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FAIR VALUE MEASUREMENTS (Tables) | 3 Months Ended
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Mar. 31, 2014
Fair Value Disclosures [Abstract] |
Fair Value Hierarchy, Assets and Liabilities Measured on Recurring Basis | The following tables present the fair value hierarchy levels of the Company's assets and liabilities that are measured and carried at fair value on a recurring basis.
| March 31, 2014
(In millions) | Quoted Prices in Active Markets for Identical Assets (Level 1) |  | Significant Observable Inputs (Level 2) |  | Significant Unobservable Inputs (Level 3) |  | Total Fair Value
Assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Securities available for sale, carried at fair value: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Fixed maturities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Government and agencies |  | $ | 18,407 |  |  |  |  | $ | 499 |  |  |  |  | $ | 0 |  |  |  |  | $ | 18,906 |  |
Municipalities |  | 0 |  |  |  |  | 1,097 |  |  |  |  | 0 |  |  |  |  | 1,097 |  |
Mortgage- and asset-backed securities |  | 0 |  |  |  |  | 404 |  |  |  |  | 262 |  |  |  |  | 666 |  |
Public utilities |  | 0 |  |  |  |  | 7,926 |  |  |  |  | 0 |  |  |  |  | 7,926 |  |
Sovereign and supranational |  | 0 |  |  |  |  | 1,544 |  |  |  |  | 0 |  |  |  |  | 1,544 |  |
Banks/financial institutions |  | 0 |  |  |  |  | 6,767 |  |  |  |  | 25 |  |  |  |  | 6,792 |  |
Other corporate |  | 0 |  |  |  |  | 27,350 |  |  |  |  | 0 |  |  |  |  | 27,350 |  |
Total fixed maturities |  | 18,407 |  |  |  |  | 45,587 |  |  |  |  | 287 |  |  |  |  | 64,281 |  |
Perpetual securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Banks/financial institutions |  | 0 |  |  |  |  | 2,731 |  |  |  |  | 56 |  |  |  |  | 2,787 |  |
Other corporate |  | 0 |  |  |  |  | 229 |  |  |  |  | 0 |  |  |  |  | 229 |  |
Total perpetual securities |  | 0 |  |  |  |  | 2,960 |  |  |  |  | 56 |  |  |  |  | 3,016 |  |
Equity securities |  | 14 |  |  |  |  | 4 |  |  |  |  | 3 |  |  |  |  | 21 |  |
Other assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Foreign currency swaps |  | 0 |  |  |  |  | 320 |  |  |  |  | 106 |  |  |  |  | 426 |  |
Foreign currency forwards |  | 0 |  |  |  |  | 58 |  |  |  |  | 0 |  |  |  |  | 58 |  |
Foreign currency options |  | 0 |  |  |  |  | 26 |  |  |  |  | 0 |  |  |  |  | 26 |  |
Credit default swaps |  | 0 |  |  |  |  | 0 |  |  |  |  | 1 |  |  |  |  | 1 |  |
Interest rate swaptions |  | 0 |  |  |  |  | 12 |  |  |  |  | 0 |  |  |  |  | 12 |  |
Total other assets |  | 0 |  |  |  |  | 416 |  |  |  |  | 107 |  |  |  |  | 523 |  |
Cash and cash equivalents |  | 1,994 |  |  |  |  | 0 |  |  |  |  | 0 |  |  |  |  | 1,994 |  |
Total assets |  | $ | 20,415 |  |  |  |  | $ | 48,967 |  |  |  |  | $ | 453 |  |  |  |  | $ | 69,835 |  |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Foreign currency swaps |  | $ | 0 |  |  |  |  | $ | 14 |  |  |  |  | $ | 192 |  |  |  |  | $ | 206 |  |
Foreign currency forwards |  | 0 |  |  |  |  | 59 |  |  |  |  | 0 |  |  |  |  | 59 |  |
Foreign currency options |  | 0 |  |  |  |  | 23 |  |  |  |  | 0 |  |  |  |  | 23 |  |
Credit default swaps |  | 0 |  |  |  |  | 0 |  |  |  |  | 2 |  |  |  |  | 2 |  |
Interest rate swaptions |  | 0 |  |  |  |  | 61 |  |  |  |  | 0 |  |  |  |  | 61 |  |
Futures |  | 0 |  |  |  |  | 7 |  |  |  |  | 0 |  |  |  |  | 7 |  |
Total liabilities |  | $ | 0 |  |  |  |  | $ | 164 |  |  |  |  | $ | 194 |  |  |  |  | $ | 358 |  |
| December 31, 2013
(In millions) | Quoted Prices in Active Markets for Identical Assets (Level 1) |  | Significant Observable Inputs (Level 2) |  | Significant Unobservable Inputs (Level 3) |  | Total Fair Value
Assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Securities available for sale, carried at fair value: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Fixed maturities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Government and agencies |  | $ | 14,928 |  |  |  |  | $ | 504 |  |  |  |  | $ | 0 |  |  |  |  | $ | 15,432 |  |
Municipalities |  | 0 |  |  |  |  | 1,051 |  |  |  |  | 0 |  |  |  |  | 1,051 |  |
Mortgage- and asset-backed securities |  | 0 |  |  |  |  | 402 |  |  |  |  | 369 |  |  |  |  | 771 |  |
Public utilities |  | 0 |  |  |  |  | 7,562 |  |  |  |  | 0 |  |  |  |  | 7,562 |  |
Sovereign and supranational |  | 0 |  |  |  |  | 1,523 |  |  |  |  | 0 |  |  |  |  | 1,523 |  |
Banks/financial institutions |  | 0 |  |  |  |  | 6,486 |  |  |  |  | 23 |  |  |  |  | 6,509 |  |
Other corporate |  | 0 |  |  |  |  | 25,222 |  |  |  |  | 0 |  |  |  |  | 25,222 |  |
Total fixed maturities |  | 14,928 |  |  |  |  | 42,750 |  |  |  |  | 392 |  |  |  |  | 58,070 |  |
Perpetual securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Banks/financial institutions |  | 0 |  |  |  |  | 2,686 |  |  |  |  | 52 |  |  |  |  | 2,738 |  |
Other corporate |  | 0 |  |  |  |  | 209 |  |  |  |  | 0 |  |  |  |  | 209 |  |
Total perpetual securities |  | 0 |  |  |  |  | 2,895 |  |  |  |  | 52 |  |  |  |  | 2,947 |  |
Equity securities |  | 14 |  |  |  |  | 4 |  |  |  |  | 3 |  |  |  |  | 21 |  |
Other assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Foreign currency swaps |  | 0 |  |  |  |  | 341 |  |  |  |  | 104 |  |  |  |  | 445 |  |
Foreign currency forwards |  | 0 |  |  |  |  | 17 |  |  |  |  | 0 |  |  |  |  | 17 |  |
Foreign currency options |  | 0 |  |  |  |  | 4 |  |  |  |  | 0 |  |  |  |  | 4 |  |
Credit default swaps |  | 0 |  |  |  |  | 0 |  |  |  |  | 1 |  |  |  |  | 1 |  |
Interest rate swaps |  | 0 |  |  |  |  | 0 |  |  |  |  | 1 |  |  |  |  | 1 |  |
Interest rate swaptions |  | 0 |  |  |  |  | 20 |  |  |  |  | 0 |  |  |  |  | 20 |  |
Total other assets |  | 0 |  |  |  |  | 382 |  |  |  |  | 106 |  |  |  |  | 488 |  |
Cash and cash equivalents |  | 2,543 |  |  |  |  | 0 |  |  |  |  | 0 |  |  |  |  | 2,543 |  |
Total assets |  | $ | 17,485 |  |  |  |  | $ | 46,031 |  |  |  |  | $ | 553 |  |  |  |  | $ | 64,069 |  |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Foreign currency swaps |  | $ | 0 |  |  |  |  | $ | 15 |  |  |  |  | $ | 203 |  |  |  |  | $ | 218 |  |
Foreign currency forwards |  | 0 |  |  |  |  | 582 |  |  |  |  | 0 |  |  |  |  | 582 |  |
Foreign currency options |  | 0 |  |  |  |  | 1 |  |  |  |  | 0 |  |  |  |  | 1 |  |
Credit default swaps |  | 0 |  |  |  |  | 0 |  |  |  |  | 4 |  |  |  |  | 4 |  |
Interest rate swaptions |  | 0 |  |  |  |  | 32 |  |  |  |  | 0 |  |  |  |  | 32 |  |
Total liabilities |  | $ | 0 |  |  |  |  | $ | 630 |  |  |  |  | $ | 207 |  |  |  |  | $ | 837 |  |
Fair Value Hierarchy Levels of Assets and Liabilities Carried at Cost or Amortized Cost | The following tables present the carrying amount and fair value categorized by fair value hierarchy level for the Company's financial instruments that are not carried at fair value.
| March 31, 2014
(In millions) | Carrying Value | Quoted Prices in Active Markets for Identical Assets (Level 1) |  | Significant Observable Inputs (Level 2) |  | Significant Unobservable Inputs (Level 3) |  | Total Fair Value
Assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Securities held to maturity, carried at amortized cost: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Fixed maturities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Government and agencies |  | $ | 23,461 |  |  |  | $ | 25,129 |  |  |  |  | $ | 0 |  |  |  |  | $ | 0 |  |  |  |  | $ | 25,129 |  |
Municipalities |  | 409 |  |  |  | 0 |  |  |  |  | 455 |  |  |  |  | 0 |  |  |  |  | 455 |  |
Mortgage and asset-backed securities |  | 58 |  |  |  | 0 |  |  |  |  | 20 |  |  |  |  | 41 |  |  |  |  | 61 |  |
Public utilities |  | 3,993 |  |  |  | 0 |  |  |  |  | 4,075 |  |  |  |  | 0 |  |  |  |  | 4,075 |  |
Sovereign and supranational |  | 3,011 |  |  |  | 0 |  |  |  |  | 3,118 |  |  |  |  | 0 |  |  |  |  | 3,118 |  |
Banks/financial institutions |  | 6,398 |  |  |  | 0 |  |  |  |  | 6,277 |  |  |  |  | 0 |  |  |  |  | 6,277 |  |
Other corporate |  | 3,528 |  |  |  | 0 |  |  |  |  | 3,701 |  |  |  |  | 0 |  |  |  |  | 3,701 |  |
Total assets |  | $ | 40,858 |  |  |  | $ | 25,129 |  |  |  |  | $ | 17,646 |  |  |  |  | $ | 41 |  |  |  |  | $ | 42,816 |  |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Other policyholders’ funds |  | $ | 6,547 |  |  |  | $ | 0 |  |  |  |  | $ | 0 |  |  |  |  | $ | 6,391 |  |  |  |  | $ | 6,391 |  |
Notes payable (excluding capital leases) |  | 4,908 |  |  |  | 0 |  |  |  |  | 0 |  |  |  |  | 5,389 |  |  |  |  | 5,389 |  |
Total liabilities |  | $ | 11,455 |  |  |  | $ | 0 |  |  |  |  | $ | 0 |  |  |  |  | $ | 11,780 |  |  |  |  | $ | 11,780 |  |
| December 31, 2013
(In millions) | Carrying Value | Quoted Prices in Active Markets for Identical Assets (Level 1) |  | Significant Observable Inputs (Level 2) |  | Significant Unobservable Inputs (Level 3) |  | Total Fair Value
Assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Securities held to maturity, carried at amortized cost: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Fixed maturities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Government and agencies |  | $ | 27,362 |  |  |  | $ | 28,708 |  |  |  |  | $ | 0 |  |  |  |  | $ | 0 |  |  |  |  | $ | 28,708 |  |
Municipalities |  | 399 |  |  |  | 0 |  |  |  |  | 440 |  |  |  |  | 0 |  |  |  |  | 440 |  |
Mortgage and asset-backed securities |  | 58 |  |  |  | 0 |  |  |  |  | 20 |  |  |  |  | 41 |  |  |  |  | 61 |  |
Public utilities |  | 3,900 |  |  |  | 0 |  |  |  |  | 3,928 |  |  |  |  | 0 |  |  |  |  | 3,928 |  |
Sovereign and supranational |  | 2,941 |  |  |  | 0 |  |  |  |  | 3,040 |  |  |  |  | 0 |  |  |  |  | 3,040 |  |
Banks/financial institutions |  | 6,310 |  |  |  | 0 |  |  |  |  | 6,128 |  |  |  |  | 0 |  |  |  |  | 6,128 |  |
Other corporate |  | 3,445 |  |  |  | 0 |  |  |  |  | 3,541 |  |  |  |  | 0 |  |  |  |  | 3,541 |  |
Total assets |  | $ | 44,415 |  |  |  | $ | 28,708 |  |  |  |  | $ | 17,097 |  |  |  |  | $ | 41 |  |  |  |  | $ | 45,846 |  |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Other policyholders’ funds |  | $ | 5,861 |  |  |  | $ | 0 |  |  |  |  | $ | 0 |  |  |  |  | $ | 5,715 |  |  |  |  | $ | 5,715 |  |
Notes payable (excluding capital leases) |  | 4,891 |  |  |  | 0 |  |  |  |  | 0 |  |  |  |  | 5,241 |  |  |  |  | 5,241 |  |
Total liabilities |  | $ | 10,752 |  |  |  | $ | 0 |  |  |  |  | $ | 0 |  |  |  |  | $ | 10,956 |  |  |  |  | $ | 10,956 |  |
Fair Value Assets Available-for-Sale Securities Primary Pricing Sources | The following tables present the pricing sources for the fair values of our fixed maturities, perpetual securities, and equity securities.
|  | March 31, 2014
(In millions) |  | Quoted Prices in Active Markets for Identical Assets (Level 1) |  | Significant Observable Inputs (Level 2) |  | Significant Unobservable Inputs (Level 3) |  | Total Fair Value
Securities available for sale, carried at fair value: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Fixed maturities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Government and agencies: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Third party pricing vendor |  |  | $ | 18,407 |  |  |  |  | $ | 499 |  |  |  |  | $ | 0 |  |  |  |  | $ | 18,906 |  |
Total government and agencies |  |  | 18,407 |  |  |  |  | 499 |  |  |  |  | 0 |  |  |  |  | 18,906 |  |
Municipalities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Third party pricing vendor |  |  | 0 |  |  |  |  | 1,097 |  |  |  |  | 0 |  |  |  |  | 1,097 |  |
Total municipalities |  |  | 0 |  |  |  |  | 1,097 |  |  |  |  | 0 |  |  |  |  | 1,097 |  |
Mortgage- and asset-backed securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Third party pricing vendor |  |  | 0 |  |  |  |  | 404 |  |  |  |  | 0 |  |  |  |  | 404 |  |
Broker/other |  |  | 0 |  |  |  |  | 0 |  |  |  |  | 262 |  |  |  |  | 262 |  |
Total mortgage- and asset-backed securities |  |  | 0 |  |  |  |  | 404 |  |  |  |  | 262 |  |  |  |  | 666 |  |
Public utilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Third party pricing vendor |  |  | 0 |  |  |  |  | 7,926 |  |  |  |  | 0 |  |  |  |  | 7,926 |  |
Total public utilities |  |  | 0 |  |  |  |  | 7,926 |  |  |  |  | 0 |  |  |  |  | 7,926 |  |
Sovereign and supranational: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Third party pricing vendor |  |  | 0 |  |  |  |  | 1,544 |  |  |  |  | 0 |  |  |  |  | 1,544 |  |
Total sovereign and supranational |  |  | 0 |  |  |  |  | 1,544 |  |  |  |  | 0 |  |  |  |  | 1,544 |  |
Banks/financial institutions: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Third party pricing vendor |  |  | 0 |  |  |  |  | 6,767 |  |  |  |  | 0 |  |  |  |  | 6,767 |  |
Broker/other |  |  | 0 |  |  |  |  | 0 |  |  |  |  | 25 |  |  |  |  | 25 |  |
Total banks/financial institutions |  |  | 0 |  |  |  |  | 6,767 |  |  |  |  | 25 |  |  |  |  | 6,792 |  |
Other corporate: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Third party pricing vendor |  |  | 0 |  |  |  |  | 27,350 |  |  |  |  | 0 |  |  |  |  | 27,350 |  |
Total other corporate |  |  | 0 |  |  |  |  | 27,350 |  |  |  |  | 0 |  |  |  |  | 27,350 |  |
Total fixed maturities |  |  | 18,407 |  |  |  |  | 45,587 |  |  |  |  | 287 |  |  |  |  | 64,281 |  |
Perpetual securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Banks/financial institutions: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Third party pricing vendor |  |  | 0 |  |  |  |  | 2,731 |  |  |  |  | 56 |  |  |  |  | 2,787 |  |
Total banks/financial institutions |  |  | 0 |  |  |  |  | 2,731 |  |  |  |  | 56 |  |  |  |  | 2,787 |  |
Other corporate: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Third party pricing vendor |  |  | 0 |  |  |  |  | 229 |  |  |  |  | 0 |  |  |  |  | 229 |  |
Total other corporate |  |  | 0 |  |  |  |  | 229 |  |  |  |  | 0 |  |  |  |  | 229 |  |
Total perpetual securities |  |  | 0 |  |  |  |  | 2,960 |  |  |  |  | 56 |  |  |  |  | 3,016 |  |
Equity securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Third party pricing vendor |  |  | 14 |  |  |  |  | 4 |  |  |  |  | 0 |  |  |  |  | 18 |  |
Broker/other |  |  | 0 |  |  |  |  | 0 |  |  |  |  | 3 |  |  |  |  | 3 |  |
Total equity securities |  |  | 14 |  |  |  |  | 4 |  |  |  |  | 3 |  |  |  |  | 21 |  |
Total securities available for sale |  |  | $ | 18,421 |  |  |  |  | $ | 48,551 |  |  |  |  | $ | 346 |  |  |  |  | $ | 67,318 |  |
|  | December 31, 2013
(In millions) |  | Quoted Prices in Active Markets for Identical Assets (Level 1) |  | Significant Observable Inputs (Level 2) |  | Significant Unobservable Inputs (Level 3) |  | Total Fair Value
Securities available for sale, carried at fair value: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Fixed maturities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Government and agencies: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Third party pricing vendor |  |  | $ | 14,928 |  |  |  |  | $ | 504 |  |  |  |  | $ | 0 |  |  |  |  | $ | 15,432 |  |
Total government and agencies |  |  | 14,928 |  |  |  |  | 504 |  |  |  |  | 0 |  |  |  |  | 15,432 |  |
Municipalities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Third party pricing vendor |  |  | 0 |  |  |  |  | 1,051 |  |  |  |  | 0 |  |  |  |  | 1,051 |  |
Total municipalities |  |  | 0 |  |  |  |  | 1,051 |  |  |  |  | 0 |  |  |  |  | 1,051 |  |
Mortgage- and asset-backed securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Third party pricing vendor |  |  | 0 |  |  |  |  | 402 |  |  |  |  | 0 |  |  |  |  | 402 |  |
Broker/other |  |  | 0 |  |  |  |  | 0 |  |  |  |  | 369 |  |  |  |  | 369 |  |
Total mortgage- and asset-backed securities |  |  | 0 |  |  |  |  | 402 |  |  |  |  | 369 |  |  |  |  | 771 |  |
Public utilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Third party pricing vendor |  |  | 0 |  |  |  |  | 7,562 |  |  |  |  | 0 |  |  |  |  | 7,562 |  |
Total public utilities |  |  | 0 |  |  |  |  | 7,562 |  |  |  |  | 0 |  |  |  |  | 7,562 |  |
Sovereign and supranational: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Third party pricing vendor |  |  | 0 |  |  |  |  | 1,523 |  |  |  |  | 0 |  |  |  |  | 1,523 |  |
Total sovereign and supranational |  |  | 0 |  |  |  |  | 1,523 |  |  |  |  | 0 |  |  |  |  | 1,523 |  |
Banks/financial institutions: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Third party pricing vendor |  |  | 0 |  |  |  |  | 6,486 |  |  |  |  | 0 |  |  |  |  | 6,486 |  |
Broker/other |  |  | 0 |  |  |  |  | 0 |  |  |  |  | 23 |  |  |  |  | 23 |  |
Total banks/financial institutions |  |  | 0 |  |  |  |  | 6,486 |  |  |  |  | 23 |  |  |  |  | 6,509 |  |
Other corporate: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Third party pricing vendor |  |  | 0 |  |  |  |  | 25,220 |  |  |  |  | 0 |  |  |  |  | 25,220 |  |
Broker/other |  |  | 0 |  |  |  |  | 2 |  |  |  |  | 0 |  |  |  |  | 2 |  |
Total other corporate |  |  | 0 |  |  |  |  | 25,222 |  |  |  |  | 0 |  |  |  |  | 25,222 |  |
Total fixed maturities |  |  | 14,928 |  |  |  |  | 42,750 |  |  |  |  | 392 |  |  |  |  | 58,070 |  |
Perpetual securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Banks/financial institutions: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Third party pricing vendor |  |  | 0 |  |  |  |  | 2,686 |  |  |  |  | 52 |  |  |  |  | 2,738 |  |
Total banks/financial institutions |  |  | 0 |  |  |  |  | 2,686 |  |  |  |  | 52 |  |  |  |  | 2,738 |  |
Other corporate: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Third party pricing vendor |  |  | 0 |  |  |  |  | 209 |  |  |  |  | 0 |  |  |  |  | 209 |  |
Total other corporate |  |  | 0 |  |  |  |  | 209 |  |  |  |  | 0 |  |  |  |  | 209 |  |
Total perpetual securities |  |  | 0 |  |  |  |  | 2,895 |  |  |  |  | 52 |  |  |  |  | 2,947 |  |
Equity securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Third party pricing vendor |  |  | 14 |  |  |  |  | 4 |  |  |  |  | 0 |  |  |  |  | 18 |  |
Broker/other |  |  | 0 |  |  |  |  | 0 |  |  |  |  | 3 |  |  |  |  | 3 |  |
Total equity securities |  |  | 14 |  |  |  |  | 4 |  |  |  |  | 3 |  |  |  |  | 21 |  |
Total securities available for sale |  |  | $ | 14,942 |  |  |  |  | $ | 45,649 |  |  |  |  | $ | 447 |  |  |  |  | $ | 61,038 |  |
Fair Value Assets Held-To-Maturity Securities Primary Pricing Sources |
|  | December 31, 2013
(In millions) |  | Quoted Prices in Active Markets for Identical Assets (Level 1) |  | Significant Observable Inputs (Level 2) |  | Significant Unobservable Inputs (Level 3) |  | Total Fair Value
Securities held to maturity, carried at amortized cost: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Fixed maturities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Government and agencies: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Third party pricing vendor |  |  | $ | 28,708 |  |  |  |  | $ | 0 |  |  |  |  | $ | 0 |  |  |  |  | $ | 28,708 |  |
Total government and agencies |  |  | 28,708 |  |  |  |  | 0 |  |  |  |  | 0 |  |  |  |  | 28,708 |  |
Municipalities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Third party pricing vendor |  |  | 0 |  |  |  |  | 440 |  |  |  |  | 0 |  |  |  |  | 440 |  |
Total municipalities |  |  | 0 |  |  |  |  | 440 |  |  |  |  | 0 |  |  |  |  | 440 |  |
Mortgage- and asset-backed securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Third party pricing vendor |  |  | 0 |  |  |  |  | 20 |  |  |  |  | 0 |  |  |  |  | 20 |  |
Broker/other |  |  | 0 |  |  |  |  | 0 |  |  |  |  | 41 |  |  |  |  | 41 |  |
Total mortgage- and asset-backed securities |  |  | 0 |  |  |  |  | 20 |  |  |  |  | 41 |  |  |  |  | 61 |  |
Public utilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Third party pricing vendor |  |  | 0 |  |  |  |  | 3,928 |  |  |  |  | 0 |  |  |  |  | 3,928 |  |
Total public utilities |  |  | 0 |  |  |  |  | 3,928 |  |  |  |  | 0 |  |  |  |  | 3,928 |  |
Sovereign and supranational: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Third party pricing vendor |  |  | 0 |  |  |  |  | 3,040 |  |  |  |  | 0 |  |  |  |  | 3,040 |  |
Total sovereign and supranational |  |  | 0 |  |  |  |  | 3,040 |  |  |  |  | 0 |  |  |  |  | 3,040 |  |
Banks/financial institutions: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Third party pricing vendor |  |  | 0 |  |  |  |  | 6,128 |  |  |  |  | 0 |  |  |  |  | 6,128 |  |
Total banks/financial institutions |  |  | 0 |  |  |  |  | 6,128 |  |  |  |  | 0 |  |  |  |  | 6,128 |  |
Other corporate: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Third party pricing vendor |  |  | 0 |  |  |  |  | 3,509 |  |  |  |  | 0 |  |  |  |  | 3,509 |  |
Broker/other |  |  | 0 |  |  |  |  | 32 |  |  |  |  | 0 |  |  |  |  | 32 |  |
Total other corporate |  |  | 0 |  |  |  |  | 3,541 |  |  |  |  | 0 |  |  |  |  | 3,541 |  |
Total securities held to maturity |  |  | $ | 28,708 |  |  |  |  | $ | 17,097 |  |  |  |  | $ | 41 |  |  |  |  | $ | 45,846 |  |
|  | March 31, 2014
(In millions) |  | Quoted Prices in Active Markets for Identical Assets (Level 1) |  | Significant Observable Inputs (Level 2) |  | Significant Unobservable Inputs (Level 3) |  | Total Fair Value
Securities held to maturity, carried at amortized cost: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Fixed maturities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Government and agencies: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Third party pricing vendor |  |  | $ | 25,129 |  |  |  |  | $ | 0 |  |  |  |  | $ | 0 |  |  |  |  | $ | 25,129 |  |
Total government and agencies |  |  | 25,129 |  |  |  |  | 0 |  |  |  |  | 0 |  |  |  |  | 25,129 |  |
Municipalities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Third party pricing vendor |  |  | 0 |  |  |  |  | 455 |  |  |  |  | 0 |  |  |  |  | 455 |  |
Total municipalities |  |  | 0 |  |  |  |  | 455 |  |  |  |  | 0 |  |  |  |  | 455 |  |
Mortgage- and asset-backed securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Third party pricing vendor |  |  | 0 |  |  |  |  | 20 |  |  |  |  | 0 |  |  |  |  | 20 |  |
Broker/other |  |  | 0 |  |  |  |  | 0 |  |  |  |  | 41 |  |  |  |  | 41 |  |
Total mortgage- and asset-backed securities |  |  | 0 |  |  |  |  | 20 |  |  |  |  | 41 |  |  |  |  | 61 |  |
Public utilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Third party pricing vendor |  |  | 0 |  |  |  |  | 4,075 |  |  |  |  | 0 |  |  |  |  | 4,075 |  |
Total public utilities |  |  | 0 |  |  |  |  | 4,075 |  |  |  |  | 0 |  |  |  |  | 4,075 |  |
Sovereign and supranational: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Third party pricing vendor |  |  | 0 |  |  |  |  | 3,118 |  |  |  |  | 0 |  |  |  |  | 3,118 |  |
Total sovereign and supranational |  |  | 0 |  |  |  |  | 3,118 |  |  |  |  | 0 |  |  |  |  | 3,118 |  |
Banks/financial institutions: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Third party pricing vendor |  |  | 0 |  |  |  |  | 6,277 |  |  |  |  | 0 |  |  |  |  | 6,277 |  |
Total banks/financial institutions |  |  | 0 |  |  |  |  | 6,277 |  |  |  |  | 0 |  |  |  |  | 6,277 |  |
Other corporate: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Third party pricing vendor |  |  | 0 |  |  |  |  | 3,669 |  |  |  |  | 0 |  |  |  |  | 3,669 |  |
Broker/other |  |  | 0 |  |  |  |  | 32 |  |  |  |  | 0 |  |  |  |  | 32 |  |
Total other corporate |  |  | 0 |  |  |  |  | 3,701 |  |  |  |  | 0 |  |  |  |  | 3,701 |  |
Total securities held to maturity |  |  | $ | 25,129 |  |  |  |  | $ | 17,646 |  |  |  |  | $ | 41 |  |  |  |  | $ | 42,816 |  |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation | Level 3 Rollforward and Transfers between Hierarchy Levels The following tables present the changes in fair value of our available-for-sale investments and derivatives classified as Level 3.
Three Months Ended March 31, 2014
| Fixed Maturities |  |  |  | Perpetual Securities |  | Equity Securities |  | Derivatives (1) |  |  |
(In millions) | Mortgage- and Asset- Backed Securities |  | Public Utilities |  | Sovereign and Supranational |  | Banks/ Financial Institutions |  | Other Corporate |  | Banks/ Financial Institutions |  |  |  | Interest Rate Swaps |  | Foreign Currency Swaps |  | Credit Default Swaps |  | Total |
Balance, beginning of period | $ | 369 |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | 23 |  |  | $ | 0 |  |  | $ | 52 |  |  | $ | 3 |  |  | $ | 1 |  |  | $ | (99 | ) |  | $ | (3 | ) |  | $ | 346 |  |
Realized investment gains (losses) included in earnings | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | (1 | ) |  | (10 | ) |  | 2 |  |  | (9 | ) |
Unrealized gains (losses) included in other comprehensive income (loss) | (104 | ) |  | 0 |  |  | 0 |  |  | 2 |  |  | 0 |  |  | 4 |  |  | 0 |  |  | 0 |  |  | (1 | ) |  | 0 |  |  | (99 | ) |
Purchases, issuances, sales and settlements: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Purchases | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |
Issuances | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |
Sales | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |
Settlements | (3 | ) |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 24 |  |  | 0 |  |  | 21 |  |
Transfers into Level 3 | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |
Transfers out of Level 3 | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |
Balance, end of period | $ | 262 |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | 25 |  |  | $ | 0 |  |  | $ | 56 |  |  | $ | 3 |  |  | $ | 0 |  |  | $ | (86 | ) |  | $ | (1 | ) |  | $ | 259 |  |
Changes in unrealized gains (losses) relating to Level 3 assets and liabilities still held at the end of the period included in realized investment gains (losses) | $ | 0 |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | (1 | ) |  | $ | (10 | ) |  | $ | 2 |  |  | $ | (9 | ) |
(1) Derivative assets and liabilities are presented net
Three Months Ended March 31, 2013
| Fixed Maturities |  | Perpetual Securities |  | Equity Securities |  | Derivatives (1) |  |  |
(In millions) | Mortgage- and Asset- Backed Securities |  | Public Utilities |  | Sovereign and Supranational |  | Banks/ Financial Institutions |  | Other Corporate |  | Banks/ Financial Institutions |  |  |  | Interest Rate Swaps |  | Foreign Currency Swaps |  | Credit Default Swaps |  | Total |
Balance, beginning of period | $ | 338 |  |  | $ | 420 |  |  | $ | 418 |  |  | $ | 1,024 |  |  | $ | 986 |  |  | $ | 215 |  |  | $ | 4 |  |  | $ | 29 |  |  | $ | (172 | ) |  | $ | (65 | ) |  | $ | 3,197 |  |
Realized investment gains (losses) included in earnings | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | (4 | ) |  | (5 | ) |  | 11 |  |  | 2 |  |
Unrealized gains (losses) included in other comprehensive income (loss) | (21 | ) |  | (20 | ) |  | 0 |  |  | (1 | ) |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | (7 | ) |  | 0 |  |  | (49 | ) |
Purchases, issuances, sales and settlements: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Purchases | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |
Issuances | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |
Sales | 0 |  |  | (400 | ) |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | (400 | ) |
Settlements | (3 | ) |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | (3 | ) |
Transfers into Level 3(2) | 125 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 125 |  |
Transfers out of Level 3(3) | 0 |  |  | 0 |  |  | (418 | ) |  | (997 | ) |  | (986 | ) |  | (215 | ) |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | (2,616 | ) |
Balance, end of period | $ | 439 |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | 26 |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | 4 |  |  | $ | 25 |  |  | $ | (184 | ) |  | $ | (54 | ) |  | $ | 256 |  |
Changes in unrealized gains (losses) relating to Level 3 assets and liabilities still held at the end of the period included in realized investment gains (losses) | $ | 0 |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | (4 | ) |  | $ | (5 | ) |  | $ | 11 |  |  | $ | 2 |  |
(1) Derivative assets and liabilities are presented net (2) Due to a lack of visibility to observe significant inputs to price (3) A result of changing our pricing methodology to a valuation method that uses observable market data as significant inputs to estimate fair value
Fair Value Inputs Assets Quantitative Information | The following tables summarize the significant unobservable inputs used in the valuation of our Level 3 available-for-sale investments and derivatives. Included in the tables are the inputs or range of possible inputs that have an effect on the overall valuation of the financial instruments.
March 31, 2014
(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 |  |  | $ | 262 |  |  |  | Consensus pricing |  | Offered quotes |  | N/A | (e)
Banks/financial institutions |  |  | 25 |  |  |  | Consensus pricing |  | Offered quotes |  | N/A | (e)
Perpetual securities: |  |  |  |  |  |  |  |  |  |  |
Banks/financial institutions |  |  | 56 |  |  |  | Model pricing |  | Offered quotes |  | N/A | (e)
Equity securities |  |  | 3 |  |  |  | Net asset value |  | Offered quotes |  | $1-$793 ($7) |
Other assets: |  |  |  |  |  |  |  |  |  |  |
Foreign currency swaps |  |  | 30 |  |  |  | Discounted cash flow |  | Interest rates (USD) |  | 2.84% - 3.56% | (b)
|  |  |  |  |  |  |  | Interest rates (JPY) |  | .83% - 1.96% | (c)
|  |  |  |  |  |  |  | CDS spreads |  | 11 - 124 bps |
|  |  |  |  |  |  |  | Foreign exchange rates |  | 20.45% | (d)
|  |  | 8 |  |  |  | Discounted cash flow |  | Interest rates (USD) |  | 2.84% - 3.56% | (b)
|  |  |  |  |  |  |  | Interest rates (JPY) |  | .83% - 1.96% | (c)
|  |  |  |  |  |  |  | CDS spreads |  | 21 - 120 bps |
|  |  | 68 |  |  |  | Discounted cash flow |  | Interest rates (USD) |  | 2.84% - 3.56% | (b)
|  |  |  |  |  |  |  | Interest rates (JPY) |  | .83% - 1.96% | (c)
|  |  |  |  |  |  |  | Foreign exchange rates |  | 20.45% | (d)
Credit default swaps |  |  | 1 |  |  |  | Discounted cash flow |  | Base correlation |  | 65% - 75% (72%) | (a)
|  |  |  |  |  |  |  | CDS spreads |  | 66 - 101 (86) bps |
|  |  |  |  |  |  |  | Recovery rate |  | 37.00% |
Total assets |  |  | $ | 453 |  |  |  |  |  |  |  |  |
(a) Weighted-average range of base correlations for our bespoke tranches for attachment and detachment points corresponding to market indices (b) Inputs derived from U.S. long-term rates to accommodate long maturity nature of our swaps (c) Inputs derived from Japan long-term rates to accommodate long maturity nature of our swaps (d) Based on 10 year volatility of JPY/USD exchange rate (e) 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.
December 31, 2013
(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 |  |  | $ | 369 |  |  |  | Consensus pricing |  | Offered quotes |  | N/A | (e)
Banks/financial institutions |  |  | 23 |  |  |  | Consensus pricing |  | Offered quotes |  | N/A | (e)
Perpetual securities: |  |  |  |  |  |  |  |  |  |  |
Banks/financial institutions |  |  | 52 |  |  |  | Consensus pricing |  | Offered quotes |  | N/A | (e)
Equity securities |  |  | 3 |  |  |  | Net asset value |  | Offered quotes |  | $1-$774 ($7) |
Other assets: |  |  |  |  |  |  |  |  |  |  |
Foreign currency swaps |  |  | 30 |  |  |  | Discounted cash flow |  | Interest rates (USD) |  | 3.09% - 3.96% | (b)
|  |  |  |  |  |  |  | Interest rates (JPY) |  | .93% - 2.02% | (c)
|  |  |  |  |  |  |  | CDS spreads |  | 16 - 141 bps |
|  |  |  |  |  |  |  | Foreign exchange rates |  | 21.16% | (d)
|  |  | 9 |  |  |  | Discounted cash flow |  | Interest rates (USD) |  | 3.09% - 3.96% | (b)
|  |  |  |  |  |  |  | Interest rates (JPY) |  | .93% - 2.02% | (c)
|  |  |  |  |  |  |  | CDS spreads |  | 17 - 149 bps |
|  |  | 65 |  |  |  | Discounted cash flow |  | Interest rates (USD) |  | 3.09% - 3.96% | (b)
|  |  |  |  |  |  |  | Interest rates (JPY) |  | .93% - 2.02% | (c)
|  |  |  |  |  |  |  | Foreign exchange rates |  | 21.16% | (d)
Credit default swaps |  |  | 1 |  |  |  | Discounted cash flow |  | Base correlation |  | 65% - 76% (72%) | (a)
|  |  |  |  |  |  |  | CDS spreads |  | 65 - 106 (92) bps |
|  |  |  |  |  |  |  | Recovery rate |  | 37.00% |
Interest rate swaps |  |  | 1 |  |  |  | Discounted cash flow |  | Base correlation |  | 65% - 76% (72%) | (a)
|  |  |  |  |  |  |  | CDS spreads |  | 65 - 106 (92) bps |
|  |  |  |  |  |  |  | Recovery rate |  | 37.00% |
Total assets |  |  | $ | 553 |  |  |  |  |  |  |  |  |
(a) Weighted-average range of base correlations for our bespoke tranches for attachment and detachment points corresponding to market indices (b) Inputs derived from U.S. long-term rates to accommodate long maturity nature of our swaps (c) Inputs derived from Japan long-term rates to accommodate long maturity nature of our swaps (d) Based on 10 year volatility of JPY/USD exchange rate (e) 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.
Fair Value Inputs Liabilities Quantitative Information |
March 31, 2014
(In millions) |  | Fair Value |  | Valuation Technique(s) |  | Unobservable Input |  | Range (Weighted Average) |
Liabilities: |  |  |  |  |  |  |  |  |  |  |
Foreign currency swaps |  |  | 100 |  |  |  | Discounted cash flow |  | Interest rates (USD) |  | 2.84% - 3.56% | (b)
|  |  |  |  |  |  |  | Interest rates (JPY) |  | .83% - 1.96% | (c)
|  |  |  |  |  |  |  | CDS spreads |  | 11 - 124 bps |
|  |  |  |  |  |  |  | Foreign exchange rates |  | 20.45% | (d)
|  |  | 25 |  |  |  | Discounted cash flow |  | Interest rates (USD) |  | 2.84% - 3.56% | (b)
|  |  |  |  |  |  |  | Interest rates (JPY) |  | .83% - 1.96% | (c)
|  |  |  |  |  |  |  | CDS spreads |  | 10 - 177 bps |
|  |  | 67 |  |  |  | Discounted cash flow |  | Interest rates (USD) |  | 2.84% - 3.56% | (b)
|  |  |  |  |  |  |  | Interest rates (JPY) |  | .83% - 1.96% | (c)
|  |  |  |  |  |  |  | Foreign exchange rates |  | 20.45% | (d)
Credit default swaps |  |  | 2 |  |  |  | Discounted cash flow |  | Base correlations |  | 65% - 75% (72%) | (a)
|  |  |  |  |  |  |  | CDS spreads |  | 66 - 101 (86) bps |
|  |  |  |  |  |  |  | Recovery rate |  | 37.00% |
Total liabilities |  |  | $ | 194 |  |  |  |  |  |  |  |  |
(a) Weighted-average range of base correlations for our bespoke tranches for attachment and detachment points corresponding to market indices (b) Inputs derived from U.S. long-term rates to accommodate long maturity nature of our swaps (c) Inputs derived from Japan long-term rates to accommodate long maturity nature of our swaps (d) Based on 10 year volatility of JPY/USD exchange rate
December 31, 2013 |
(In millions) |  | Fair Value |  | Valuation Technique(s) |  | Unobservable Input |  | Range (Weighted Average) |
Liabilities: |  |  |  |  |  |  |  |  |  |  |
Foreign currency swaps |  |  | 99 |  |  |  | Discounted cash flow |  | Interest rates (USD) |  | 3.09% - 3.96% | (b)
|  |  |  |  |  |  |  | Interest rates (JPY) |  | .93% - 2.02% | (c)
|  |  |  |  |  |  |  | CDS spreads |  | 16 - 141 bps |
|  |  |  |  |  |  |  | Foreign exchange rates |  | 21.16% | (d)
|  |  | 24 |  |  |  | Discounted cash flow |  | Interest rates (USD) |  | 3.09% - 3.96% | (b)
|  |  |  |  |  |  |  | Interest rates (JPY) |  | .93% - 2.02% | (c)
|  |  |  |  |  |  |  | CDS spreads |  | 11 - 189 bps |
|  |  | 80 |  |  |  | Discounted cash flow |  | Interest rates (USD) |  | 3.09% - 3.96% | (b)
|  |  |  |  |  |  |  | Interest rates (JPY) |  | .93% - 2.02% | (c)
|  |  |  |  |  |  |  | Foreign exchange rates |  | 21.16% | (d)
Credit default swaps |  |  | 4 |  |  |  | Discounted cash flow |  | Base correlations |  | 65% - 76% (72%) | (a)
|  |  |  |  |  |  |  | CDS spreads |  | 65 - 106 (92) bps |
|  |  |  |  |  |  |  | Recovery rate |  | 37.00% |
Total liabilities |  |  | $ | 207 |  |  |  |  |  |  |  |  |
(a) Weighted-average range of base correlations for our bespoke tranches for attachment and detachment points corresponding to market indices (b) Inputs derived from U.S. long-term rates to accommodate long maturity nature of our swaps (c) Inputs derived from Japan long-term rates to accommodate long maturity nature of our swaps (d) Based on 10 year volatility of JPY/USD exchange rate

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