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FAIR VALUE MEASUREMENTS (Tables)

6 Months Ended

Jun. 30, 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.



	June 30, 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		$	34,980		$	1,507		$	0		$	36,487
Municipalities		0			2,492			0			2,492
Mortgage- and asset-backed securities		0			358			188			546
Public utilities		0			9,620			322			9,942
Sovereign and supranational		0			1,377			0			1,377
Banks/financial institutions		0			11,190			24			11,214
Other corporate		0			37,658			243			37,901
Total fixed maturity securities		34,980			64,202			777			99,959
Equity securities		587			76			86			749
Other investments		763			0			0			763
Cash and cash equivalents		5,528			0			0			5,528
Other assets:
Foreign currency swaps		0			73			87			160
Foreign currency forwards		0			299			0			299
Foreign currency options		0			1			0			1
Interest rate swaps		0			14			0			14
Total other assets		0			387			87			474
Total assets		$	41,858		$	64,665		$	950		$	107,473
Liabilities:
Other liabilities:
Foreign currency swaps		$	0		$	29		$	255		$	284
Foreign currency forwards		0			393			0			393
Foreign currency options		0			2			0			2
Forward bond purchase commitment		0			1			0			1
Total liabilities		$	0		$	425		$	255		$	680



	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.



	June 30, 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		$	22,528		$	27,781		$	249		$	0		$	28,030
Municipalities		364			0			481			0			481
Public utilities		45			0			59			0			59
Sovereign and supranational		549			0			692			0			692
Other corporate		23			0			31			0			31
Commercial mortgage and other loans		10,717			0			0			10,650			10,650
Other investments ⁽¹⁾		27			0			27			0			27
Total assets		$	34,253		$	27,781		$	1,539		$	10,650		$	39,970
Liabilities:
Other policyholders’ funds		$	7,484		$	0		$	0		$	7,393		$	7,393
Notes payable (excluding leases)		7,618			0			8,200			276			8,476
Total liabilities		$	15,102		$	0		$	8,200		$	7,669		$	15,869

⁽¹⁾ Excludes policy loans of $263 and equity method investments of $718, 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.



	June 30, 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		$	34,980		$	1,507		$	0		$	36,487
Total government and agencies		34,980			1,507			0			36,487
Municipalities:
Third party pricing vendor		0			2,492			0			2,492
Total municipalities		0			2,492			0			2,492
Mortgage- and asset-backed securities:
Third party pricing vendor		0			358			0			358
Broker/other		0			0			188			188
Total mortgage- and asset-backed securities		0			358			188			546
Public utilities:
Third party pricing vendor		0			9,620			0			9,620
Broker/other		0			0			322			322
Total public utilities		0			9,620			322			9,942
Sovereign and supranational:
Third party pricing vendor		0			1,377			0			1,377
Total sovereign and supranational		0			1,377			0			1,377
Banks/financial institutions:
Third party pricing vendor		0			11,190			0			11,190
Broker/other		0			0			24			24
Total banks/financial institutions		0			11,190			24			11,214
Other corporate:
Third party pricing vendor		0			37,658			0			37,658
Broker/other		0			0			243			243
Total other corporate		0			37,658			243			37,901
Total securities available for sale		$	34,980		$	64,202		$	777		$	99,959
Equity securities, carried at fair value:
Third party pricing vendor		$	587		$	76		$	0		$	663
Broker/other		0			0			86			86
Total equity securities		$	587		$	76		$	86		$	749



	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



	June 30, 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		$	27,781		$	249		$	0		$	28,030
Total government and agencies		27,781			249			0			28,030
Municipalities:
Third party pricing vendor		0			481			0			481
Total municipalities		0			481			0			481
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			692			0			692
Total sovereign and supranational		0			692			0			692
Other corporate:
Third party pricing vendor		0			31			0			31
Total other corporate		0			31			0			31
Total securities held to maturity		$	27,781		$	1,512		$	0		$	29,293



	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 June 30, 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			Total
Balance, beginning of period	$	188		$	298			$	23	$	245			$	82		$	(146	)	$	690
Realized investment gains (losses) included in earnings	0			0				0		0				0			(20		)	(20		)
Unrealized gains (losses) included in other comprehensive income (loss)	1			0				0		1				0			(2		)	0
Purchases, issuances, sales and settlements:
Purchases	0			13				1		12				5			0			31
Issuances	0			0				0		0				0			0			0
Sales	0			0				0		0				(1		)	0			(1		)
Settlements	(1		)	(4		)		0		0				0			0			(5		)
Transfers into Level 3	0			15			⁽²⁾	0		0				0			0			15
Transfers out of Level 3	0			0				0		(15		)	⁽²⁾	0			0			(15		)
Balance, end of period	$	188		$	322			$	24	$	243			$	86		$	(168	)	$	695
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		$	(20	)	$	(20	)

⁽¹⁾ Derivative assets and liabilities are presented net

⁽²⁾ Transfer due to sector classification change



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		Total
Balance, beginning of period	$	178	$	85			$	23	$	284			$	46		$	70	$	686
Realized investment gains (losses) included in earnings	0		0				0		0				0			24		24
Unrealized gains (losses) included in other comprehensive income (loss)	5		5				1		6				0			0		17
Purchases, issuances, sales and settlements:
Purchases	0		0				0		25				0			0		25
Issuances	0		0				0		0				19			0		19
Sales	0		0				0		0				0			0		0
Settlements	0		(2		)		0		0				0			0		(2		)
Transfers into Level 3	0		116			⁽²⁾	0		0				0			0		116
Transfers out of Level 3	0		0				0		(116		)	⁽²⁾	0			0		(116		)
Balance, end of period	$	183	$	204			$	24	$	199			$	65		$	94	$	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	$	24

⁽¹⁾ Derivative assets and liabilities are presented net

⁽²⁾ Transfer due to sector classification change



Six Months Ended June 30, 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			Total
Balance, beginning of period	$	178			$	224			$	23	$	262			$	80		$	43		$	810
Net investment gains (losses) included in earnings	0				0				0		0				0			(205		)	(205		)
Unrealized gains (losses) included in other comprehensive income (loss)	2				(9		)		0		(16		)		0			(6		)	(29		)
Purchases, issuances, sales and settlements:
Purchases	0				96				1		12				7			0			116
Issuances	0				0				0		0				0			0			0
Sales	0				0				0		0				(1		)	0			(1		)
Settlements	(1		)		(4		)		0		0				0			0			(5		)
Transfers into Level 3	9			⁽²⁾	15			⁽³⁾	0		0				0			0			24
Transfers out of Level 3	0				0				0		(15		)	⁽³⁾	0			0			(15		)
Balance, end of period	$	188			$	322			$	24	$	243			$	86		$	(168	)	$	695
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		$	(205	)	$	(205	)

⁽¹⁾ Derivative assets and liabilities are presented net

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

⁽³⁾ Transfer due to sector classification change



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			Total
Balance, beginning of period	$	177	$	109			$	23	$	213			$	46	$	80		$	648
Net investment gains (losses) included in earnings	0		0				0		0				0		16			16
Unrealized gains (losses) included in other comprehensive income (loss)	6		6				1		7				0		(2		)	18
Purchases, issuances, sales and settlements:
Purchases	0		0				0		88				19		0			107
Issuances	0		0				0		0				0		0			0
Sales	0		0				0		(2		)		0		0			(2		)
Settlements	0		(2		)		0		0				0		0			(2		)
Transfers into Level 3	0		116			⁽²⁾	0		25			⁽²⁾	0		0			141
Transfers out of Level 3	0		(25		)	⁽²⁾	0		(132		)	^(2),(3)	0		0			(157		)
Balance, end of period	$	183	$	204			$	24	$	199			$	65	$	94		$	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		$	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

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, 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

322

Discounted cash flow

Credit spreads

N/A

^(a)

Banks/financial institutions

Consensus pricing

Offered quotes

N/A

^(a)

Other corporate

243

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)

.61% - .88%

^(b)

Interest rates (JPY)

.06% - .37%

^(c)

CDS spreads

12 - 119 bps

Discounted cash flow

Interest rates (USD)

.61% - .88%

^(b)

Interest rates (JPY)

.06% - .37%

^(c)

Total assets

950

Liabilities:

Other liabilities:

Foreign currency swaps

237

Discounted cash flow

Interest rates (USD)

.61% - .88%

^(b)

Interest rates (JPY)

.06% - .37%

^(c)

CDS spreads

46 - 202 bps

Discounted cash flow

Interest rates (USD)

.61% - .88%

^(b)

Interest rates (JPY)

.06% - .37%

^(c)

Total liabilities

255

(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