (losses) |
|||||||||||||||
Interest rate swaps hedging assets |
Net investment gains (losses) |
Net investment gains (losses) |
||||||||||||||||||
Interest rate swaps hedging liabilities |
( |
) | Interest expense |
Net investment gains (losses) |
||||||||||||||||
Foreign currency swaps |
Net investment income |
Net investment gains (losses) |
||||||||||||||||||
Total |
$ | $ | $ | |||||||||||||||||
(Amounts in millions) |
Gain (loss) recognized in OCI |
Gain (loss) reclassified into net income (loss) from OCI |
Classification of gain (loss) reclassified into net income (loss) |
Gain (loss) recognized in net income (loss) |
Classification of gain (loss) recognized in net income (loss) |
|||||||||||||||
Interest rate swaps hedging assets |
$ | $ | Net investment income |
$ | Net investment gains (losses) |
|||||||||||||||
Interest rate swaps hedging assets |
Net investment gains (losses) |
Net investment gains (losses) |
||||||||||||||||||
Interest rate swaps hedging liabilities |
( |
) | Interest expense |
Net investment gains (losses) |
||||||||||||||||
Foreign currency swaps |
( |
) | Net investment income |
Net investment gains (losses) |
||||||||||||||||
Forward currency swaps |
Net investment gains (losses) |
Net investment gains (losses) |
||||||||||||||||||
Total |
$ | $ | $ | |||||||||||||||||
Three months ended March 31, |
||||||||
(Amounts in millions) |
2020 |
2019 |
||||||
Derivatives qualifying as effective accounting hedges as of January 1 |
$ | |
$ | |
||||
Current period increases (decreases) in fair value, net of deferred taxes of $( |
|
|
||||||
Reclassification to net (income) loss, net of deferred taxes of $ |
( |
) | ( |
) | ||||
Derivatives qualifying as effective accounting hedges as of March 31 |
$ | |
$ | |
||||
|
Three months ended March 31, |
Classification of gain (loss) recognized in net income (loss) |
||||||||||
(Amounts in millions) |
2020 |
2019 |
||||||||||
Interest rate swaps |
$ | ( |
) | $ | ( |
) | Net investment gains (losses) |
|||||
Equity index options |
( |
) | |
Net investment gains (losses) |
||||||||
Financial futures |
|
( |
) | Net investment gains (losses) |
||||||||
Other foreign currency contracts |
( |
) | |
Net investment gains (losses) |
||||||||
GMWB embedded derivatives |
( |
) | |
Net investment gains (losses) |
||||||||
Fixed index annuity embedded derivatives |
|
( |
) | Net investment gains (losses) |
||||||||
Indexed universal life embedded derivatives |
|
|
Net investment gains (losses) |
|||||||||
Total derivatives not designated as hedges |
$ |
( |
) | $ |
( |
) | ||||||
March 31, 2020 |
December 31, 2019 |
|||||||||||||||||||||||
(Amounts in millions) |
Derivative assets (1) |
Derivative liabilities (2) |
Net derivatives |
Derivative assets (1) |
Derivative liabilities (2) |
Net derivatives |
||||||||||||||||||
Amounts presented in the balance sheet: |
||||||||||||||||||||||||
Gross amounts recognized |
$ | |
$ | |
$ | |
$ | |
$ | |
$ | |
||||||||||||
Gross amounts offset in the balance sheet |
|
|
|
|
|
|
||||||||||||||||||
Net amounts presented in the balance sheet |
|
|
|
|
|
|
||||||||||||||||||
Gross amounts not offset in the balance sheet: |
||||||||||||||||||||||||
Financial instruments (3) |
|
|
|
( |
) |
( |
) |
|
||||||||||||||||
Collateral received |
( |
) |
|
( |
) | ( |
) |
|
( |
) | ||||||||||||||
Collateral pledged |
|
( |
) |
|
|
( |
) |
|
||||||||||||||||
Over collateralization |
|
|
( |
) | |
|
( |
) | ||||||||||||||||
Net amount |
$ | |
$ | |
$ | |
$ | |
$ | |
$ | |
||||||||||||
(1) |
Included $ |
(2) |
Does not include amounts related to embedded derivatives as of March 31, 2020 and December 31, 2019. |
(3) |
Amounts represent derivative assets and/or liabilities that are presented gross within the balance sheet but are held with the same counterparty where we have a master netting arrangement. This adjustment results in presenting the net asset and net liability position for each counterparty. |
• | Third-party pricing services: |
and type of inputs used may change frequently as certain inputs may be more direct drivers of valuation at the time of pricing. Examples of significant inputs incorporated by third-party pricing services may include sector and issuer spreads, seasoning, capital structure, security optionality, collateral data, prepayment assumptions, default assumptions, delinquencies, debt covenants, benchmark yields, trade data, dealer quotes, credit ratings, maturity and weighted-average life. We conduct regular meetings with our third-party pricing services for the purpose of understanding the methodologies, techniques and inputs used by the third-party pricing providers. |
(Amounts in millions) |
Fair value |
|
|
|||||||||
U.S. government, agencies and government-sponsored enterprises |
$ |
|
|
|
||||||||
State and political subdivisions |
$ |
|
|
|
||||||||
Non-U.S. gov ernment |
$ |
|
|
|
||||||||
U.S. corporate |
$ |
|
based models |
|
||||||||
Non-U.S. corporate |
$ |
|
|
|
||||||||
Residential m o rtgage-backed |
$ |
|
|
|
||||||||
Commercial mortgage-backed |
$ |
|
|
|
||||||||
Other asset-backed |
$ |
|
|
|
• |
Internal models: non-U.S. government, U.S. corporate and non-U.S. corporate securities are valued using internal models. The fair value of these fixed maturity securities was $ |
• | Broker quotes: non-U.S. government, U.S. corporate, non-U.S. corporate, residential mortgage-backed and other asset-backed securities are valued using broker quotes. Broker quotes are obtained from third-party providers that have current market knowledge to provide a reasonable price for securities not routinely priced by third-party pricing services. Brokers utilized for valuation of assets are reviewed annually. The fair value of our Level 3 fixed maturity securities priced by broker quotes was $ |
• | Internal models: non-U.S. corporate, residential mortgage-backed and other asset-backed securities are valued using internal models. The primary inputs to the valuation of the bond population include quoted prices for identical assets, or similar assets in markets that are not active, contractual cash flows, duration, call provisions, issuer rating, benchmark yields and credit spreads. Certain private fixed maturity securities are valued using an internal model using market observable inputs such as the interest rate yield curve, as well as published credit spreads for similar securities, which includes significant unobservable inputs. Additionally, we may apply certain price caps and liquidity premiums in the valuation of private fixed maturity securities. Price caps are established using inputs from market participants. For structured securities, the primary inputs to the valuation include quoted prices for identical assets, or similar assets in markets that are not active, contractual cash flows, weighted-average coupon, weighted-average maturity, issuer rating, structure of the security, expected prepayment speeds and volumes, collateral type, current and forecasted loss severity, average delinquency rates, vintage of the loans, |
geographic region, debt service coverage ratios, payment priority with the tranche, benchmark yields and credit spreads. The fair value of our Level 3 fixed maturity securities priced using internal models was $ |
March 31, 2020 |
||||||||||||||||||||
(Amounts in millions) |
Total |
Level 1 |
Level 2 |
Level 3 |
NAV (1) |
|||||||||||||||
Assets |
||||||||||||||||||||
Investments: |
||||||||||||||||||||
Fixed maturity securities: |
||||||||||||||||||||
U.S. government, agencies and government-sponsored enterprises |
$ | |
$ | |
$ | |
$ | |
$ | |
||||||||||
State and political subdivisions |
|
|
|
|
|
|||||||||||||||
Non-U.S. government |
|
|
|
|
|
|||||||||||||||
U.S. corporate: |
||||||||||||||||||||
Utilities |
|
|
|
|
|
|||||||||||||||
Energy |
|
|
|
|
|
|||||||||||||||
Finance and insurance |
|
|
|
|
|
|||||||||||||||
Consumer—non-cyclical |
|
|
|
|
|
|||||||||||||||
Technology and communications |
|
|
|
|
|
|||||||||||||||
Industrial |
|
|
|
|
|
|||||||||||||||
Capital goods |
|
|
|
|
|
|||||||||||||||
Consumer—cyclical |
|
|
|
|
|
|||||||||||||||
Transportation |
|
|
|
|
|
|||||||||||||||
Other |
|
|
|
|
|
|||||||||||||||
Total U.S. corporate |
|
|
|
|
|
|||||||||||||||
Non-U.S. corporate: |
||||||||||||||||||||
Utilities |
|
|
|
|
|
|||||||||||||||
Energy |
|
|
|
|
|
|||||||||||||||
Finance and insurance |
|
|
|
|
|
|||||||||||||||
Consumer—non-cyclical |
|
|
|
|
|
|||||||||||||||
Technology and communications |
|
|
|
|
|
|||||||||||||||
Industrial |
|
|
|
|
|
|||||||||||||||
Capital goods |
|
|
|
|
|
|||||||||||||||
Consumer—cyclical |
|
|
|
|
|
|||||||||||||||
Transportation |
|
|
|
|
|
|||||||||||||||
Other |
|
|
|
|
|
|||||||||||||||
Total non-U.S. corporate |
|
|
|
|
|
|||||||||||||||
Residential mortgage-backed |
|
|
|
|
|
|||||||||||||||
Commercial mortgage-backed |
|
|
|
|
|
|||||||||||||||
Other asset-backed |
|
|
|
|
|
|||||||||||||||
Total fixed maturity securities |
|
|
|
|
|
|||||||||||||||
Equity securities |
|
|
|
|
|
|||||||||||||||
Other invested assets: |
||||||||||||||||||||
Derivative assets: |
||||||||||||||||||||
Interest rate swaps |
|
|
|
|
|
|||||||||||||||