XML 37 R25.htm IDEA: XBRL DOCUMENT

FAIR VALUE MEASUREMENTS (Tables)

6 Months Ended

Jun. 30, 2019

Fair Value Hierarchy, Assets and Liabilities Measured on Recurring Basis

The following tables present the fair value hierarchy levels of the Company's assets and liabilities that are measured and carried at fair value on a recurring basis.



	June 30, 2019
(In millions)	Quoted Prices in Active Markets for Identical Assets (Level 1)			Significant Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)			Total Fair Value
Assets:
Securities available for sale, carried at fair value:
Fixed maturity securities:
Government and agencies		$	36,573		$	1,587		$	0		$	38,160
Municipalities		0			1,975			0			1,975
Mortgage- and asset-backed securities		0			233			183			416
Public utilities		0			6,601			204			6,805
Sovereign and supranational		0			1,152			0			1,152
Banks/financial institutions		0			10,128			24			10,152
Other corporate		0			33,576			199			33,775
Total fixed maturity securities		36,573			55,252			610			92,435
Equity securities		949			73			65			1,087
Other investments		677			0			0			677
Cash and cash equivalents		3,019			0			0			3,019
Other assets:
Foreign currency swaps		0			88			201			289
Foreign currency forwards		0			222			0			222
Interest rate swaps		0			15			0			15
Total other assets		0			325			201			526
Total assets		$	41,218		$	55,650		$	876		$	97,744
Liabilities:
Other liabilities:
Foreign currency swaps		$	0		$	107		$	107		$	214
Foreign currency forwards		0			128			0			128
Foreign currency options		0			2			0			2
Interest rate swaptions		0			3			0			3
Total liabilities		$	0		$	240		$	107		$	347



	December 31, 2018
(In millions)	Quoted Prices in Active Markets for Identical Assets (Level 1)			Significant Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)			Total Fair Value
Assets:
Securities available for sale, carried at fair value:
Fixed maturity securities:
Government and agencies		$	32,993		$	1,349		$	0		$	34,342
Municipalities		0			1,863			0			1,863
Mortgage- and asset-backed securities		0			162			177			339
Public utilities		0			7,062			109			7,171
Sovereign and supranational		0			1,260			0			1,260
Banks/financial institutions		0			8,895			23			8,918
Other corporate		0			28,789			213			29,002
Total fixed maturity securities		32,993			49,380			522			82,895
Equity securities		874			67			46			987
Other investments		152			0			0			152
Cash and cash equivalents		4,337			0			0			4,337
Other assets:
Foreign currency swaps		0			103			182			285
Foreign currency forwards		0			126			0			126
Foreign currency options		0			3			0			3
Interest rate swaps		0			3			0			3
Total other assets		0			235			182			417
Total assets		$	38,356		$	49,682		$	750		$	88,788
Liabilities:
Other liabilities:
Foreign currency swaps		$	0		$	132		$	102		$	234
Foreign currency forwards		0			151			0			151
Foreign currency options		0			1			0			1
Interest rate swaptions		0			1			0			1
Total liabilities		$	0		$	285		$	102		$	387

Fair Value Hierarchy Levels of Assets and Liabilities Carried at Cost or Amortized Cost

The following tables present the carrying amount and fair value categorized by fair value hierarchy level for the Company's financial instruments that are not carried at fair value.



	June 30, 2019
(In millions)	Carrying Value			Quoted Prices in Active Markets for Identical Assets (Level 1)			Significant Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)			Total Fair Value
Assets:
Securities held to maturity, carried at amortized cost:
Fixed maturity securities:
Government and agencies		$	22,611		$	28,852		$	365		$	0		$	29,217
Municipalities		836			0			1,110			0			1,110
Mortgage and asset-backed securities		19			0			7			13			20
Public utilities		2,762			0			3,148			0			3,148
Sovereign and supranational		1,188			0			1,380			0			1,380
Banks/financial institutions		978			0			1,076			0			1,076
Other corporate		2,613			0			3,084			0			3,084
Commercial mortgage and other loans		7,622			0			0			7,663			7,663
Other investments ⁽¹⁾		33			0			33			0			33
Total assets		$	38,662		$	28,852		$	10,203		$	7,676		$	46,731
Liabilities:
Other policyholders’ funds		$	7,403		$	0		$	0		$	7,320		$	7,320
Notes payable (excluding leases)		6,098			0			5,763			278			6,041
Total liabilities		$	13,501		$	0		$	5,763		$	7,598		$	13,361

⁽¹⁾ Excludes policy loans of $246 and equity method investments of $471, at carrying value



	December 31, 2018
(In millions)	Carrying Value			Quoted Prices in Active Markets for Identical Assets (Level 1)			Significant Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)			Total Fair Value
Assets:
Securities held to maturity, carried at amortized cost:
Fixed maturity securities:
Government and agencies		$	21,712		$	27,030		$	8		$	0		$	27,038
Municipalities		359			0			469			0			469
Mortgage and asset-backed securities		14			0			0			15			15
Public utilities		2,727			0			2,973			0			2,973
Sovereign and supranational		1,551			0			1,840			0			1,840
Banks/financial institutions		1,445			0			1,583			0			1,583
Other corporate		2,510			0			2,804			0			2,804
Commercial mortgage and other loans		6,919			0			0			6,893			6,893
Other investments ⁽¹⁾		26			0			26			0			26
Total assets		$	37,263		$	27,030		$	9,703		$	6,908		$	43,641
Liabilities:
Other policyholders’ funds		$	7,146		$	0		$	0		$	7,067		$	7,067
Notes payable (excluding leases)		5,765			0			5,606			270			5,876
Total liabilities		$	12,911		$	0		$	5,606		$	7,337		$	12,943

⁽¹⁾ Excludes policy loans of $232 and equity method investments of $377, at carrying value

Fair Value Assets Securities Carried At Fair Value Primary Pricing Sources



	December 31, 2018
(In millions)	Quoted Prices in Active Markets for Identical Assets (Level 1)			Significant Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)			Total Fair Value
Securities available for sale, carried at fair value:
Fixed maturity securities:
Government and agencies:
Third party pricing vendor		$	32,993		$	1,349		$	0		$	34,342
Total government and agencies		32,993			1,349			0			34,342
Municipalities:
Third party pricing vendor		0			1,863			0			1,863
Total municipalities		0			1,863			0			1,863
Mortgage- and asset-backed securities:
Third party pricing vendor		0			162			0			162
Broker/other		0			0			177			177
Total mortgage- and asset-backed securities		0			162			177			339
Public utilities:
Third party pricing vendor		0			7,062			0			7,062
Broker/other		0			0			109			109
Total public utilities		0			7,062			109			7,171
Sovereign and supranational:
Third party pricing vendor		0			1,260			0			1,260
Total sovereign and supranational		0			1,260			0			1,260
Banks/financial institutions:
Third party pricing vendor		0			8,895			0			8,895
Broker/other		0			0			23			23
Total banks/financial institutions		0			8,895			23			8,918
Other corporate:
Third party pricing vendor		0			28,789			0			28,789
Broker/other		0			0			213			213
Total other corporate		0			28,789			213			29,002
Total securities available for sale		$	32,993		$	49,380		$	522		$	82,895
Equity securities, carried at fair value:
Third party pricing vendor		$	874		$	67		$	0		$	941
Broker/other		0			0			46			46
Total equity securities		$	874		$	67		$	46		$	987

The following tables present the pricing sources for the fair values of the Company's fixed maturity and equity securities.



	June 30, 2019
(In millions)	Quoted Prices in Active Markets for Identical Assets (Level 1)			Significant Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)			Total Fair Value
Securities available for sale, carried at fair value:
Fixed maturity securities:
Government and agencies:
Third party pricing vendor		$	36,573		$	1,587		$	0		$	38,160
Total government and agencies		36,573			1,587			0			38,160
Municipalities:
Third party pricing vendor		0			1,975			0			1,975
Total municipalities		0			1,975			0			1,975
Mortgage- and asset-backed securities:
Third party pricing vendor		0			233			0			233
Broker/other		0			0			183			183
Total mortgage- and asset-backed securities		0			233			183			416
Public utilities:
Third party pricing vendor		0			6,601			0			6,601
Broker/other		0			0			204			204
Total public utilities		0			6,601			204			6,805
Sovereign and supranational:
Third party pricing vendor		0			1,152			0			1,152
Total sovereign and supranational		0			1,152			0			1,152
Banks/financial institutions:
Third party pricing vendor		0			9,970			0			9,970
Broker/other		0			158			24			182
Total banks/financial institutions		0			10,128			24			10,152
Other corporate:
Third party pricing vendor		0			33,576			0			33,576
Broker/other		0			0			199			199
Total other corporate		0			33,576			199			33,775
Total securities available for sale		$	36,573		$	55,252		$	610		$	92,435
Equity securities, carried at fair value:
Third party pricing vendor		$	949		$	73		$	0		$	1,022
Broker/other		0			0			65			65
Total equity securities		$	949		$	73		$	65		$	1,087

Fair Value Assets Held-To-Maturity Securities Primary Pricing Sources



	June 30, 2019
(In millions)	Quoted Prices in Active Markets for Identical Assets (Level 1)			Significant Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)			Total Fair Value
Securities held to maturity, carried at amortized cost:
Fixed maturity securities:
Government and agencies:
Third party pricing vendor		$	28,852		$	365		$	0		$	29,217
Total government and agencies		28,852			365			0			29,217
Municipalities:
Third party pricing vendor		0			1,110			0			1,110
Total municipalities		0			1,110			0			1,110
Mortgage- and asset-backed securities:
Third party pricing vendor		0			7			0			7
Broker/other		0			0			13			13
Total mortgage- and asset-backed securities		0			7			13			20
Public utilities:
Third party pricing vendor		0			3,148			0			3,148
Total public utilities		0			3,148			0			3,148
Sovereign and supranational:
Third party pricing vendor		0			1,380			0			1,380
Total sovereign and supranational		0			1,380			0			1,380
Banks/financial institutions:
Third party pricing vendor		0			1,076			0			1,076
Total banks/financial institutions		0			1,076			0			1,076
Other corporate:
Third party pricing vendor		0			3,084			0			3,084
Total other corporate		0			3,084			0			3,084
Total securities held to maturity		$	28,852		$	10,170		$	13		$	39,035



	December 31, 2018
(In millions)	Quoted Prices in Active Markets for Identical Assets (Level 1)			Significant Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)			Total Fair Value
Securities held to maturity, carried at amortized cost:
Fixed maturity securities:
Government and agencies:
Third party pricing vendor		$	27,030		$	8		$	0		$	27,038
Total government and agencies		27,030			8			0			27,038
Municipalities:
Third party pricing vendor		0			469			0			469
Total municipalities		0			469			0			469
Mortgage- and asset-backed securities:
Broker/other		0			0			15			15
Total mortgage- and asset-backed securities		0			0			15			15
Public utilities:
Third party pricing vendor		0			2,973			0			2,973
Total public utilities		0			2,973			0			2,973
Sovereign and supranational:
Third party pricing vendor		0			1,840			0			1,840
Total sovereign and supranational		0			1,840			0			1,840
Banks/financial institutions:
Third party pricing vendor		0			1,583			0			1,583
Total banks/financial institutions		0			1,583			0			1,583
Other corporate:
Third party pricing vendor		0			2,804			0			2,804
Total other corporate		0			2,804			0			2,804
Total securities held to maturity		$	27,030		$	9,677		$	15		$	36,722

Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation

The following tables present the changes in fair value of the Company's investments and derivatives carried at fair value classified as Level 3.



Three Months Ended June 30, 2019
	Fixed Maturity Securities												Equity Securities		Derivatives ⁽¹⁾
(In millions)	Mortgage- and Asset- Backed Securities		Public Utilities				Banks/ Financial Institutions		Other Corporate						Foreign Currency Swaps		Credit Default Swaps		Total
Balance, beginning of period	$	178	$	85			$	23	$	284			$	46	$	70	$	0	$	686
Realized investment gains (losses) included in earnings	0		0				0		0				0		24		0		24
Unrealized gains (losses) included in other comprehensive income (loss)	5		5				1		6				0		0		0		17
Purchases, issuances, sales and settlements:
Purchases	0		0				0		25				0		0		0		25
Issuances	0		0				0		0				19		0		0		19
Sales	0		0				0		0				0		0		0		0
Settlements	0		(2		)		0		0				0		0		0		(2		)
Transfers into Level 3	0		116			⁽²⁾	0		0				0		0		0		116
Transfers out of Level 3	0		0				0		(116		)	⁽²⁾	0		0		0		(116		)
Balance, end of period	$	183	$	204			$	24	$	199			$	65	$	94	$	0	$	769
Changes in unrealized gains (losses) relating to Level 3 assets and liabilities still held at the end of the period included in earnings	$	0	$	0			$	0	$	0			$	0	$	24	$	0	$	24

⁽¹⁾ Derivative assets and liabilities are presented net

⁽²⁾ Transfer due to sector classification change



Three Months Ended June 30, 2018
	Fixed Maturity Securities												Equity Securities		Derivatives ⁽¹⁾
(In millions)	Mortgage- and Asset- Backed Securities			Public Utilities			Banks/ Financial Institutions			Other Corporate						Foreign Currency Swaps			Credit Default Swaps			Total
Balance, beginning of period	$	186		$	83		$	24		$	143		$	16		$	154		$	1		$	607
Realized investment gains (losses) included in earnings	0			0			0			0			0			(42		)	(1		)	(43		)
Unrealized gains (losses) included in other comprehensive income (loss)	(8		)	(1		)	(1		)	(1		)	0			(2		)	0			(13		)
Purchases, issuances, sales and settlements:
Purchases	0			24			0			56			1			0			0			81
Issuances	0			0			0			0			0			0			0			0
Sales	0			0			0			0			0			0			0			0
Settlements	0			0			0			(2		)	0			0			0			(2		)
Transfers into Level 3	0			0			0			0			0			0			0			0
Transfers out of Level 3	0			0			0			0			0			0			0			0
Balance, end of period	$	178		$	106		$	23		$	196		$	17		$	110		$	0		$	630
Changes in unrealized gains (losses) relating to Level 3 assets and liabilities still held at the end of the period included in earnings	$	0		$	0		$	0		$	0		$	0		$	(42	)	$	(1	)	$	(43	)

⁽¹⁾ Derivative assets and liabilities are presented net



Six Months Ended June 30, 2019
	Fixed Maturity Securities												Equity Securities		Derivatives ⁽¹⁾
(In millions)	Mortgage- and Asset- Backed Securities		Public Utilities				Banks/ Financial Institutions		Other Corporate						Foreign Currency Swaps			Credit Default Swaps		Total
Balance, beginning of period	$	177	$	109			$	23	$	213			$	46	$	80		$	0	$	648
Realized investment gains (losses) included in earnings	0		0				0		0				0		16			0		16
Unrealized gains (losses) included in other comprehensive income (loss)	6		6				1		7				0		(2		)	0		18
Purchases, issuances, sales and settlements:
Purchases	0		0				0		88				19		0			0		107
Issuances	0		0				0		0				0		0			0		0
Sales	0		0				0		(2		)		0		0			0		(2		)
Settlements	0		(2		)		0		0				0		0			0		(2		)
Transfers into Level 3	0		116			⁽²⁾	0		25			⁽²⁾	0		0			0		141
Transfers out of Level 3	0		(25		)	⁽²⁾	0		(132		)	^{(2), (3)}	0		0			0		(157		)
Balance, end of period	$	183	$	204			$	24	$	199			$	65	$	94		$	0	$	769
Changes in unrealized gains (losses) relating to Level 3 assets and liabilities still held at the end of the period included in earnings	$	0	$	0			$	0	$	0			$	0	$	16		$	0	$	16

⁽¹⁾ Derivative assets and liabilities are presented net

⁽²⁾ Transfer due to sector classification change

⁽³⁾ Transfer due to availability of observable market inputs



Six Months Ended June 30, 2018
	Fixed Maturity Securities											Equity Securities		Derivatives ⁽¹⁾
(In millions)	Mortgage- and Asset- Backed Securities		Public Utilities			Banks/ Financial Institutions			Other Corporate					Foreign Currency Swaps		Credit Default Swaps			Total
Balance, beginning of period	$	175	$	68		$	25		$	146		$	16	$	22	$	1		$	453
Realized investment gains (losses) included in earnings	0		0			0			0			0		84		(1		)	83
Unrealized gains (losses) included in other comprehensive income (loss)	3		(2		)	(2		)	(3		)	0		4		0			0
Purchases, issuances, sales and settlements:
Purchases	0		40			0			56			1		0		0			97
Issuances	0		0			0			0			0		0		0			0
Sales	0		0			0			0			0		0		0			0
Settlements	0		0			0			(3		)	0		0		0			(3		)
Transfers into Level 3	0		0			0			0			0		0		0			0
Transfers out of Level 3	0		0			0			0			0		0		0			0
Balance, end of period	$	178	$	106		$	23		$	196		$	17	$	110	$	0		$	630
Changes in unrealized gains (losses) relating to Level 3 assets and liabilities still held at the end of the period included in earnings	$	0	$	0		$	0		$	0		$	0	$	84	$	(1	)	$	83

⁽¹⁾ Derivative assets and liabilities are presented net

Fair Value Measurement Inputs and Valuation Techniques

Level 3 Significant Unobservable Input Sensitivity

The following tables summarize the significant unobservable inputs used in the valuation of the Company's Level 3 investments and derivatives carried at fair value. Included in the tables are the inputs or range of possible inputs that have an effect on the overall valuation of the financial instruments.

June 30, 2019

(In millions)

Fair Value

Valuation Technique(s)

Unobservable Input

Range
(Weighted Average)

Assets:

Securities available for sale, carried at fair value:

Fixed maturity securities:

Mortgage- and asset-backed securities

183

Consensus pricing

Offered quotes

N/A

^(a)

Public utilities

204

Discounted cash flow

Credit spreads

N/A

^(a)

Banks/financial institutions

Consensus pricing

Offered quotes

N/A

^(a)

Other corporate

199

Discounted cash flow

Credit spreads

N/A

^(a)

Equity securities

Net asset value

Offered quotes

N/A

^(a)

Other assets:

Foreign currency swaps

139

Discounted cash flow

Interest rates (USD)

1.98% - 2.20%

^(b)

Interest rates (JPY)

0.01% - 0.38%

^(c)

CDS spreads

11 - 110 bps

Discounted cash flow

Interest rates (USD)

1.98% - 2.20%

^(b)

Interest rates (JPY)

0.01% - 0.38%

^(c)

Total assets

876

Liabilities:

Other liabilities:

Foreign currency swaps

101

Discounted cash flow

Interest rates (USD)

1.98% - 2.20%

^(b)

Interest rates (JPY)

0.01% - 0.38%

^(c)

CDS spreads

30 - 187 bps

Discounted cash flow

Interest rates (USD)

1.98% - 2.20%

^(b)

Interest rates (JPY)

0.01% - 0.38%

^(c)

Total liabilities

107

(a) N/A represents securities where the Company receives unadjusted broker quotes and for which there is no transparency into the providers' valuation techniques or unobservable inputs.

(b) Inputs derived from U.S. long-term rates to accommodate long maturity nature of the Company's swaps

December 31, 2018

(In millions)

Fair Value

Valuation Technique(s)

Unobservable Input

Range
(Weighted Average)

Assets:

Securities available for sale, carried at fair value:

Fixed maturity securities:

Mortgage- and asset-backed securities

177

Consensus pricing

Offered quotes

N/A

^(a)

Public utilities

109

Discounted cash flow

Credit spreads

N/A

^(a)

Banks/financial institutions

Consensus pricing

Offered quotes

N/A

^(a)

Other corporate

213

Discounted cash flow

Credit spreads

N/A

^(a)

Equity securities

Net asset value

Offered quotes

N/A

^(a)

Other assets:

Foreign currency swaps

125

Discounted cash flow

Interest rates (USD)

2.75% - 2.84%

^(b)

Interest rates (JPY)

.18% - .71%

^(c)

CDS spreads

19 - 120 bps

Discounted cash flow

Interest rates (USD)

2.75% - 2.84%

^(b)

Interest rates (JPY)

.18% - .71%

^(c)

Total assets

750

Liabilities:

Other liabilities:

Foreign currency swaps

Discounted cash flow

Interest rates (USD)

2.75% - 2.84%

^(b)

Interest rates (JPY)

.18% - .71%

^(c)

CDS spreads

28 - 211 bps

Discounted cash flow

Interest rates (USD)

2.75% - 2.84%

^(b)

Interest rates (JPY)

.18% - .71%

^(c)

Total liabilities

102

(a) N/A represents securities where the Company receives unadjusted broker quotes and for which there is no transparency into the providers' valuation techniques or unobservable inputs.

(b) Inputs derived from U.S. long-term rates to accommodate long maturity nature of the Company's swaps