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Fair Value Measurements (Tables)
12 Months Ended
Dec. 31, 2020
Fair Value Disclosures [Abstract]  
Financial Assets and Financial Liabilities Carried at Fair Value
The following table provides information as of December 31, 2020 and December 31, 2019 about the Company’s financial assets and liabilities carried at fair value. As a result of the U.S. Group Disability and Life business divestiture, debt securities with a fair value of $7.8 billion, primarily classified in Level 2 of the fair value hierarchy, were transferred to New York Life on December 31, 2020. See Note 5 for further information. Separate account assets are also recorded at fair value on the Company’s Consolidated Balance Sheets and are reported separately in the Separate Accounts section below as gains and losses related to these assets generally accrue directly to policyholders.
(In millions)Quoted Prices in Active Markets for Identical Assets
(Level 1)
Significant Other Observable Inputs
(Level 2)
Significant Unobservable Inputs
(Level 3)
Total
As of December 31, 2020As of December 31, 2019As of December 31, 2020As of December 31, 2019As of December 31, 2020As of December 31, 2019As of December 31, 2020As of December 31, 2019
Financial assets at fair value
Debt securities
Federal government and agency$207 $197 $249 $536 $ $— $456 $733 
State and local government — 167 810  — 167 810 
Foreign government — 2,498 2,228 13 28 2,511 2,256 
Corporate
 — 13,878 19,063 684 357 14,562 19,420 
Mortgage and other asset-backed — 309 398 126 138 435 536 
Total debt securities207 197 17,101 23,035 823 523 18,131 23,755 
Equity securities (1)
50 165 72 31 32 246 111 
Short-term investments — 325 423  — 325 423 
Derivative assets (3)
 — 72 83  — 72 83 
Real estate funds priced at NAV as a practical expedient (2)
156 184 
Financial liabilities at fair value
Derivative liabilities$ $— $108 $18 $ $— $108 $18 
(1)Excludes certain equity securities that have no readily determinable fair value.
(2)As a practical expedient, certain real estate funds are carried at fair value based on the Company’s ownership share of the equity of the investee (Net Asset Value (“NAV”)) including changes in the fair value of its underlying investments. The Company has $50 million in unfunded commitments in these funds as of December 31, 2020.
(3)Derivative assets above include $34 million that are presented in the Short-term investments category in Note 11. See Note 11 for more information on our accounting for Derivative Financial Instruments.
Fair Value and Significant Unobservable Inputs Used in Pricing Debt Securities
The following table summarizes the fair value and significant unobservable inputs used in pricing the following debt securities that were developed directly by the Company as of December 31, 2020 and 2019. The range and weighted average basis point (“bps”) amounts for liquidity and credit spreads (adjustment to discount rates) reflect the Company’s best estimates of the unobservable adjustments a market participant would make to calculate these fair values. These liquidity and credit spreads have increased over the reported periods, resulting from continued uncertainty over the economic impacts related to COVID-19.
Corporate and government debt securities. The significant unobservable input used to value the following corporate and government debt securities is an adjustment for liquidity. This adjustment is needed to reflect current market conditions and issuer circumstances when there is limited trading activity for the security.
Mortgage and other asset-backed securities. The significant unobservable inputs used to value the following mortgage and other asset-backed securities are liquidity and weighting of credit spreads. An adjustment for liquidity is made as of the measurement date that considers current market conditions, issuer circumstances and complexity of the security structure when there is limited trading activity for the security. An adjustment to weight credit spreads is needed to value a more complex bond structure with multiple underlying collateral and no standard market valuation technique. The weighting of credit spreads is primarily based on the underlying collateral’s characteristics and their proportional cash flows supporting the bond obligations.
Fair Value as ofUnobservable Adjustment Range (Weighted Average by Quantity) as of
(Fair value in millions )December 31, 2020December 31, 2019Unobservable input December 31, 2020December 31, 2020December 31, 2019
Debt securities
Corporate and government debt securities$696 $385 Liquidity
60 - 1370 (470)
bps
70 - 930 (280)
bps
Mortgage and other asset-backed securities126 138 Liquidity
60 - 380 (80)
bps
60 - 370 (70)
bps
Weighting of credit spreads
300 - 670 (480)
bps
240 - 460 (330)
bps
Securities not priced by the Company (1)
1 — 
Total Level 3 debt securities$823 $523 
(1)The fair values for these securities use single, unadjusted non-binding broker quotes not developed directly by the Company.
Changes in Level 3 Financial Assets and Financial Liabilities Carried at Fair Value
The following tables summarize the changes in financial assets and financial liabilities classified in Level 3 for the years ended December 31, 2020 and 2019. Gains and losses reported in these tables may include net changes in fair value that are attributable to both observable and unobservable inputs.
(In millions)20202019
Balance at beginning of period$555 $410 
Total gains (losses) included in shareholders’ net income(7)(8)
Gains (losses) included in other comprehensive income(12)22 
Gains (losses) required to adjust future policy benefits for settlement annuities (1)
7 
Purchases, sales and settlements
Purchases107 72 
Sales (2)
(121)— 
Settlements(89)(19)
Total purchases, sales and settlements$(103)$53 
Transfers into/(out of) Level 3
Transfers into Level 3774 170 
Transfers out of Level 3(360)(94)
Total transfers into/(out of) Level 3$414 $76 
Balance at December 31,
$854 $555 
Total gains (losses) included in shareholders’ net income attributable to instruments held at the reporting date$(17)$(8)
Change in unrealized gains or losses included in other comprehensive income for assets held at the end of the reporting period$(6)N/A
(1)Amounts do not accrue to shareholders.
(2)Sales in 2020 include $108 million of Level 3 debt securities transferred to New York Life Insurance Company on December 31, 2020 as part of the U.S. Group Disability and Life business divestiture. See Note 5 for further details.
Fair Values of Separate Account Assets
Fair values of separate account assets at December 31 were as follows:
(In millions)Quoted Prices in Active Markets for Identical Assets
(Level 1)
Significant Other Observable Inputs
(Level 2)
Significant Unobservable Inputs
(Level 3)
Total
20202019202020192020201920202019
Guaranteed separate accounts (See Note 21)
$226 $219 $297 $271 $ $— $523 $490 
Non-guaranteed separate accounts (1)
1,925 1,450 5,600 5,522 355 263 7,880 7,235 
Subtotal$2,151 $1,669 $5,897 $5,793 $355 $263 8,403 7,725 
Non-guaranteed separate accounts priced at NAV as a practical expedient (1)
683 756 
Total8,481 
Separate account assets of business classified as held for sale(16)
Separate account assets per Consolidated Balance Sheets$9,086 $8,465 
(1)Non-guaranteed separate accounts included $4.2 billion as of December 31, 2020 and $4.0 billion as of December 31, 2019 in assets supporting the Company’s pension plans, including $0.3 billion classified in Level 3 as of December 31, 2020 and $0.2 billion classified in Level 3 as of December 31, 2019.
Additional Information on Separate Account Assets Priced at NAV The following table provides additional information on these investments.
Fair Value as ofUnfunded Commitment as of December 31, 2020Redemption Frequency
(if currently eligible)
Redemption Notice
Period
(In millions)December 31, 2020December 31, 2019
Securities partnerships$463 $531 $272 Not applicableNot applicable
Real estate funds215 220  Quarterly
30 - 90 days
Hedge funds5  Up to annually, varying by fund
30 - 90 days
Total$683 $756 $272 
Fair Value Disclosures for Financial Instruments Not Carried at Fair Value
The following table includes the Company’s financial instruments not recorded at fair value that are subject to fair value disclosure requirements at December 31, 2020 and 2019. In addition to universal life products and finance leases, financial instruments that are carried in the Company’s Consolidated Financial Statements at amounts that approximate fair value are excluded from the following table.
December 31, 2020December 31, 2019
(In millions)Classification in Fair Value HierarchyFair ValueCarrying ValueFair ValueCarrying Value
Commercial mortgage loansLevel 3$1,456 $1,419 $1,989 $1,947 
Long-term debt, including current maturities, excluding finance leasesLevel 2$37,676 $31,835 $39,439 $36,375