FAIR VALUE MEASUREMENTS (Tables)

9 Months Ended

Sep. 30, 2014

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, 2014
(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		$	19,489		$	534		$	0		$	20,023
Municipalities		0			1,214			0			1,214
Mortgage- and asset-backed securities		0			392			245			637
Public utilities		0			8,012			0			8,012
Sovereign and supranational		0			1,494			0			1,494
Banks/financial institutions		0			6,816			25			6,841
Other corporate		0			29,011			0			29,011
Total fixed maturities		19,489			47,473			270			67,232
Perpetual securities:
Banks/financial institutions		0			2,779			0			2,779
Other corporate		0			247			0			247
Total perpetual securities		0			3,026			0			3,026
Equity securities		14			6			3			23
Other assets:
Foreign currency swaps		0			421			98			519
Foreign currency forwards		0			7			0			7
Foreign currency options		0			1			0			1
Interest rate swaptions		0			14			0			14
Total other assets		0			443			98			541
Other investments		4,001			0			0			4,001
Cash and cash equivalents		2,666			0			0			2,666
Total assets		$	26,170		$	50,948		$	371		$	77,489
Liabilities:
Foreign currency swaps		$	0		$	0		$	189		$	189
Foreign currency forwards		0			979			0			979
Foreign currency options		0			8			0			8
Credit default swaps		0			0			1			1
Interest rate swaptions		0			65			0			65
Total liabilities		$	0		$	1,052		$	190		$	1,242



	December 31, 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		$	14,928		$	504		$	0		$	15,432
Municipalities		0			1,051			0			1,051
Mortgage- and asset-backed securities		0			402			369			771
Public utilities		0			7,562			0			7,562
Sovereign and supranational		0			1,523			0			1,523
Banks/financial institutions		0			6,486			23			6,509
Other corporate		0			25,222			0			25,222
Total fixed maturities		14,928			42,750			392			58,070
Perpetual securities:
Banks/financial institutions		0			2,686			52			2,738
Other corporate		0			209			0			209
Total perpetual securities		0			2,895			52			2,947
Equity securities		14			4			3			21
Other assets:
Foreign currency swaps		0			341			104			445
Foreign currency forwards		0			17			0			17
Foreign currency options		0			4			0			4
Credit default swaps		0			0			1			1
Interest rate swaps		0			0			1			1
Interest rate swaptions		0			20			0			20
Total other assets		0			382			106			488
Other investments		463			0			0			463
Cash and cash equivalents		2,543			0			0			2,543
Total assets		$	17,948		$	46,031		$	553		$	64,532
Liabilities:
Foreign currency swaps		$	0		$	15		$	203		$	218
Foreign currency forwards		0			582			0			582
Foreign currency options		0			1			0			1
Credit default swaps		0			0			4			4
Interest rate swaptions		0			32			0			32
Total liabilities		$	0		$	630		$	207		$	837

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, 2014
(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		$	22,056		$	24,199		$	0		$	0		$	24,199
Municipalities		382			0			438			0			438
Mortgage and asset-backed securities		51			0			17			37			54
Public utilities		3,681			0			3,903			0			3,903
Sovereign and supranational		2,823			0			3,029			0			3,029
Banks/financial institutions		5,432			0			5,511			0			5,511
Other corporate		3,318			0			3,582			0			3,582
Total assets		$	37,743		$	24,199		$	16,480		$	37		$	40,716
Liabilities:
Other policyholders’ funds		$	6,567		$	0		$	0		$	6,428		$	6,428
Notes payable (excluding capital leases)		4,552			0			0			5,075			5,075
Total liabilities		$	11,119		$	0		$	0		$	11,503		$	11,503



	December 31, 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		$	27,362		$	28,708		$	0		$	0		$	28,708
Municipalities		399			0			440			0			440
Mortgage and asset-backed securities		58			0			20			41			61
Public utilities		3,900			0			3,928			0			3,928
Sovereign and supranational		2,941			0			3,040			0			3,040
Banks/financial institutions		6,310			0			6,128			0			6,128
Other corporate		3,445			0			3,541			0			3,541
Total assets		$	44,415		$	28,708		$	17,097		$	41		$	45,846
Liabilities:
Other policyholders’ funds		$	5,861		$	0		$	0		$	5,715		$	5,715
Notes payable (excluding capital leases)		4,891			0			0			5,241			5,241
Total liabilities		$	10,752		$	0		$	0		$	10,956		$	10,956

Fair Value Assets Available-for-Sale Securities Primary Pricing Sources

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



	September 30, 2014
(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		$	19,489		$	534		$	0		$	20,023
Total government and agencies		19,489			534			0			20,023
Municipalities:
Third party pricing vendor		0			1,214			0			1,214
Total municipalities		0			1,214			0			1,214
Mortgage- and asset-backed securities:
Third party pricing vendor		0			392			0			392
Broker/other		0			0			245			245
Total mortgage- and asset-backed securities		0			392			245			637
Public utilities:
Third party pricing vendor		0			8,012			0			8,012
Total public utilities		0			8,012			0			8,012
Sovereign and supranational:
Third party pricing vendor		0			1,494			0			1,494
Total sovereign and supranational		0			1,494			0			1,494
Banks/financial institutions:
Third party pricing vendor		0			6,816			0			6,816
Broker/other		0			0			25			25
Total banks/financial institutions		0			6,816			25			6,841
Other corporate:
Third party pricing vendor		0			28,997			0			28,997
Broker/other		0			14			0			14
Total other corporate		0			29,011			0			29,011
Total fixed maturities		19,489			47,473			270			67,232
Perpetual securities:
Banks/financial institutions:
Third party pricing vendor		0			2,779			0			2,779
Total banks/financial institutions		0			2,779			0			2,779
Other corporate:
Third party pricing vendor		0			247			0			247
Total other corporate		0			247			0			247
Total perpetual securities		0			3,026			0			3,026
Equity securities:
Third party pricing vendor		14			6			0			20
Broker/other		0			0			3			3
Total equity securities		14			6			3			23
Total securities available for sale		$	19,503		$	50,505		$	273		$	70,281



	December 31, 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		$	14,928		$	504		$	0		$	15,432
Total government and agencies		14,928			504			0			15,432
Municipalities:
Third party pricing vendor		0			1,051			0			1,051
Total municipalities		0			1,051			0			1,051
Mortgage- and asset-backed securities:
Third party pricing vendor		0			402			0			402
Broker/other		0			0			369			369
Total mortgage- and asset-backed securities		0			402			369			771
Public utilities:
Third party pricing vendor		0			7,562			0			7,562
Total public utilities		0			7,562			0			7,562
Sovereign and supranational:
Third party pricing vendor		0			1,523			0			1,523
Total sovereign and supranational		0			1,523			0			1,523
Banks/financial institutions:
Third party pricing vendor		0			6,486			0			6,486
Broker/other		0			0			23			23
Total banks/financial institutions		0			6,486			23			6,509
Other corporate:
Third party pricing vendor		0			25,220			0			25,220
Broker/other		0			2			0			2
Total other corporate		0			25,222			0			25,222
Total fixed maturities		14,928			42,750			392			58,070
Perpetual securities:
Banks/financial institutions:
Third party pricing vendor		0			2,686			52			2,738
Total banks/financial institutions		0			2,686			52			2,738
Other corporate:
Third party pricing vendor		0			209			0			209
Total other corporate		0			209			0			209
Total perpetual securities		0			2,895			52			2,947
Equity securities:
Third party pricing vendor		14			4			0			18
Broker/other		0			0			3			3
Total equity securities		14			4			3			21
Total securities available for sale		$	14,942		$	45,649		$	447		$	61,038

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



	December 31, 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		$	28,708		$	0		$	0		$	28,708
Total government and agencies		28,708			0			0			28,708
Municipalities:
Third party pricing vendor		0			440			0			440
Total municipalities		0			440			0			440
Mortgage- and asset-backed securities:
Third party pricing vendor		0			20			0			20
Broker/other		0			0			41			41
Total mortgage- and asset-backed securities		0			20			41			61
Public utilities:
Third party pricing vendor		0			3,928			0			3,928
Total public utilities		0			3,928			0			3,928
Sovereign and supranational:
Third party pricing vendor		0			3,040			0			3,040
Total sovereign and supranational		0			3,040			0			3,040
Banks/financial institutions:
Third party pricing vendor		0			6,128			0			6,128
Total banks/financial institutions		0			6,128			0			6,128
Other corporate:
Third party pricing vendor		0			3,509			0			3,509
Broker/other		0			32			0			32
Total other corporate		0			3,541			0			3,541
Total securities held to maturity		$	28,708		$	17,097		$	41		$	45,846



	September 30, 2014
(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		$	24,199		$	0		$	0		$	24,199
Total government and agencies		24,199			0			0			24,199
Municipalities:
Third party pricing vendor		0			438			0			438
Total municipalities		0			438			0			438
Mortgage- and asset-backed securities:
Third party pricing vendor		0			17			0			17
Broker/other		0			0			37			37
Total mortgage- and asset-backed securities		0			17			37			54
Public utilities:
Third party pricing vendor		0			3,903			0			3,903
Total public utilities		0			3,903			0			3,903
Sovereign and supranational:
Third party pricing vendor		0			3,029			0			3,029
Total sovereign and supranational		0			3,029			0			3,029
Banks/financial institutions:
Third party pricing vendor		0			5,511			0			5,511
Total banks/financial institutions		0			5,511			0			5,511
Other corporate:
Third party pricing vendor		0			3,552			0			3,552
Broker/other		0			30			0			30
Total other corporate		0			3,582			0			3,582
Total securities held to maturity		$	24,199		$	16,480		$	37		$	40,716

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

Level 3 Rollforward and Transfers between Hierarchy Levels

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, 2014
	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	$	266		$	0	$	0	$	25	$	0	$	0	$	3	$	(1	)	$	11		$	0		$	304
Realized investment gains (losses) included in earnings	0			0		0		0		0		0		0		1			(93		)	(1		)	(93		)
Unrealized gains (losses) included in other comprehensive income (loss)	(18		)	0		0		0		0		0		0		0			(9		)	0			(27		)
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	(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	$	245		$	0	$	0	$	25	$	0	$	0	$	3	$	0		$	(91	)	$	(1	)	$	181
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		$	(93	)	$	(1	)	$	(93	)

⁽¹⁾ Derivative assets and liabilities are presented net



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



Nine Months Ended September 30, 2014
	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	$	369		$	0	$	0	$	23	$	0	$	52		$	3	$	1		$	(99	)	$	(3	)	$	346
Realized investment gains (losses) included in earnings	0			0		0		0		0		0			0		(1		)	(79		)	2			(78		)
Unrealized gains (losses) included in other comprehensive income (loss)	(115		)	0		0		2		0		8			0		0			(8		)	0			(113		)
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		(60		)	0		0			0			0			(60		)
Settlements	(9		)	0		0		0		0		0			0		0			95			0			86
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	$	245		$	0	$	0	$	25	$	0	$	0		$	3	$	0		$	(91	)	$	(1	)	$	181
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	)	$	(79	)	$	2		$	(78	)

⁽¹⁾ Derivative assets and liabilities are presented net



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

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, 2014

(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

245

Consensus pricing

Offered quotes

N/A

^(e)

Banks/financial institutions

Consensus pricing

Offered quotes

N/A

^(e)

Equity securities

Net asset value

Offered quotes

$1 - $746 ($7)

Other assets:

Foreign currency swaps

Discounted cash flow

Interest rates (USD)

2.64% - 3.21%

^(b)

Interest rates (JPY)

.65% - 1.79%

^(c)

CDS spreads

18 - 118 bps

Foreign exchange rates

20.34%

^(d)

Discounted cash flow

Interest rates (USD)

2.64% - 3.21%

^(b)

Interest rates (JPY)

.65% - 1.79%

^(c)

CDS spreads

28 - 145 bps

Discounted cash flow

Interest rates (USD)

2.64% - 3.21%

^(b)

Interest rates (JPY)

.65% - 1.79%

^(c)

Foreign exchange rates

20.34%

^(d)

Total assets

371

(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, 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

369

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-$774 ($7)

Other assets:

Foreign currency swaps

Discounted cash flow

Interest rates (USD)

3.09% - 3.96%

^(b)

Interest rates (JPY)

.93% - 2.02%

^(c)

CDS spreads

16 - 141 bps

Foreign exchange rates

21.16%

^(d)

Discounted cash flow

Interest rates (USD)

3.09% - 3.96%

^(b)

Interest rates (JPY)

.93% - 2.02%

^(c)

CDS spreads

17 - 149 bps

Discounted cash flow

Interest rates (USD)

3.09% - 3.96%

^(b)

Interest rates (JPY)

.93% - 2.02%

^(c)

Foreign exchange rates

21.16%

^(d)

Credit default swaps

Discounted cash flow

Base correlation

65% - 76% (72%)

^(a)

CDS spreads

65 - 106 (92) bps

Recovery rate

37.00%

Interest rate swaps

Discounted cash flow

Base correlation

65% - 76% (72%)

^(a)

CDS spreads

65 - 106 (92) bps

Recovery rate

37.00%

Total assets

553

(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, 2014

(In millions)

Fair Value

Valuation Technique(s)

Unobservable Input

Range
(Weighted Average)

Liabilities:

Foreign currency swaps

123

Discounted cash flow

Interest rates (USD)

2.64% - 3.21%

^(b)

Interest rates (JPY)

.65% - 1.79%

^(c)

CDS spreads

18 - 118 bps

Foreign exchange rates

20.34%

^(d)

Discounted cash flow

Interest rates (USD)

2.64% - 3.21%

^(b)

Interest rates (JPY)

.65% - 1.79%

^(c)

CDS spreads

13 - 163 bps

Discounted cash flow

Interest rates (USD)

2.64% - 3.21%

^(b)

Interest rates (JPY)

.65% - 1.79%

^(c)

Foreign exchange rates

20.34%

^(d)

Credit default swaps

Discounted cash flow

Base correlations

65% - 75% (70%)

^(a)

CDS spreads

66 - 101 (86) bps

Recovery rate

37.00%

Total liabilities

190

(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, 2013

(In millions)

Fair Value

Valuation Technique(s)

Unobservable Input

Range
(Weighted Average)

Liabilities:

Foreign currency swaps

Discounted cash flow

Interest rates (USD)

3.09% - 3.96%

^(b)

Interest rates (JPY)

.93% - 2.02%

^(c)

CDS spreads

16 - 141 bps

Foreign exchange rates

21.16%

^(d)

Discounted cash flow

Interest rates (USD)

3.09% - 3.96%

^(b)

Interest rates (JPY)

.93% - 2.02%

^(c)

CDS spreads

11 - 189 bps

Discounted cash flow

Interest rates (USD)

3.09% - 3.96%

^(b)

Interest rates (JPY)

.93% - 2.02%

^(c)

Foreign exchange rates

21.16%

^(d)

Credit default swaps

Discounted cash flow

Base correlations

65% - 76% (72%)

^(a)

CDS spreads

65 - 106 (92) bps

Recovery rate

37.00%

Total liabilities

207

(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