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Fair Value Measurements (Tables)

9 Months Ended

Sep. 30, 2019

Financial assets and liabilities carried at fair value

(In millions)		Quoted Prices in Active Markets for Identical Assets (Level 1)				Significant Other Observable Inputs (Level 2)				Significant Unobservable Inputs (Level 3)				Total
		As of		As of		As of		As of		As of		As of		As of		As of
		September 30,		December 31,		September 30,		December 31,		September 30,		December 31,		September 30,		December 31,
		2019		2018		2019		2018		2019		2018		2019		2018
Financial assets at fair value
Debt securities
	Federal government and agency	$	193	$	209	$	564	$	501	$	-	$	-	$	757	$	710
	State and local government		-		-		864		985		-		-		864		985
	Foreign government		-		-		2,169		2,356		28		6		2,197		2,362
	Corporate		-		-		19,495		18,127		314		234		19,809		18,361
	Mortgage and other asset-backed		-		-		394		372		140		138		534		510
Total debt securities			193		209		23,486		22,341		482		378		24,161		22,928
Equity securities⁽¹⁾			7		384		79		43		32		32		118		459
Short-term investments			-		-		225		316		-		-		225		316
Derivative assets			-		-		105		53		-		-		105		53
Real estate funds priced at NAV as a practical expedient⁽²⁾															213		239
Financial liabilities at fair value
Derivative liabilities		$	-	$	-	$	10	$	10	$	-	$	-	$	10	$	10
(1) Excludes certain equity securities that have no readily determinable fair value.
(2) As a practical expedient, certain real estate funds are carried at fair value based on the Company’s ownership share of the equity of the investee (Net Asset Value (“NAV“)) including changes in the fair value of its underlying investments. The funds have a quarterly redemption frequency, 45-90 day redemption notice period and $56 million in unfunded commitments as of September 30, 2019.

Level 3 debt and equity securities priced using significant unobservable inputs

	Fair Value as of					Unobservable Adjustment Range (Weighted Average) as of
	September 30,		December 31,		Unobservable Input	September 30,	December 31,
(Fair value in millions )	2019		2018		September 30, 2019	2019	2018
Debt securities
Corporate and government debt securities	$	342	$	229	Liquidity	70 - 930 (280) bps	50 - 930 (230) bps
Mortgage and other asset-backed securities		140		138	Liquidity	60 - 360 (70) bps	60 - 340 (70) bps
					Weighting of credit spreads	250 - 460 (340) bps	190 - 340 (260) bps
Securities not priced by the Company ⁽¹⁾		-		11
Total Level 3 debt securities	$	482	$	378

(1) The fair values for these securities use single, unadjusted non-binding broker quotes not developed directly by the Company.

Changes in level 3 financial assets and liabilities carried at fair value

Debt and Equity Securities
	For the Three Months Ended September 30,
(In millions)	2019		2018
Balance at July 1,	$	431	$	528
Total (losses) included in shareholders’ net income		(6)		-
Gains included in other comprehensive income		4		2
Gains (losses) required to adjust future policy benefits for settlement annuities⁽¹⁾		1		(2)
Purchases, sales and settlements
Purchases		10		3
Sales		-		-
Settlements		(6)		(14)
Total purchases, sales and settlements		4		(11)
Transfers into/(out of) Level 3
Transfers into Level 3		80		24
Transfers out of Level 3		-		(73)
Total transfers into/(out of) Level 3		80		(49)
Balance at September 30,	$	514	$	468
Total (losses) included in shareholders' net income attributable to instruments held at the reporting date	$	(6)	$	(1)

(1) Amounts do not accrue to shareholders.


	For the Nine Months Ended September 30,
(In millions)	2019		2018
Balance at January 1,	$	410	$	732
Total (losses) included in shareholders’ net income		(7)		(21)
Gains (losses) included in other comprehensive income		16		(8)
Gains (losses) required to adjust future policy benefits for settlement annuities⁽¹⁾		3		(8)
Purchases, sales and settlements
Purchases		53		19
Sales		-		(11)
Settlements		(16)		(29)
Total purchases, sales and settlements		37		(21)
Transfers into/(out of) Level 3
Transfers into Level 3		113		44
Transfers out of Level 3 ⁽²⁾		(58)		(250)
Total transfers into/(out of) Level 3		55		(206)
Balance at September 30,	$	514	$	468
Total (losses) included in shareholders’ net income attributable to instruments held at the reporting date	$	(8)	$	(9)

(1) Amounts do not accrue to shareholders.
(2) Beginning in 2018, certain private equity securities are no longer carried at fair value under the policy election of ASU 2016-01 (Recognition and Measurement of Financial Assets and Financial Liabilities). Private equity securities of $70 million as of December 31, 2017 are included in the 2018 Transfers out of Level 3 amount.

Separate account assets schedule

(In millions)	Quoted Prices in Active Markets for Identical Assets (Level 1)				Significant Other Observable Inputs (Level 2)				Significant Unobservable Inputs (Level 3)				Total
	September 30,		December 31,		September 30,		December 31,		September 30,		December 31,		September 30,		December 31,
	2019		2018		2019		2018		2019		2018		2019		2018
Guaranteed separate accounts (See Note 16)	$	212	$	187	$	267	$	267	$	-	$	-	$	479	$	454
Non-guaranteed separate accounts ⁽¹⁾		1,400		1,204		5,487		5,216		241		233		7,128		6,653
Subtotal	$	1,612	$	1,391	$	5,754	$	5,483	$	241	$	233		7,607		7,107
Non-guaranteed separate accounts priced at NAV as a practical expedient⁽¹⁾														726		732
Total separate account assets													$	8,333	$	7,839

(1) Non-guaranteed separate accounts included $4.0 billion as of September 30, 2019 and $3.8 billion as of December 31, 2018 in assets supporting the Company’s pension plans, including $0.2 billion classified in Level 3 as of September 30, 2019 and December 31, 2018.

Separate account assets priced at net asset value

						Unfunded
						Commitments	Redemption Frequency
	Fair Value as of					as of	(if currently	Redemption Notice
(In millions)	September 30, 2019		December 31, 2018			September 30, 2019	eligible)	Period
Securities partnerships	$	500	$	477	$	349	Not applicable	Not applicable
Real estate funds		222		237		-	Quarterly	30 - 90 days
Hedge funds		4		18		-	Up to annually, varying by fund	30 - 90 days
Total	$	726	$	732	$	349

Financial instruments not carried at fair value

			September 30, 2019				December 31, 2018
(In millions)	Classification in Fair Value Hierarchy		Fair Value		Carrying Value		Fair Value		Carrying Value
Commercial mortgage loans	Level 3	$	1,938	$	1,886	$	1,832	$	1,858
Long-term debt, including current maturities, excluding finance leases	Level 2	$	40,103	$	37,526	$	40,819	$	40,829

- Definition

Tabular disclosure of financial instruments measured at fair value, including those classified in shareholders' equity measured on a recurring or nonrecurring basis. Disclosures include, but are not limited to, fair value measurements recorded and the reasons for the measurements, level within the fair value hierarchy in which the fair value measurements are categorized and transfers between levels 1 and 2. Nonrecurring fair value measurements are those that are required or permitted in the statement of financial position in particular circumstances.

+ References + Details