XML 74 R62.htm IDEA: XBRL DOCUMENT v3.10.0.1
FAIR VALUE MEASUREMENTS - Fair Value Measurement Inputs and Valuation Techniques (Details)
$ in Millions
Jun. 30, 2018
USD ($)
Dec. 31, 2017
USD ($)
Fair Value Measurement Inputs and Valuation Techniques    
Available for sale, fixed maturity securities [1] $ 85,881 [2],[3] $ 84,313 [4]
Available for sale securities, equity securities   1,023
Equity securities [1],[5] 1,103  
Asset derivatives 457 331
Liability derivatives 367 474
Assets, fair value disclosure 91,289 89,215
Liabilities, fair value disclosure 367 474
Level 3    
Fair Value Measurement Inputs and Valuation Techniques    
Available for sale, fixed maturity securities 503 414
Equity securities 17  
Asset derivatives 202 151
Assets, fair value disclosure 722 581
Liabilities, fair value disclosure 92 128
Net asset value valuation technique    
Fair Value Measurement Inputs and Valuation Techniques    
Equity securities 67  
Net asset value valuation technique | Level 3    
Fair Value Measurement Inputs and Valuation Techniques    
Available for sale securities, equity securities   16
Equity securities 17  
Foreign currency swaps    
Fair Value Measurement Inputs and Valuation Techniques    
Asset derivatives 321 296
Liability derivatives 227 197
Foreign currency swaps | Level 3    
Fair Value Measurement Inputs and Valuation Techniques    
Asset derivatives 202 150
Liability derivatives 92 128
Foreign currency swaps | Fair Value, Unobservable Input, Interest Rates (USD), Interest Rates (JPY) and CDS Spreads | Discounted cash flow technique | Level 3    
Fair Value Measurement Inputs and Valuation Techniques    
Asset derivatives 145 80
Liability derivatives 88 120
Foreign currency swaps | Fair Value, Unobservable Input, Interest Rates (USD) and Interest Rates (JPY) | Discounted cash flow technique | Level 3    
Fair Value Measurement Inputs and Valuation Techniques    
Asset derivatives 57 70
Liability derivatives $ 4 $ 8
Foreign currency swaps | Credit Spread | Fair Value, Unobservable Input, Interest Rates (USD), Interest Rates (JPY) and CDS Spreads | Lower Limit | Level 3    
Fair Value Measurement Inputs and Valuation Techniques    
Derivative asset, measurement input 0.0015 0.0009
Derivative liability, measurement input 0.0034 0.0013
Foreign currency swaps | Credit Spread | Fair Value, Unobservable Input, Interest Rates (USD), Interest Rates (JPY) and CDS Spreads | Upper Limit | Level 3    
Fair Value Measurement Inputs and Valuation Techniques    
Derivative asset, measurement input 0.0105 0.0090
Derivative liability, measurement input 0.0188 0.0157
Credit default swaps    
Fair Value Measurement Inputs and Valuation Techniques    
Asset derivatives   $ 1
Credit default swaps | Level 3    
Fair Value Measurement Inputs and Valuation Techniques    
Asset derivatives   1
Credit default swaps | Fair Value, Unobservable Input, Base Correlation, CDS Spreads, Recovery Rate | Discounted cash flow technique | Level 3    
Fair Value Measurement Inputs and Valuation Techniques    
Asset derivatives   $ 1
Credit default swaps | Credit Spread | Fair Value, Unobservable Input, Base Correlation, CDS Spreads, Recovery Rate | Level 3    
Fair Value Measurement Inputs and Valuation Techniques    
Derivative asset, measurement input   0.0025
Credit default swaps | Base Correlation | Fair Value, Unobservable Input, Base Correlation, CDS Spreads, Recovery Rate | Lower Limit | Level 3    
Fair Value Measurement Inputs and Valuation Techniques    
Derivative asset, measurement input [6]   0.4633
Credit default swaps | Base Correlation | Fair Value, Unobservable Input, Base Correlation, CDS Spreads, Recovery Rate | Upper Limit | Level 3    
Fair Value Measurement Inputs and Valuation Techniques    
Derivative asset, measurement input [6]   0.4965
Credit default swaps | Recovery Rate | Fair Value, Unobservable Input, Base Correlation, CDS Spreads, Recovery Rate | Level 3    
Fair Value Measurement Inputs and Valuation Techniques    
Derivative asset, measurement input   0.3724
Dollar-denominated    
Fair Value Measurement Inputs and Valuation Techniques    
Available for sale securities, equity securities   $ 328
Equity securities $ 391  
Dollar-denominated | Foreign currency swaps | Discount Rate | Fair Value, Unobservable Input, Interest Rates (USD), Interest Rates (JPY) and CDS Spreads | Level 3    
Fair Value Measurement Inputs and Valuation Techniques    
Derivative asset, measurement input [7] 0.0292  
Derivative liability, measurement input [7] 0.0292  
Dollar-denominated | Foreign currency swaps | Discount Rate | Fair Value, Unobservable Input, Interest Rates (USD), Interest Rates (JPY) and CDS Spreads | Lower Limit | Level 3    
Fair Value Measurement Inputs and Valuation Techniques    
Derivative asset, measurement input [7]   0.0240
Derivative liability, measurement input [7]   0.0240
Dollar-denominated | Foreign currency swaps | Discount Rate | Fair Value, Unobservable Input, Interest Rates (USD), Interest Rates (JPY) and CDS Spreads | Upper Limit | Level 3    
Fair Value Measurement Inputs and Valuation Techniques    
Derivative asset, measurement input [7]   0.0254
Derivative liability, measurement input [7]   0.0254
Dollar-denominated | Foreign currency swaps | Discount Rate | Fair Value, Unobservable Input, Interest Rates (USD) and Interest Rates (JPY) | Level 3    
Fair Value Measurement Inputs and Valuation Techniques    
Derivative asset, measurement input [7] 0.0292  
Derivative liability, measurement input [7] 0.0292  
Dollar-denominated | Foreign currency swaps | Discount Rate | Fair Value, Unobservable Input, Interest Rates (USD) and Interest Rates (JPY) | Lower Limit | Level 3    
Fair Value Measurement Inputs and Valuation Techniques    
Derivative asset, measurement input [7]   0.0240
Derivative liability, measurement input [7]   0.0240
Dollar-denominated | Foreign currency swaps | Discount Rate | Fair Value, Unobservable Input, Interest Rates (USD) and Interest Rates (JPY) | Upper Limit | Level 3    
Fair Value Measurement Inputs and Valuation Techniques    
Derivative asset, measurement input [7]   0.0254
Derivative liability, measurement input [7]   0.0254
Yen-denominated    
Fair Value Measurement Inputs and Valuation Techniques    
Available for sale securities, equity securities   $ 695
Equity securities $ 712  
Yen-denominated | Foreign currency swaps | Discount Rate | Fair Value, Unobservable Input, Interest Rates (USD), Interest Rates (JPY) and CDS Spreads | Lower Limit | Level 3    
Fair Value Measurement Inputs and Valuation Techniques    
Derivative asset, measurement input [8] 0.0025 0.0026
Derivative liability, measurement input [8] 0.0025 0.0026
Yen-denominated | Foreign currency swaps | Discount Rate | Fair Value, Unobservable Input, Interest Rates (USD), Interest Rates (JPY) and CDS Spreads | Upper Limit | Level 3    
Fair Value Measurement Inputs and Valuation Techniques    
Derivative asset, measurement input [8] 0.0075 0.0085
Derivative liability, measurement input [8] 0.0075 0.0085
Yen-denominated | Foreign currency swaps | Discount Rate | Fair Value, Unobservable Input, Interest Rates (USD) and Interest Rates (JPY) | Lower Limit | Level 3    
Fair Value Measurement Inputs and Valuation Techniques    
Derivative asset, measurement input [8] 0.0025 0.0026
Derivative liability, measurement input [8] 0.0025 0.0026
Yen-denominated | Foreign currency swaps | Discount Rate | Fair Value, Unobservable Input, Interest Rates (USD) and Interest Rates (JPY) | Upper Limit | Level 3    
Fair Value Measurement Inputs and Valuation Techniques    
Derivative asset, measurement input [8] 0.0075 0.0085
Derivative liability, measurement input [8] 0.0075 0.0085
Mortgage- and asset-backed securities | Consensus pricing valuation technique | Level 3    
Fair Value Measurement Inputs and Valuation Techniques    
Available for sale, fixed maturity securities $ 178 $ 175
Banks/financial institutions | Consensus pricing valuation technique | Level 3    
Fair Value Measurement Inputs and Valuation Techniques    
Available for sale, fixed maturity securities 23 25
Public utilities | Discounted cash flow technique | Level 3    
Fair Value Measurement Inputs and Valuation Techniques    
Available for sale, fixed maturity securities 106 68
Other corporate | Discounted cash flow technique | Level 3    
Fair Value Measurement Inputs and Valuation Techniques    
Available for sale, fixed maturity securities $ 196 $ 146
[1] Includes perpetual securities
[2] Includes perpetual securities ($1,446 at amortized cost and $1,612 at fair value)
[3] Includes perpetual securities, categorized in accordance with their respective economic maturities (the expected maturity date created by the combination of features in the financial instrument)
[4] Includes perpetual securities ($1,462 at amortized cost and $1,789 at fair value)
[5] Includes perpetual securities ($69 at fair value)
[6] Range of base correlation for the Company's bespoke tranche for attachment and detachment points corresponding to market indices
[7] Inputs derived from U.S. long-term rates to accommodate long maturity nature of the Company's swaps
[8] Inputs derived from Japan long-term rates to accommodate long maturity nature of the Company's swaps