138-139 / 188
2016
(In millions)
Fair Value
Valuation Technique(s)
Unobservable Input
Range
(Weighted Average)
Liabilities:
Foreign currency swaps
$ 113
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)
23
Discounted cash flow
Interest rates (USD)
2.34% - 2.59%
(a)
Interest rates (JPY)
.22% - .80%
(b)
CDS spreads
24 - 216 bps
10
Discounted cash flow
Interest rates (USD)
2.34% - 2.59%
(a)
Interest rates (JPY)
.22% - .80%
(b)
Foreign exchange rates
21.47%
(c)
Total liabilities
$ 146
(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
134