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FAIR VALUE MEASUREMENTS (Tables)

3 Months Ended

Mar. 31, 2021

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, 2021
(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		$	34,432		$	1,359		$	0		$	35,791
Municipalities		0			2,901			0			2,901
Mortgage- and asset-backed securities		0			980			204			1,184
Public utilities		0			9,720			479			10,199
Sovereign and supranational		0			1,207			68			1,275
Banks/financial institutions		0			11,547			28			11,575
Other corporate		0			37,500			319			37,819
Total fixed maturity securities		34,432			65,214			1,098			100,744
Equity securities		971			81			122			1,174
Other investments		1,295			0			0			1,295
Cash and cash equivalents		4,990			0			0			4,990
Other assets:
Foreign currency swaps		0			63			138			201
Foreign currency forwards		0			596			0			596
Foreign currency options		0			44			0			44



Total other assets		0			703			138			841
Total assets		$	41,688		$	65,998		$	1,358		$	109,044
Liabilities:
Other liabilities:
Foreign currency swaps		$	0		$	24		$	218		$	242
Foreign currency forwards		0			766			0			766
Foreign currency options		0			86			0			86


Total liabilities		$	0		$	876		$	218		$	1,094


	December 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		$	36,032		$	1,318		$	0		$	37,350
Municipalities		0			3,018			0			3,018
Mortgage- and asset-backed securities		0			814			224			1,038
Public utilities		0			10,395			422			10,817
Sovereign and supranational		0			1,334			48			1,382
Banks/financial institutions		0			12,036			24			12,060
Other corporate		0			39,918			299			40,217
Total fixed maturity securities		36,032			68,833			1,017			105,882
Equity securities		1,095			86			102			1,283
Other investments		1,139			0			0			1,139
Cash and cash equivalents		5,141			0			0			5,141
Other assets:
Foreign currency swaps		0			47			133			180
Foreign currency forwards		0			402			0			402
Foreign currency options		0			1			0			1

Total other assets		0			450			133			583
Total assets		$	43,407		$	69,369		$	1,252		$	114,028
Liabilities:
Other liabilities:
Foreign currency swaps		$	0		$	81		$	231		$	312
Foreign currency forwards		0			385			0			385


Total liabilities		$	0		$	466		$	231		$	697

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, 2021
(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		$	21,915		$	26,599		$	240		$	0		$	26,839
Municipalities		352			0			460			0			460

Public utilities		44			0			57			0			57
Sovereign and supranational		534			0			670			0			670

Other corporate		23			0			30			0			30
Commercial mortgage and other loans		10,847			0			0			10,898			10,898
Other investments (1)		18			0			18			0			18
Total assets		$	33,733		$	26,599		$	1,475		$	10,898		$	38,972
Liabilities:
Other policyholders’ funds		$	7,367		$	0		$	0		$	7,258		$	7,258
Notes payable (excluding leases)		7,937			0			8,303			269			8,572
Total liabilities		$	15,304		$	0		$	8,303		$	7,527		$	15,830

(1) Excludes policy loans of $242 and equity method investments of $1,110, at carrying value


	December 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		$	23,445		$	28,810		$	260		$	0		$	29,070
Municipalities		377			0			499			0			499

Public utilities		47			0			61			0			61
Sovereign and supranational		571			0			736			0			736

Other corporate		24			0			33			0			33
Commercial mortgage and other loans		10,554			0			0			10,655			10,655
Other investments (1)		26			0			26			0			26
Total assets		$	35,044		$	28,810		$	1,615		$	10,655		$	41,080
Liabilities:
Other policyholders’ funds		$	7,824		$	0		$	0		$	7,709		$	7,709
Notes payable (excluding leases)		7,745			0			8,396			288			8,684
Total liabilities		$	15,569		$	0		$	8,396		$	7,997		$	16,393

(1) Excludes policy loans of $260 and equity method investments of $1,004, 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, 2021
(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		$	34,432		$	1,359		$	0		$	35,791
Total government and agencies		34,432			1,359			0			35,791
Municipalities:
Third party pricing vendor		0			2,901			0			2,901
Total municipalities		0			2,901			0			2,901
Mortgage- and asset-backed securities:
Third party pricing vendor		0			406			0			406
Broker/other		0			574			204			778
Total mortgage- and asset-backed securities		0			980			204			1,184
Public utilities:
Third party pricing vendor		0			9,720			0			9,720
Broker/other		0			0			479			479
Total public utilities		0			9,720			479			10,199
Sovereign and supranational:
Third party pricing vendor		0			1,207			0			1,207
Broker/other		0			0			68			68
Total sovereign and supranational		0			1,207			68			1,275
Banks/financial institutions:
Third party pricing vendor		0			11,547			0			11,547
Broker/other		0			0			28			28
Total banks/financial institutions		0			11,547			28			11,575
Other corporate:
Third party pricing vendor		0			37,500			0			37,500
Broker/other		0			0			319			319
Total other corporate		0			37,500			319			37,819
Total securities available for sale		$	34,432		$	65,214		$	1,098		$	100,744
Equity securities, carried at fair value:
Third party pricing vendor		$	971		$	81		$	0		$	1,052
Broker/other		0			0			122			122
Total equity securities		$	971		$	81		$	122		$	1,174


	December 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		$	36,032		$	1,318		$	0		$	37,350
Total government and agencies		36,032			1,318			0			37,350
Municipalities:
Third party pricing vendor		0			3,018			0			3,018
Total municipalities		0			3,018			0			3,018
Mortgage- and asset-backed securities:
Third party pricing vendor		0			364			0			364
Broker/other		0			450			224			674
Total mortgage- and asset-backed securities		0			814			224			1,038
Public utilities:
Third party pricing vendor		0			10,395			0			10,395
Broker/other		0			0			422			422
Total public utilities		0			10,395			422			10,817
Sovereign and supranational:
Third party pricing vendor		0			1,334			0			1,334
Broker/other		0			0			48			48
Total sovereign and supranational		0			1,334			48			1,382
Banks/financial institutions:
Third party pricing vendor		0			12,036			0			12,036
Broker/other		0			0			24			24
Total banks/financial institutions		0			12,036			24			12,060
Other corporate:
Third party pricing vendor		0			39,886			0			39,886
Broker/other		0			32			299			331
Total other corporate		0			39,918			299			40,217
Total securities available for sale		$	36,032		$	68,833		$	1,017		$	105,882
Equity securities, carried at fair value:
Third party pricing vendor		$	1,095		$	86		$	0		$	1,181
Broker/other		0			0			102			102
Total equity securities		$	1,095		$	86		$	102		$	1,283

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


	March 31, 2021
(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		$	26,599		$	240		$	0		$	26,839
Total government and agencies		26,599			240			0			26,839
Municipalities:
Third party pricing vendor		0			460			0			460
Total municipalities		0			460			0			460




Public utilities:
Third party pricing vendor		0			57			0			57

Total public utilities		0			57			0			57
Sovereign and supranational:
Third party pricing vendor		0			670			0			670
Total sovereign and supranational		0			670			0			670




Other corporate:
Third party pricing vendor		0			30			0			30

Total other corporate		0			30			0			30
Total securities held to maturity		$	26,599		$	1,457		$	0		$	28,056


	December 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		$	28,810		$	260		$	0		$	29,070
Total government and agencies		28,810			260			0			29,070
Municipalities:
Third party pricing vendor		0			499			0			499
Total municipalities		0			499			0			499




Public utilities:
Third party pricing vendor		0			61			0			61
Total public utilities		0			61			0			61
Sovereign and supranational:
Third party pricing vendor		0			736			0			736
Total sovereign and supranational		0			736			0			736



Other corporate:
Third party pricing vendor		0			33			0			33

Total other corporate		0			33			0			33
Total securities held to maturity		$	28,810		$	1,589		$	0		$	30,399

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, 2021
	Fixed Maturity Securities													Equity Securities		Derivatives (1)
(In millions)	Mortgage- and Asset- Backed Securities			Public Utilities		Sovereign and Supranational			Banks/ Financial Institutions		Other Corporate					Foreign Currency Swaps		Total
Balance, beginning of period	$	224		$	422	$	48		$	24	$	299		$	102	$	(98)	$	1,021
Net investment gains (losses) included in earnings	0			0		0			0		0			9		19		28
Unrealized gains (losses) included in other comprehensive income (loss)	(15)			(18)		(3)			(1)		(12)			0		(1)		(50)
Purchases, issuances, sales and settlements:
Purchases	10			78		0			5		0			11		0		104
Issuances	0			0		0			0		0			0		0		0
Sales	0			0		0			0		0			0		0		0
Settlements	0			(3)		0			0		0			0		0		(3)
Transfers into Level 3	0			0		23		(2)	0		32		(2)	0		0		55
Transfers out of Level 3	(15)		(3)	0		0			0		0			0		0		(15)
Balance, end of period	$	204		$	479	$	68		$	28	$	319		$	122	$	(80)	$	1,140
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		$	0	$	19	$	19

(1) Derivative assets and liabilities are presented net

(2) Transfer due to a lack of availability of observable market inputs

(3) Transfer due to availability of observable market inputs


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		Total
Balance, beginning of period	$	178		$	224	$	23	$	262	$	80	$	43	$	810
Net investment gains (losses) included in earnings	0			0		0		0		0		(185)		(185)
Unrealized gains (losses) included in other comprehensive income (loss)	1			(8)		0		(17)		0		(4)		(28)
Purchases, issuances, sales and settlements:
Purchases	0			83		0		0		2		0		85
Issuances	0			0		0		0		0		0		0
Sales	0			0		0		0		0		0		0
Settlements	0			(1)		0		0		0		0		(1)
Transfers into Level 3	9		(2)	0		0		0		0		0		9
Transfers out of Level 3	0			0		0		0		0		0		0
Balance, end of period	$	188		$	298	$	23	$	245	$	82	$	(146)	$	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)	$	(185)

(1) Derivative assets and liabilities are presented net

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

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, 2021

(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

204

Consensus pricing

Offered quotes

N/A

(a)

Public utilities

479

Discounted cash flow

Credit spreads

N/A

(a)

Sovereign and supranational

Discounted cash flow

Historical volatility

N/A

(a)

Banks/financial institutions

Consensus pricing

Offered quotes

N/A

(a)

Other corporate

319

Discounted cash flow

Credit spreads

N/A

(a)

Equity securities

122

Net asset value

Offered quotes

N/A

(a)

Other assets:

Foreign currency swaps

Discounted cash flow

Interest rates (USD)

1.78%

2.20%

(b)

Interest rates (JPY)

.16%

.57%

(c)

CDS spreads

26 bps

127 bps

Discounted cash flow

Interest rates (USD)

1.78%

2.20%

(b)

Interest rates (JPY)

.16%

.57%

(c)

Total assets

1,358

Liabilities:

Other liabilities:

Foreign currency swaps

140

Discounted cash flow

Interest rates (USD)

1.78%

2.20%

(b)

Interest rates (JPY)

.16%

.57%

(c)

CDS spreads

27 bps

201 bps

Discounted cash flow

Interest rates (USD)

1.78%

2.20%

(b)

Interest rates (JPY)

.16%

.57%

(c)

Total liabilities

218

(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, 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

224

Consensus pricing

Offered quotes

N/A

(a)

Public utilities

422

Discounted cash flow

Credit spreads

N/A

(a)

Sovereign and supranational

Discounted cash flow

Historical volatility

N/A

(a)

Banks/financial institutions

Consensus pricing

Offered quotes

N/A

(a)

Other corporate

299

Discounted cash flow

Credit spreads

N/A

(a)

Equity securities

102

Net asset value

Offered quotes

N/A

(a)

Other assets:

Foreign currency swaps

Discounted cash flow

Interest rates (USD)

.93%

1.40%

(b)

Interest rates (JPY)

.05%

.43%

(c)

CDS spreads

22 bps

128 bps

Discounted cash flow

Interest rates (USD)

.93%

1.40%

(b)

Interest rates (JPY)

.05%

.43%

(c)

Total assets

1,252

Liabilities:

Other liabilities:

Foreign currency swaps

160

Discounted cash flow

Interest rates (USD)

.93%

1.12%

(b)

Interest rates (JPY)

.05%

.35%

(c)

CDS spreads

41 bps

140 bps

Discounted cash flow

Interest rates (USD)

.93%

1.12%

(b)

Interest rates (JPY)

.05%

.35%

(c)

Total liabilities

231

(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