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FAIR VALUE MEASUREMENTS (Tables)

9 Months Ended

Sep. 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.


	September 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		$	35,539		$	1,656		$	0		$	37,195
Municipalities		0			2,619			0			2,619
Mortgage- and asset-backed securities		0			526			191			717
Public utilities		0			10,030			368			10,398
Sovereign and supranational		0			1,422			0			1,422
Banks/financial institutions		0			11,672			24			11,696
Other corporate		0			38,813			268			39,081
Total fixed maturity securities		35,539			66,738			851			103,128
Equity securities		608			81			86			775
Other investments		823			0			0			823
Cash and cash equivalents		5,563			0			0			5,563
Other assets:
Foreign currency swaps		0			53			97			150
Foreign currency forwards		0			282			0			282
Foreign currency options		0			1			0			1
Interest rate swaps		0			6			0			6


Total other assets		0			342			97			439
Total assets		$	42,533		$	67,161		$	1,034		$	110,728
Liabilities:
Other liabilities:
Foreign currency swaps		$	0		$	49		$	240		$	289
Foreign currency forwards		0			335			0			335
Foreign currency options		0			1			0			1


Total liabilities		$	0		$	385		$	240		$	625


	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.


	September 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		$	22,938		$	28,248		$	254		$	0		$	28,502
Municipalities		370			0			490			0			490

Public utilities		46			0			60			0			60
Sovereign and supranational		559			0			723			0			723

Other corporate		24			0			32			0			32
Commercial mortgage and other loans		10,822			0			0			10,786			10,786
Other investments (1)		25			0			25			0			25
Total assets		$	34,784		$	28,248		$	1,584		$	10,786		$	40,618
Liabilities:
Other policyholders’ funds		$	7,642		$	0		$	0		$	7,550		$	7,550
Notes payable (excluding leases)		7,675			0			8,264			282			8,546
Total liabilities		$	15,317		$	0		$	8,264		$	7,832		$	16,096

(1) Excludes policy loans of $261 and equity method investments of $795, 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.


	September 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		$	35,539		$	1,656		$	0		$	37,195
Total government and agencies		35,539			1,656			0			37,195
Municipalities:
Third party pricing vendor		0			2,619			0			2,619
Total municipalities		0			2,619			0			2,619
Mortgage- and asset-backed securities:
Third party pricing vendor		0			361			0			361
Broker/other		0			165			191			356
Total mortgage- and asset-backed securities		0			526			191			717
Public utilities:
Third party pricing vendor		0			10,030			0			10,030
Broker/other		0			0			368			368
Total public utilities		0			10,030			368			10,398
Sovereign and supranational:
Third party pricing vendor		0			1,422			0			1,422

Total sovereign and supranational		0			1,422			0			1,422
Banks/financial institutions:
Third party pricing vendor		0			11,672			0			11,672
Broker/other		0			0			24			24
Total banks/financial institutions		0			11,672			24			11,696
Other corporate:
Third party pricing vendor		0			38,809			0			38,809
Broker/other		0			4			268			272
Total other corporate		0			38,813			268			39,081
Total securities available for sale		$	35,539		$	66,738		$	851		$	103,128
Equity securities, carried at fair value:
Third party pricing vendor		$	608		$	81		$	0		$	689
Broker/other		0			0			86			86
Total equity securities		$	608		$	81		$	86		$	775


	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


	September 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		$	28,248		$	254		$	0		$	28,502
Total government and agencies		28,248			254			0			28,502
Municipalities:
Third party pricing vendor		0			490			0			490
Total municipalities		0			490			0			490




Public utilities:
Third party pricing vendor		0			60			0			60

Total public utilities		0			60			0			60
Sovereign and supranational:
Third party pricing vendor		0			723			0			723
Total sovereign and supranational		0			723			0			723




Other corporate:
Third party pricing vendor		0			32			0			32

Total other corporate		0			32			0			32
Total securities held to maturity		$	28,248		$	1,559		$	0		$	29,807


	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 September 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	$	322	$	24	$	243	$	86	$	(168)	$	695
Net investment gains (losses) included in earnings	0		0		0		0		0		23		23
Unrealized gains (losses) included in other comprehensive income (loss)	3		15		0		24		0		2		44
Purchases, issuances, sales and settlements:
Purchases	0		33		0		1		5		0		39
Issuances	0		0		0		0		0		0		0
Sales	0		0		0		0		(5)		0		(5)
Settlements	0		(2)		0		0		0		0		(2)
Transfers into Level 3	0		0		0		0		0		0		0
Transfers out of Level 3	0		0		0		0		0		0		0
Balance, end of period	$	191	$	368	$	24	$	268	$	86	$	(143)	$	794
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	$	23	$	23

(1) Derivative assets and liabilities are presented net


Three Months Ended September 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	$	183	$	204	$	24		$	199		$	65		$	94	$	769
Net investment gains (losses) included in earnings	0		0		0			0			0			(84)		(84)
Unrealized gains (losses) included in other comprehensive income (loss)	0		4		0			5			0			(2)		7
Purchases, issuances, sales and settlements:
Purchases	0		0		0			19			14			0		33
Issuances	0		0		0			0			0			0		0
Sales	0		0		0			0			0			0		0
Settlements	0		(2)		0			0			0			0		(2)
Transfers into Level 3	0		0		0			1		(2)	0			0		1
Transfers out of Level 3	0		0		(1)		(2)	0			0			0		(1)
Balance, end of period	$	183	$	206	$	23		$	224		$	79		$	8	$	723
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)	$	(84)

(1) Derivative assets and liabilities are presented net

(2) Transfer due to sector classification change


Nine Months Ended September 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		(184)		(184)
Unrealized gains (losses) included in other comprehensive income (loss)	5			6			0		8			0		(2)		17
Purchases, issuances, sales and settlements:
Purchases	0			129			1		13			12		0		155
Issuances	0			0			0		0			0		0		0
Sales	0			0			0		0			(6)		0		(6)
Settlements	(1)			(6)			0		0			0		0		(7)
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	$	191		$	368		$	24	$	268		$	86	$	(143)	$	794
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	$	(184)	$	(184)

(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


Nine Months Ended September 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		(68)		(68)
Unrealized gains (losses) included in other comprehensive income (loss)	6		10			1		12			0		(4)		25
Purchases, issuances, sales and settlements:
Purchases	0		0			0		107			33		0		140
Issuances	0		0			0		0			0		0		0
Sales	0		0			0		(2)			0		0		(2)
Settlements	0		(4)			0		0			0		0		(4)
Transfers into Level 3	0		116		(2)	0		26		(2)	0		0		142
Transfers out of Level 3	0		(25)		(2)	(1)		(132)		(2),(3)	0		0		(158)
Balance, end of period	$	183	$	206		$	23	$	224		$	79	$	8	$	723
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	$	(68)	$	(68)

(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.

September 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

191

Consensus pricing

Offered quotes

N/A

(a)

Public utilities

368

Discounted cash flow

Credit spreads

N/A

(a)

Banks/financial institutions

Consensus pricing

Offered quotes

N/A

(a)

Other corporate

268

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)

.71%

1.12%

(b)

Interest rates (JPY)

.03%

.35%

(c)

CDS spreads

23 bps

140 bps

Discounted cash flow

Interest rates (USD)

.71%

1.12%

(b)

Interest rates (JPY)

.03%

.35%

(c)

Total assets

1,034

Liabilities:

Other liabilities:

Foreign currency swaps

197

Discounted cash flow

Interest rates (USD)

.71%

1.12%

(b)

Interest rates (JPY)

.03%

.35%

(c)

CDS spreads

41 bps

140 bps

Discounted cash flow

Interest rates (USD)

.71%

1.12%

(b)

Interest rates (JPY)

.03%

.35%

(c)

Total liabilities

240

(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 bps

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 bps

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