FAIR VALUE MEASUREMENTS (Tables)

9 Months Ended

Sep. 30, 2013

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, 2013
(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 maturities:
Government and agencies		$	12,609		$	657		$	0		$	13,266
Municipalities		0			1,057			0			1,057
Mortgage- and asset-backed securities		0			429			403			832
Public utilities		0			8,015			0			8,015
Sovereign and supranational		0			1,680			0			1,680
Banks/financial institutions		0			6,713			24			6,737
Other corporate		0			25,336			0			25,336
Total fixed maturities		12,609			43,887			427			56,923
Perpetual securities:
Banks/financial institutions		0			2,681			51			2,732
Other corporate		0			209			0			209
Total perpetual securities		0			2,890			51			2,941
Equity securities		14			5			3			22
Other assets:
Interest rate swaps		0			0			1			1
Foreign currency swaps		0			264			162			426
Foreign currency forwards		0			129			0			129
Foreign currency options		0			2			0			2
Credit default swaps		0			0			2			2
Interest rate swaptions		0			38			0			38
Total other assets		0			433			165			598
Cash and cash equivalents		2,749			0			0			2,749
Total assets		$	15,372		$	47,215		$	646		$	63,233
Liabilities:
Interest rate swaps		$	0		$	0		$	1		$	1
Foreign currency swaps		0			63			237			300
Foreign currency forwards		0			13			0			13
Foreign currency options		0			4			0			4
Credit default swaps		0			0			9			9
Interest rate swaptions		0			108			0			108
Total liabilities		$	0		$	188		$	247		$	435



	December 31, 2012
(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 maturities:
Government and agencies		$	12,265		$	732		$	0		$	12,997
Municipalities		0			1,195			0			1,195
Mortgage- and asset-backed securities		0			693			338			1,031
Public utilities		0			8,077			420			8,497
Sovereign and supranational		0			1,654			418			2,072
Banks/financial institutions		0			6,610			1,024			7,634
Other corporate		0			22,841			986			23,827
Total fixed maturities		12,265			41,802			3,186			57,253
Perpetual securities:
Banks/financial institutions		0			3,735			215			3,950
Other corporate		0			352			0			352
Total perpetual securities		0			4,087			215			4,302
Equity securities		13			6			4			23
Other assets:
Interest rate swaps		0			0			32			32
Foreign currency swaps		0			154			157			311
Credit default swaps		0			0			2			2
Total other assets		0			154			191			345
Cash and cash equivalents		2,041			0			0			2,041
Total assets		$	14,319		$	46,049		$	3,596		$	63,964
Liabilities:
Interest rate swaps		$	0		$	0		$	3		$	3
Foreign currency swaps		0			0			329			329
Foreign currency forwards		0			535			0			535
Credit default swaps		0			0			67			67
Total liabilities		$	0		$	535		$	399		$	934

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, 2013
(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 maturities:
Government and agencies		$	24,708		$	26,074		$	0		$	0		$	26,074
Municipalities		432			0			481			0			481
Mortgage and asset-backed securities		66			0			23			46			69
Public utilities		4,359			0			4,343			0			4,343
Sovereign and supranational		3,219			0			3,275			0			3,275
Banks/financial institutions		6,905			0			6,555			0			6,555
Other corporate		3,918			0			3,959			0			3,959
Total assets		$	43,607		$	26,074		$	18,636		$	46		$	44,756
Liabilities:
Other policyholders’ funds		$	5,739		$	0		$	0		$	5,591		$	5,591
Notes payable (excluding capital leases)		4,946			0			0			5,341			5,341
Total liabilities		$	10,685		$	0		$	0		$	10,932		$	10,932



	December 31, 2012
(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 maturities:
Government and agencies		$	32,043		$	32,332		$	0		$	0		$	32,332
Municipalities		492			0			520			0			520
Mortgage and asset-backed securities		90			0			30			64			94
Public utilities		4,924			0			5,051			0			5,051
Sovereign and supranational		3,209			0			3,317			0			3,317
Banks/financial institutions		9,211			0			8,991			0			8,991
Other corporate		4,457			0			4,536			0			4,536
Total assets		$	54,426		$	32,332		$	22,445		$	64		$	54,841
Liabilities:
Other policyholders’ funds		$	5,319		$	0		$	0		$	5,151		$	5,151
Notes payable (excluding capital leases)		4,343			0			0			4,992			4,992
Obligation to Japanese policyholder protection corporation		23			0			0			23			23
Total liabilities		$	9,685		$	0		$	0		$	10,166		$	10,166

Fair Value Assets Available-for-Sale Securities Primary Pricing Sources Table Text Block [Table Text Block]



	December 31, 2012
(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 maturities:
Government and agencies:
Third party pricing vendor		$	12,265		$	685		$	0		$	12,950
DCF pricing model		0			47			0			47
Total government and agencies		12,265			732			0			12,997
Municipalities:
Third party pricing vendor		0			1,177			0			1,177
DCF pricing model		0			18			0			18
Total municipalities		0			1,195			0			1,195
Mortgage- and asset-backed securities:
Third party pricing vendor		0			682			0			682
DCF pricing model		0			11			0			11
Broker/other		0			0			338			338
Total mortgage- and asset-backed securities		0			693			338			1,031
Public utilities:
Third party pricing vendor		0			5,144			0			5,144
DCF pricing model		0			2,908			420			3,328
Broker/other		0			25			0			25
Total public utilities		0			8,077			420			8,497
Sovereign and supranational:
Third party pricing vendor		0			540			0			540
DCF pricing model		0			619			418			1,037
Broker/other		0			495			0			495
Total sovereign and supranational		0			1,654			418			2,072
Banks/financial institutions:
Third party pricing vendor		0			4,257			0			4,257
DCF pricing model		0			2,136			444			2,580
Broker/other		0			217			580			797
Total banks/financial institutions		0			6,610			1,024			7,634
Other corporate:
Third party pricing vendor		0			18,093			0			18,093
DCF pricing model		0			4,747			575			5,322
Broker/other		0			1			411			412
Total other corporate		0			22,841			986			23,827
Total fixed maturities		12,265			41,802			3,186			57,253
Perpetual securities:
Banks/financial institutions:
Third party pricing vendor		0			283			0			283
DCF pricing model		0			3,452			215			3,667
Total banks/financial institutions		0			3,735			215			3,950



(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
Other corporate:
DCF pricing model		0			352			0			352
Total other corporate		0			352			0			352
Total perpetual securities		0			4,087			215			4,302
Equity securities:
Third party pricing vendor		13			0			0			13
DCF pricing model		0			6			0			6
Broker/other		0			0			4			4
Total equity securities		13			6			4			23
Total securities available for sale		$	12,278		$	45,895		$	3,405		$	61,578

The following tables present the pricing sources for the fair values of our fixed maturities, perpetual securities, and equity securities.



	September 30, 2013
(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 maturities:
Government and agencies:
Third party pricing vendor		$	12,609		$	657		$	0		$	13,266
Total government and agencies		12,609			657			0			13,266
Municipalities:
Third party pricing vendor		0			1,057			0			1,057
Total municipalities		0			1,057			0			1,057
Mortgage- and asset-backed securities:
Third party pricing vendor		0			429			0			429
Broker/other		0			0			403			403
Total mortgage- and asset-backed securities		0			429			403			832
Public utilities:
Third party pricing vendor		0			7,845			0			7,845
Broker/other		0			170			0			170
Total public utilities		0			8,015			0			8,015
Sovereign and supranational:
Third party pricing vendor		0			1,674			0			1,674
Broker/other		0			6			0			6
Total sovereign and supranational		0			1,680			0			1,680
Banks/financial institutions:
Third party pricing vendor		0			6,713			0			6,713
Broker/other		0			0			24			24
Total banks/financial institutions		0			6,713			24			6,737
Other corporate:
Third party pricing vendor		0			25,307			0			25,307
Broker/other		0			29			0			29
Total other corporate		0			25,336			0			25,336
Total fixed maturities		12,609			43,887			427			56,923
Perpetual securities:
Banks/financial institutions:
Third party pricing vendor		0			2,681			51			2,732
Total banks/financial institutions		0			2,681			51			2,732
Other corporate:
Third party pricing vendor		0			209			0			209
Total other corporate		0			209			0			209
Total perpetual securities		0			2,890			51			2,941
Equity securities:
Third party pricing vendor		14			5			0			19
Broker/other		0			0			3			3
Total equity securities		14			5			3			22
Total securities available for sale		$	12,623		$	46,782		$	481		$	59,886

Fair Value Assets Held-To-Maturity Securities Primary Pricing Sources Table Text Block [Table Text Block]



	September 30, 2013
(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 maturities:
Government and agencies:
Third party pricing vendor		$	26,074		$	0		$	0		$	26,074
Total government and agencies		26,074			0			0			26,074
Municipalities:
Third party pricing vendor		0			481			0			481
Total municipalities		0			481			0			481
Mortgage- and asset-backed securities:
Third party pricing vendor		0			23			0			23
Broker/other		0			0			46			46
Total mortgage- and asset-backed securities		0			23			46			69
Public utilities:
Third party pricing vendor		0			4,232			0			4,232
Broker/other		0			111			0			111
Total public utilities		0			4,343			0			4,343
Sovereign and supranational:
Third party pricing vendor		0			3,275			0			3,275
Total sovereign and supranational		0			3,275			0			3,275
Banks/financial institutions:
Third party pricing vendor		0			6,555			0			6,555
Total banks/financial institutions		0			6,555			0			6,555
Other corporate:
Third party pricing vendor		0			3,959			0			3,959
Total other corporate		0			3,959			0			3,959
Total securities held to maturity		$	26,074		$	18,636		$	46		$	44,756



	December 31, 2012
(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 maturities:
Government and agencies:
Third party pricing vendor		$	32,332		$	0		$	0		$	32,332
Total government and agencies		32,332			0			0			32,332
Municipalities:
Third party pricing vendor		0			464			0			464
DCF pricing model		0			56			0			56
Total municipalities		0			520			0			520
Mortgage- and asset-backed securities:
Third party pricing vendor		0			30			0			30
Broker/other		0			0			64			64
Total mortgage- and asset-backed securities		0			30			64			94
Public utilities:
Third party pricing vendor		0			58			0			58
DCF pricing model		0			4,993			0			4,993
Total public utilities		0			5,051			0			5,051
Sovereign and supranational:
Third party pricing vendor		0			370			0			370
DCF pricing model		0			2,947			0			2,947
Total sovereign and supranational		0			3,317			0			3,317
Banks/financial institutions:
Third party pricing vendor		0			254			0			254
DCF pricing model		0			8,737			0			8,737
Total banks/financial institutions		0			8,991			0			8,991
Other corporate:
Third party pricing vendor		0			122			0			122
DCF pricing model		0			4,414			0			4,414
Total other corporate		0			4,536			0			4,536
Total securities held to maturity		$	32,332		$	22,445		$	64		$	54,841

Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation

The following tables present the changes in fair value of our available-for-sale investments and derivatives classified as Level 3.



Three Months Ended September 30, 2013
	Fixed Maturities												Perpetual Securities		Equity Securities		Derivatives ⁽¹⁾
(In millions)	Mortgage- and Asset- Backed Securities			Public Utilities		Sovereign and Supranational		Banks/ Financial Institutions			Other Corporate		Banks/ Financial Institutions				Interest Rate Swaps			Foreign Currency Swaps			Credit Default Swaps			Total
Balance, beginning of period	$	399		$	0	$	0	$	25		$	0	$	49	$	3	$	21		$	(126	)	$	(44	)	$	327
Realized investment gains (losses) included in earnings	0			0		0		0			0		0		0		(1		)	49			4			52
Unrealized gains (losses) included in other comprehensive income (loss)	7			0		0		(1		)	0		2		0		0			2			0			10
Purchases, issuances, sales and settlements:
Purchases	0			0		0		0			0		0		0		0			0			0			0
Issuances	0			0		0		0			0		0		0		0			0			0			0
Sales	0			0		0		0			0		0		0		(20		)	0			33			13
Settlements	(3		)	0		0		0			0		0		0		0			0			0			(3		)
Transfers into Level 3	0			0		0		0			0		0		0		0			0			0			0
Transfers out of Level 3	0			0		0		0			0		0		0		0			0			0			0
Balance, end of period	$	403		$	0	$	0	$	24		$	0	$	51	$	3	$	0		$	(75	)	$	(7	)	$	399
Changes in unrealized gains (losses) relating to Level 3 assets and liabilities still held at the end of the period included in realized investment gains (losses)	$	0		$	0	$	0	$	0		$	0	$	0	$	0	$	(1	)	$	49		$	4		$	52

⁽¹⁾ Derivative assets and liabilities are presented net



Three Months Ended September 30, 2012
	Fixed Maturities												Perpetual Securities			Equity Securities		Derivatives⁽¹⁾
(In millions)	Mortgage- and Asset- Backed Securities			Public Utilities		Sovereign and Supranational		Banks/ Financial Institutions			Other Corporate		Banks/ Financial Institutions					Interest Rate Swaps		Foreign Currency Swaps			Credit Default Swaps			Total
Balance, beginning of period	$	379		$	418	$	436	$	1,114		$	1,031	$	307		$	4	$	27	$	(113	)	$	(107	)	$	3,496
Realized investment gains (losses) included in earnings	0			0		0		0			0		(27		)	0		7		76			25			81
Unrealized gains (losses) included in other comprehensive income (loss)	11			31		24		103			42		90			0		0		2			0			303
Purchases, issuances, sales and settlements:
Purchases	0			0		0		0			0		0			0		0		0			0			0
Issuances	0			0		0		0			0		0			0		0		0			0			0
Sales	0			0		0		0			0		0			0		0		0			0			0
Settlements	(5		)	0		0		0			0		0			0		0		(2		)	0			(7		)
Transfers into Level 3	0			0		0		206		⁽²⁾	0		0			0		0		0			0			206
Transfers out of Level 3	0			0		0		0			0		0			0		0		0			0			0
Balance, end of period	$	385		$	449	$	460	$	1,423		$	1,073	$	370		$	4	$	34	$	(37	)	$	(82	)	$	4,079
Changes in unrealized gains (losses) relating to Level 3 assets and liabilities still held at the end of the period included in realized investment gains (losses)	$	0		$	0	$	0	$	0		$	0	$	(27	)	$	0	$	7	$	76		$	25		$	81

⁽¹⁾Derivative assets and liabilities are presented net

⁽²⁾ Due to a lack of visibility to observe significant inputs to price



Nine Months Ended September 30, 2013
	Fixed Maturities															Perpetual Securities			Equity Securities			Derivatives ⁽¹⁾
(In millions)	Mortgage- and Asset- Backed Securities			Public Utilities			Sovereign and Supranational			Banks/ Financial Institutions			Other Corporate			Banks/ Financial Institutions						Interest Rate Swaps			Foreign Currency Swaps			Credit Default Swaps			Total
Balance, beginning of period	$	338		$	420		$	418		$	1,024		$	986		$	215		$	4		$	29		$	(172	)	$	(65	)	$	3,197
Realized investment gains (losses) included in earnings	0			0			0			0			0			0			0			(9		)	102			25			118
Unrealized gains (losses) included in other comprehensive income (loss)	(42		)	(20		)	0			(3		)	0			2			(1		)	0			(5		)	0			(69		)
Purchases, issuances, sales and settlements:
Purchases	0			0			0			0			0			0			0			0			0			0			0
Issuances	0			0			0			0			0			0			0			0			0			0			0
Sales	0			(400		)	0			0			0			0			0			(20		)	0			33			(387		)
Settlements	(9		)	0			0			0			0			0			0			0			0			0			(9		)
Transfers into Level 3⁽²⁾	125			0			0			0			0			49			0			0			0			0			174
Transfers out of Level 3⁽³⁾	(9		)	0			(418		)	(997		)	(986		)	(215		)	0			0			0			0			(2,625		)
Balance, end of period	$	403		$	0		$	0		$	24		$	0		$	51		$	3		$	0		$	(75	)	$	(7	)	$	399
Changes in unrealized gains (losses) relating to Level 3 assets and liabilities still held at the end of the period included in realized investment gains (losses)	$	0		$	0		$	0		$	0		$	0		$	0		$	0		$	(9	)	$	102		$	25		$	118

⁽¹⁾ Derivative assets and liabilities are presented net

⁽²⁾Due to a lack of visibility to observe significant inputs to price

⁽³⁾A result of changing our pricing methodology to a valuation method that uses observable market data as significant inputs to estimate fair value



Nine Months Ended September 30, 2012
	Fixed Maturities													Perpetual Securities			Equity Securities		Derivatives ⁽¹⁾
(In millions)	Mortgage- and Asset- Backed Securities			Public Utilities		Sovereign and Supranational		Banks/ Financial Institutions			Other Corporate			Banks/ Financial Institutions					Interest Rate Swaps		Foreign Currency Swaps			Credit Default Swaps			Total
Balance, beginning of period	$	394		$	422	$	434	$	1,074		$	1,105		$	526		$	4	$	30	$	(56	)	$	(130	)	$	3,803
Realized investment gains (losses) included in earnings	(3		)	0		0		0			2			22			0		4		58			48			131
Unrealized gains (losses) included in other comprehensive income (loss)	10			27		26		143			0			78			0		0		(6		)	0			278
Purchases, issuances, sales and settlements:
Purchases	0			0		0		0			0			0			0		0		0			0			0
Issuances	0			0		0		0			0			0			0		0		0			0			0
Sales	0			0		0		0			(34		)	(256		)	0		0		0			0			(290		)
Settlements	(16		)	0		0		0			0			0			0		0		(33		)	0			(49		)
Transfers into Level 3	0			0		0		206		⁽²⁾	0			0			0		0		0			0			206
Transfers out of Level 3	0			0		0		0			0			0			0		0		0			0			0
Balance, end of period	$	385		$	449	$	460	$	1,423		$	1,073		$	370		$	4	$	34	$	(37	)	$	(82	)	$	4,079
Changes in unrealized gains (losses) relating to Level 3 assets and liabilities still held at the end of the period included in realized investment gains (losses)	$	(3	)	$	0	$	0	$	0		$	0		$	(27	)	$	0	$	4	$	58		$	48		$	80

⁽¹⁾ Derivative assets and liabilities are presented net

⁽²⁾Due to a lack of visibility to observe significant inputs to price

Fair Value Inputs Assets Quantitative Information

The following tables summarize the significant unobservable inputs used in the valuation of our Level 3 available-for-sale investments and derivatives. 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, 2013

(In millions)

Fair Value

Valuation Technique(s)

Unobservable Input

Range
(Weighted Average)

Assets:

Securities available for sale, carried at fair value:

Fixed maturities:

Mortgage- and asset-backed securities

403

Consensus pricing

Offered quotes

N/A

^(e)

Banks/financial institutions

Consensus pricing

Offered quotes

N/A

^(e)

Perpetual securities:

Banks/financial institutions

Consensus pricing

Offered quotes

N/A

^(e)

Equity securities

Net asset value

Offered quotes

$1-$835 ($8)

Other assets:

Interest rate swaps

Discounted cash flow

Base correlation

55% - 69% (62%)

^(a)

CDS spreads

82 - 138 (115) bps

Recovery rate

37.00%

Foreign currency swaps

Discounted cash flow

Interest rates (USD)

2.77% - 3.68%

^(b)

Interest rates (JPY)

.86% - 1.97%

^(c)

CDS spreads

35 - 150 bps

Foreign exchange rates

21.35%

^(d)

Discounted cash flow

Interest rates (USD)

2.77% - 3.68%

^(b)

Interest rates (JPY)

.86% - 1.97%

^(c)

CDS spreads

20 - 128 bps

Discounted cash flow

Interest rates (USD)

2.77% - 3.68%

^(b)

Interest rates (JPY)

.86% - 1.97%

^(c)

Foreign exchange rates

21.35%

^(d)

Credit default swaps

Discounted cash flow

Base correlation

55% - 69% (62%)

^(a)

CDS spreads

82 - 138 (115) bps

Recovery rate

37.00%

Total assets

646

(a) Weighted-average range of base correlations for our bespoke tranches for attachment and detachment points corresponding to market indices

(b) Inputs derived from U.S. long-term rates to accommodate long maturity nature of our swaps

(d) Based on 10 year volatility of JPY/USD exchange rate

(e) N/A represents securities where we receive unadjusted broker quotes and for which there is no transparency into the providers' valuation techniques or unobservable inputs.

December 31, 2012

(In millions)

Fair Value

Valuation Technique(s)

Unobservable Input

Range
(Weighted Average)

Assets:

Securities available for sale, carried at fair value:

Fixed maturities:

Mortgage- and asset-backed securities

338

Consensus pricing

Offered quotes

N/A

^(e)

Public utilities

420

Discounted cash flow

Historical volatility

7.36%

Sovereign and supranational

418

Discounted cash flow

Historical volatility

7.36%

Banks/financial institutions

444

Discounted cash flow

Historical volatility

7.36%

580

Consensus pricing

Offered quotes

N/A

^(e)

Other corporate

575

Discounted cash flow

Historical volatility

7.36%

411

Consensus pricing

Offered quotes

N/A

^(e)

Perpetual securities:

Banks/financial institutions

215

Discounted cash flow

Historical volatility

7.36%

Equity securities

Net asset value

Offered quotes

$2-$943 ($8)

Other assets:

Interest rate swaps

Discounted cash flow

Base correlation

49% - 50%

^(a)

CDS spreads

91 - 152 bps

Recovery rate

37.00%

Foreign currency swaps

Discounted cash flow

Interest rates (USD)

1.84% - 2.84%

^(b)

Interest rates (JPY)

.84% - 2.05%

^(c)

CDS spreads

12 - 117 bps

Foreign exchange rates

20.65%

^(d)

Discounted cash flow

Interest rates (USD)

1.84% - 2.84%

^(b)

Interest rates (JPY)

.84% - 2.05%

^(c)

CDS spreads

12 - 126 bps

102

Discounted cash flow

Interest rates (USD)

1.84% - 2.84%

^(b)

Interest rates (JPY)

.84% - 2.05%

^(c)

Foreign exchange rates

20.65%

^(d)

Credit default swaps

Discounted cash flow

Base correlation

49% - 50%

^(a)

CDS spreads

91 - 152 bps

Recovery rate

37.00%

Total assets

3,596

(a) Weighted-average range of base correlations for our bespoke tranches for attachment and detachment points corresponding to market indices

(b) Inputs derived from U.S. long-term rates to accommodate long maturity nature of our swaps

(d) Based on 10 year volatility of JPY/USD exchange rate

(e) N/A represents securities where we receive unadjusted broker quotes and for which there is no transparency into the providers' valuation techniques or unobservable inputs.

Fair Value Inputs Liabilities Quantitative Information

September 30, 2013

(In millions)

Fair Value

Valuation Technique(s)

Unobservable Input

Range
(Weighted Average)

Liabilities:

Interest rate swaps

Discounted cash flow

Base correlation

55% - 69% (62%)

^(a)

CDS spreads

82 - 138 (115) bps

Recovery rate

37.00%

Foreign currency swaps

Discounted cash flow

Interest rates (USD)

2.77% - 3.68%

^(b)

Interest rates (JPY)

.86% - 1.97%

^(c)

CDS spreads

35 - 150 bps

Foreign exchange rates

21.35%

^(d)

Discounted cash flow

Interest rates (USD)

2.77% - 3.68%

^(b)

Interest rates (JPY)

.86% - 1.97%

^(c)

CDS spreads

19 - 273 bps

131

Discounted cash flow

Interest rates (USD)

2.77% - 3.68%

^(b)

Interest rates (JPY)

.86% - 1.97%

^(c)

Foreign exchange rates

21.35%

^(d)

Credit default swaps

Discounted cash flow

Base correlations

55% - 69% (62%)

^(a)

CDS spreads

82 - 138 (115) bps

Recovery rate

37.00%

Total liabilities

247

(a) Weighted-average range of base correlations for our bespoke tranches for attachment and detachment points corresponding to market indices

(b) Inputs derived from U.S. long-term rates to accommodate long maturity nature of our swaps

(d) Based on 10 year volatility of JPY/USD exchange rate

December 31, 2012

(In millions)

Fair Value

Valuation Technique(s)

Unobservable Input

Range
(Weighted Average)

Liabilities:

Interest rate swaps

Discounted cash flow

Base correlation

49% - 50%

^(a)

CDS spreads

91 - 152 bps

Recovery rate

37.00%

Foreign currency swaps

118

Discounted cash flow

Interest rates (USD)

1.84% - 2.84%

^(b)

Interest rates (JPY)

.84% - 2.05%

^(c)

CDS spreads

22 - 141 bps

Foreign exchange rates

20.65%

^(d)

Discounted cash flow

Interest rates (USD)

1.84% - 2.84%

^(b)

Interest rates (JPY)

.84% - 2.05%

^(c)

CDS spreads

25 - 186 bps

151

Discounted cash flow

Interest rates (USD)

1.84% - 2.84%

^(b)

Interest rates (JPY)

.84% - 2.05%

^(c)

Foreign exchange rates

20.65%

^(d)

Credit default swaps

Discounted cash flow

Base correlations

49% - 50%

^(a)

CDS spreads

91 - 152 bps

Recovery rate

37.00%

Total liabilities

399

(a) Weighted-average range of base correlations for our bespoke tranches for attachment and detachment points corresponding to market indices

(b) Inputs derived from U.S. long-term rates to accommodate long maturity nature of our swaps

(d) Based on 10 year volatility of JPY/USD exchange rate

- Definition

Tabular disclosure of the fair value measurement of assets using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes during the period attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets) and gains or losses recognized in other comprehensive income (loss), and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs), by class of asset.

+ References+ Details