142-143 / 188
2015
(In millions)
Fair Value
Valuation Technique(s)
Unobservable Input
Range
(Weighted Average)
Liabilities:
Foreign currency swaps
$ 158
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)
120
Discounted cash flow
Interest rates (USD)
2.20% - 2.62%
(a)
Interest rates (JPY)
.42% - 1.22%
(b)
CDS spreads
35 - 213 bps
15
Discounted cash flow
Interest rates (USD)
2.20% - 2.62%
(a)
Interest rates (JPY)
.42% - 1.22%
(b)
Foreign exchange rates
20.05%
(c)
Total liabilities
$ 293
(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
136