77 / 188
Evaluating the underlying risks in our credit portfolio involves a multitude of factors including but not limited to our
assessment of the issuer's or borrower's business activities, assets, products, market position, financial condition, and
future prospects. We incorporate the assessment of the NRSROs in assigning credit ratings and we incorporate the rating
methodologies of our specialist external managers in assigning loan ratings to portfolio holdings. We perform extensive
internal assessments of the credit risks for all our portfolio holdings and potential new investments, which includes using
analyses provided by our specialist external managers. For assets managed by external asset managers, we provide
investment and credit risk parameters that must be used when making investment decisions and require ongoing
monitoring and reporting from the asset managers on significant changes in credit risks within the portfolio.
Investment Concentrations
Our 15 largest global investment exposures as of December 31, 2016, were as follows:
Largest Global Investment Positions
Amortized % of
Ratings
(In millions)
Cost
Total
Seniority Moody’s S&P Fitch
Japan National Government
(1)
$ 42,931 42.41%
Senior
A1
A+
A
Japan Housing Finance Agency
933
.92
Senior
— AAA —
Republic of South Africa
515
.51
Senior
Baa2
BBB-
BBB-
Bank of America NA
386
.38
Bank of America Corp.
215
.21 Senior
Baa1 BBB+
A
Bank of America Corp.
171
.17 Lower Tier II
Baa3
BBB A-
Bank of Tokyo-Mitsubishi UFJ Ltd.
386
.38
BTMU Curacao Holdings NV
386
.38 Lower Tier II
A2
— A-
Investcorp SA
368
.36
Investcorp Capital Limited
318
.31 Senior
Ba2
— BB
Investcorp Capital Limited
50
.05 Senior
Ba2
— —
JP Morgan Chase & Co.
336
.33
JPMorgan Chase & Co. (including Bear Stearns Companies Inc.)
302
.30 Senior
A3
A-
A+
JPMorgan Chase & Co. (Bank One Corp.)
17
.02 Lower Tier II
Baa1 BBB+
A
JPMorgan Chase & Co. (NBD Bank)
11
.01 Lower Tier II
A1
A-
A
JPMorgan Chase & Co. (FNBC)
6
.00 Senior
Aa1
A+
—
Banobras
318
.31
Senior
A3
BBB+ BBB+
Sultanate of Oman
300
.30
Senior
Baa1
BBB-
—
Nordea Bank AB
289
.29
Nordea Bank AB
221
.22 Tier I
Baa3
BBB —
Nordea Bank Finland
68
.07 Upper Tier II
Baa2
— —
Petroleos Mexicanos (Pemex)
283
.28
Pemex Proj FDG Master TR
258
.25 Senior
Baa3 BBB+ BBB+
Pemex Finance Ltd.
25
.03 Senior
Baa3
A
A+
AXA
282
.28
AXA-UAP
231
.23 Upper Tier II
A3
BBB+ BBB
AXA
51
.05 CC FNB
A3
BBB+ BBB+
Deutsche Telekom AG
279
.28
Deutsche Telekom AG
258
.26 Senior
Baa1 BBB+ BBB+
Deutsche Telekom International Finance
21
.02 Senior
Baa1 BBB+ BBB+
CFE
275
.27
Senior
Baa1 BBB+ BBB+
Barclays Bank PLC
271
.27
Barclays Bank PLC
119
.12 Lower Tier II
Baa3
BBB-
A-
Barclays Bank PLC
106
.10 Upper Tier II
Ba1
BB BBB
Barclays Bank PLC
39
.04 Tier I
Ba2
BB BB+
Barclay's Bank PLC
7
.01 Tier I
Ba2
BB BB+
Subtotal
$ 48,152 47.57%
Total debt and perpetual securities
$ 101,219 100.00%
(1)
JGBs or JGB-backed securities
75