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FAIR VALUE MEASUREMENTS (Tables)

3 Months Ended

Mar. 31, 2020

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.



	March 31, 2020
(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		$	35,469		$	1,509		$	0		$	36,978
Municipalities		0			2,440			0			2,440
Mortgage- and asset-backed securities		0			309			188			497
Public utilities		0			8,894			298			9,192
Sovereign and supranational		0			1,609			0			1,609
Banks/financial institutions		0			10,355			23			10,378
Other corporate		0			34,949			245			35,194
Total fixed maturity securities		35,469			60,065			754			96,288
Equity securities		509			69			82			660
Other investments		892			0			0			892
Cash and cash equivalents		4,148			0			0			4,148
Other assets:
Foreign currency swaps		0			66			89			155
Foreign currency forwards		0			269			0			269
Foreign currency options		0			27			0			27
Interest rate swaps		0			21			0			21
Total other assets		0			383			89			472
Total assets		$	41,018		$	60,517		$	925		$	102,460
Liabilities:
Other liabilities:
Foreign currency swaps		$	0		$	38		$	235		$	273
Foreign currency forwards		0			427			0			427
Foreign currency options		0			23			0			23
Total liabilities		$	0		$	488		$	235		$	723



	December 31, 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		$	34,878		$	1,522		$	0		$	36,400
Municipalities		0			1,847			0			1,847
Mortgage- and asset-backed securities		0			232			178			410
Public utilities		0			6,556			224			6,780
Sovereign and supranational		0			1,042			0			1,042
Banks/financial institutions		0			10,264			23			10,287
Other corporate		0			34,234			262			34,496
Total fixed maturity securities		34,878			55,697			687			91,262
Equity securities		642			80			80			802
Other investments		628			0			0			628
Cash and cash equivalents		4,896			0			0			4,896
Other assets:
Foreign currency swaps		0			72			169			241
Foreign currency forwards		0			238			0			238
Interest rate swaps		0			3			0			3
Total other assets		0			313			169			482
Total assets		$	41,044		$	56,090		$	936		$	98,070
Liabilities:
Other liabilities:
Foreign currency swaps		$	0		$	78		$	126		$	204
Foreign currency forwards		0			377			0			377
Foreign currency options		0			5			0			5
Total liabilities		$	0		$	460		$	126		$	586

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.



	March 31, 2020
(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		$	22,384		$	27,842		$	352		$	0		$	28,194
Municipalities		362			0			484			0			484
Public utilities		45			0			59			0			59
Sovereign and supranational		464			0			578			0			578
Other corporate		23			0			32			0			32
Commercial mortgage and other loans		10,750			0			0			10,390			10,390
Other investments ⁽¹⁾		29			0			29			0			29
Total assets		$	34,057		$	27,842		$	1,534		$	10,390		$	39,766
Liabilities:
Other policyholders’ funds		$	7,422		$	0		$	0		$	7,338		$	7,338
Notes payable (excluding leases)		6,597			0			6,607			274			6,881
Total liabilities		$	14,019		$	0		$	6,607		$	7,612		$	14,219

⁽¹⁾ Excludes policy loans of $253 and equity method investments of $669, at carrying value



	December 31, 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		$	22,241		$	27,937		$	354		$	0		$	28,291
Municipalities		821			0			1,083			0			1,083
Mortgage and asset-backed securities		16			0			7			10			17
Public utilities		2,535			0			2,954			0			2,954
Sovereign and supranational		1,123			0			1,320			0			1,320
Banks/financial institutions		916			0			1,018			0			1,018
Other corporate		2,433			0			2,911			0			2,911
Commercial mortgage and other loans		9,569			0			0			9,648			9,648
Other investments ⁽¹⁾		30			0			30			0			30
Total assets		$	39,684		$	27,937		$	9,677		$	9,658		$	47,272
Liabilities:
Other policyholders’ funds		$	7,317		$	0		$	0		$	7,234		$	7,234
Notes payable (excluding leases)		6,408			0			6,663			272			6,935
Total liabilities		$	13,725		$	0		$	6,663		$	7,506		$	14,169

⁽¹⁾ Excludes policy loans of $250 and equity method investments of $569, at carrying value

Fair Value Assets Securities Carried At Fair Value Primary Pricing Sources

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



	March 31, 2020
(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		$	35,469		$	1,509		$	0		$	36,978
Total government and agencies		35,469			1,509			0			36,978
Municipalities:
Third party pricing vendor		0			2,440			0			2,440
Total municipalities		0			2,440			0			2,440
Mortgage- and asset-backed securities:
Third party pricing vendor		0			309			0			309
Broker/other		0			0			188			188
Total mortgage- and asset-backed securities		0			309			188			497
Public utilities:
Third party pricing vendor		0			8,894			0			8,894
Broker/other		0			0			298			298
Total public utilities		0			8,894			298			9,192
Sovereign and supranational:
Third party pricing vendor		0			1,609			0			1,609
Total sovereign and supranational		0			1,609			0			1,609
Banks/financial institutions:
Third party pricing vendor		0			10,355			0			10,355
Broker/other		0			0			23			23
Total banks/financial institutions		0			10,355			23			10,378
Other corporate:
Third party pricing vendor		0			34,949			0			34,949
Broker/other		0			0			245			245
Total other corporate		0			34,949			245			35,194
Total securities available for sale		$	35,469		$	60,065		$	754		$	96,288
Equity securities, carried at fair value:
Third party pricing vendor		$	509		$	69		$	0		$	578
Broker/other		0			0			82			82
Total equity securities		$	509		$	69		$	82		$	660



	December 31, 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		$	34,878		$	1,522		$	0		$	36,400
Total government and agencies		34,878			1,522			0			36,400
Municipalities:
Third party pricing vendor		0			1,847			0			1,847
Total municipalities		0			1,847			0			1,847
Mortgage- and asset-backed securities:
Third party pricing vendor		0			232			0			232
Broker/other		0			0			178			178
Total mortgage- and asset-backed securities		0			232			178			410
Public utilities:
Third party pricing vendor		0			6,556			0			6,556
Broker/other		0			0			224			224
Total public utilities		0			6,556			224			6,780
Sovereign and supranational:
Third party pricing vendor		0			1,042			0			1,042
Total sovereign and supranational		0			1,042			0			1,042
Banks/financial institutions:
Third party pricing vendor		0			10,264			0			10,264
Broker/other		0			0			23			23
Total banks/financial institutions		0			10,264			23			10,287
Other corporate:
Third party pricing vendor		0			34,234			0			34,234
Broker/other		0			0			262			262
Total other corporate		0			34,234			262			34,496
Total securities available for sale		$	34,878		$	55,697		$	687		$	91,262
Equity securities, carried at fair value:
Third party pricing vendor		$	642		$	80		$	0		$	722
Broker/other		0			0			80			80
Total equity securities		$	642		$	80		$	80		$	802

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



	March 31, 2020
(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		$	27,842		$	352		$	0		$	28,194
Total government and agencies		27,842			352			0			28,194
Municipalities:
Third party pricing vendor		0			484			0			484
Total municipalities		0			484			0			484
Public utilities:
Third party pricing vendor		0			59			0			59
Total public utilities		0			59			0			59
Sovereign and supranational:
Third party pricing vendor		0			578			0			578
Total sovereign and supranational		0			578			0			578
Other corporate:
Third party pricing vendor		0			32			0			32
Total other corporate		0			32			0			32
Total securities held to maturity		$	27,842		$	1,505		$	0		$	29,347



	December 31, 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		$	27,937		$	354		$	0		$	28,291
Total government and agencies		27,937			354			0			28,291
Municipalities:
Third party pricing vendor		0			1,083			0			1,083
Total municipalities		0			1,083			0			1,083
Mortgage- and asset-backed securities:
Third party pricing vendor		0			7			0			7
Broker/other		0			0			10			10
Total mortgage- and asset-backed securities		0			7			10			17
Public utilities:
Third party pricing vendor		0			2,954			0			2,954
Total public utilities		0			2,954			0			2,954
Sovereign and supranational:
Third party pricing vendor		0			1,320			0			1,320
Total sovereign and supranational		0			1,320			0			1,320
Banks/financial institutions:
Third party pricing vendor		0			1,018			0			1,018
Total banks/financial institutions		0			1,018			0			1,018
Other corporate:
Third party pricing vendor		0			2,911			0			2,911
Total other corporate		0			2,911			0			2,911
Total securities held to maturity		$	27,937		$	9,647		$	10		$	37,594

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 March 31, 2020
	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		$	224		$	23	$	262		$	80	$	43		$	0	$	810
Net investment gains (losses) included in earnings	0			0			0		0			0		(185		)	0		(185		)
Unrealized gains (losses) included in other comprehensive income (loss)	1			(8		)	0		(17		)	0		(4		)	0		(28		)
Purchases, issuances, sales and settlements:
Purchases	0			83			0		0			2		0			0		85
Issuances	0			0			0		0			0		0			0		0
Sales	0			0			0		0			0		0			0		0
Settlements	0			(1		)	0		0			0		0			0		(1		)
Transfers into Level 3	9		⁽²⁾	0			0		0			0		0			0		9
Transfers out of Level 3	0			0			0		0			0		0			0		0
Balance, end of period	$	188		$	298		$	23	$	245		$	82	$	(146	)	$	0	$	690
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	$	(185	)	$	0	$	(185	)

⁽¹⁾ Derivative assets and liabilities are presented net

⁽²⁾ Transfer due to reclassification of level 3 securities from HTM to AFS



Three Months Ended March 31, 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
Net investment gains (losses) included in earnings	0		0				0		0				0		(8		)	0		(8		)
Unrealized gains (losses) included in other comprehensive income (loss)	1		1				0		1				0		(2		)	0		1
Purchases, issuances, sales and settlements:
Purchases	0		0				0		63				0		0			0		63
Issuances	0		0				0		0				0		0			0		0
Sales	0		0				0		(2		)		0		0			0		(2		)
Settlements	0		0				0		0				0		0			0		0
Transfers into Level 3	0		0				0		25			⁽²⁾	0		0			0		25
Transfers out of Level 3	0		(25		)	⁽²⁾	0		(16		)	⁽³⁾	0		0			0		(41		)
Balance, end of period	$	178	$	85			$	23	$	284			$	46	$	70		$	0	$	686
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	$	(8	)	$	0	$	(8	)

⁽¹⁾ Derivative assets and liabilities are presented net

⁽²⁾ Transfer due to sector classification change

⁽³⁾ Transfer due to availability of observable market inputs

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.

March 31, 2020

(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

188

Consensus pricing

Offered quotes

N/A

^(a)

Public utilities

298

Discounted cash flow

Credit spreads

N/A

^(a)

Banks/financial institutions

Consensus pricing

Offered quotes

N/A

^(a)

Other corporate

245

Discounted cash flow

Credit spreads

N/A

^(a)

Equity securities

Net asset value

Offered quotes

N/A

^(a)

Other assets:

Foreign currency swaps

Discounted cash flow

Interest rates (USD)

.72% - .88%

^(b)

Interest rates (JPY)

.02% - .20%

^(c)

CDS spreads

31 - 173 bps

Discounted cash flow

Interest rates (USD)

.72% - .88%

^(b)

Interest rates (JPY)

.02% - .20%

^(c)

Total assets

925

Liabilities:

Other liabilities:

Foreign currency swaps

224

Discounted cash flow

Interest rates (USD)

.72% - .88%

^(b)

Interest rates (JPY)

.02% - .20%

^(c)

CDS spreads

31 - 173 bps

Discounted cash flow

Interest rates (USD)

.72% - .88%

^(b)

Interest rates (JPY)

.02% - .20%

^(c)

Total liabilities

235

(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, 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

178

Consensus pricing

Offered quotes

N/A

^(a)

Public utilities

224

Discounted cash flow

Credit spreads

N/A

^(a)

Banks/financial institutions

Consensus pricing

Offered quotes

N/A

^(a)

Other corporate

262

Discounted cash flow

Credit spreads

N/A

^(a)

Equity securities

Net asset value

Offered quotes

N/A

^(a)

Other assets:

Foreign currency swaps

106

Discounted cash flow

Interest rates (USD)

1.89% - 2.09%

^(b)

Interest rates (JPY)

.12% - .43%

^(c)

CDS spreads

10 - 100 bps

Discounted cash flow

Interest rates (USD)

1.89% - 2.09%

^(b)

Interest rates (JPY)

.12% - .43%

^(c)

Total assets

936

Liabilities:

Other liabilities:

Foreign currency swaps

118

Discounted cash flow

Interest rates (USD)

1.89% - 2.09%

^(b)

Interest rates (JPY)

.12% - .43%

^(c)

CDS spreads

13 - 159 bps

Discounted cash flow

Interest rates (USD)

1.89% - 2.09%

^(b)

Interest rates (JPY)

.12% - .43%

^(c)

Total liabilities

126

(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