136-137 / 188
Fair Value Sensitivity
Level 3 Significant Unobservable Input Sensitivity
The following tables summarize the significant unobservable inputs used in the valuation of our Level 3 available-for-sale investments and derivatives as of
December 31. Included in the tables are the inputs or range of possible inputs that have an effect on the overall valuation of the financial instruments.
2016
(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
$ 198
Consensus pricing
Offered quotes
N/A
(d)
Public utilities
16
Discounted cash flow
Historical volatility
N/A
(d)
Banks/financial institutions
25
Consensus pricing
Offered quotes
N/A
(d)
Equity securities
3
Net asset value
Offered quotes
$1 - $701 ($8)
Other assets:
Foreign currency swaps
16
Discounted cash flow
Interest rates (USD)
2.34% - 2.59%
(a)
Interest rates (JPY)
.22% - .80%
(b)
CDS spreads
17 - 172 bps
Foreign exchange rates
21.47%
(c)
29
Discounted cash flow
Interest rates (USD)
2.34% - 2.59%
(a)
Interest rates (JPY)
.22% - .80%
(b)
CDS spreads
16 - 88 bps
80
Discounted cash flow
Interest rates (USD)
2.34% - 2.59%
(a)
Interest rates (JPY)
.22% - .80%
(b)
Foreign exchange rates
21.47%
(c)
Credit default swaps
2
Discounted cash flow
Base correlation
52.18% - 56.07%
(e)
CDS spreads
54 bps
Recovery rate
36.69%
Total assets
$ 369
(a) Inputs derived from U.S. long-term rates to accommodate long maturity nature of our swaps
(b) Inputs derived from Japan long-term rates to accommodate long maturity nature of our swaps
(c) Based on 10 year volatility of JPY/USD exchange rate
(d) 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.
(e) Range of base correlation for our bespoke tranche for attachment and detachment points corresponding to market indices
133