140-141 / 188
2015
(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
$ 220
Consensus pricing
Offered quotes
N/A
(d)
Banks/financial institutions
26
Consensus pricing
Offered quotes
N/A
(d)
Equity securities
3
Net asset value
Offered quotes
$1-$677 ($7)
Other assets:
Foreign currency swaps
7
Discounted cash flow
Interest rates (USD)
2.20% - 2.62%
(a)
Interest rates (JPY)
.42% - 1.22%
(b)
CDS spreads
32 - 147 bps
Foreign exchange rates
20.05%
(c)
94
Discounted cash flow
Interest rates (USD)
2.20% - 2.62%
(a)
Interest rates (JPY)
.42% - 1.22%
(b)
Foreign exchange rates
20.05%
(c)
Credit default swaps
1
Discounted cash flow
Base correlation
53.26% - 58.40%
(e)
CDS spreads
123 bps
Recovery rate
36.87%
Total assets
$ 351
(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
135