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FAIR VALUE MEASUREMENTS | 9 Months Ended
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Sep. 30, 2016
Fair Value Disclosures [Abstract] |
FAIR VALUE MEASUREMENTS | FAIR VALUE MEASUREMENTS Fair Value Hierarchy U.S. GAAP specifies a hierarchy of valuation techniques based on whether the inputs to those valuation techniques are observable or unobservable. These two types of inputs create three valuation hierarchy levels. Level 1 valuations reflect quoted market prices for identical assets or liabilities in active markets. Level 2 valuations reflect quoted market prices for similar assets or liabilities in an active market, quoted market prices for identical or similar assets or liabilities in non-active markets or model-derived valuations in which all significant valuation inputs are observable in active markets. Level 3 valuations reflect valuations in which one or more of the significant inputs are not observable in an active market. 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.
| September 30, 2016
(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 |  | $ | 26,537 |  |  |  |  | $ | 869 |  |  |  |  | $ | 0 |  |  |  |  | $ | 27,406 |  |
Municipalities |  | 0 |  |  |  |  | 1,353 |  |  |  |  | 0 |  |  |  |  | 1,353 |  |
Mortgage- and asset-backed securities |  | 0 |  |  |  |  | 988 |  |  |  |  | 240 |  |  |  |  | 1,228 |  |
Public utilities |  | 0 |  |  |  |  | 8,509 |  |  |  |  | 0 |  |  |  |  | 8,509 |  |
Sovereign and supranational |  | 0 |  |  |  |  | 1,598 |  |  |  |  | 0 |  |  |  |  | 1,598 |  |
Banks/financial institutions |  | 0 |  |  |  |  | 6,318 |  |  |  |  | 26 |  |  |  |  | 6,344 |  |
Other corporate |  | 0 |  |  |  |  | 34,089 |  |  |  |  | 0 |  |  |  |  | 34,089 |  |
Total fixed maturities |  | 26,537 |  |  |  |  | 53,724 |  |  |  |  | 266 |  |  |  |  | 80,527 |  |
Perpetual securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Banks/financial institutions |  | 0 |  |  |  |  | 1,768 |  |  |  |  | 0 |  |  |  |  | 1,768 |  |
Other corporate |  | 0 |  |  |  |  | 226 |  |  |  |  | 0 |  |  |  |  | 226 |  |
Total perpetual securities |  | 0 |  |  |  |  | 1,994 |  |  |  |  | 0 |  |  |  |  | 1,994 |  |
Equity securities |  | 1,269 |  |  |  |  | 6 |  |  |  |  | 3 |  |  |  |  | 1,278 |  |
Other assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Foreign currency swaps |  | 0 |  |  |  |  | 295 |  |  |  |  | 165 |  |  |  |  | 460 |  |
Foreign currency forwards |  | 0 |  |  |  |  | 1,189 |  |  |  |  | 0 |  |  |  |  | 1,189 |  |
Foreign currency options |  | 0 |  |  |  |  | 10 |  |  |  |  | 0 |  |  |  |  | 10 |  |
Credit default swaps |  | 0 |  |  |  |  | 0 |  |  |  |  | 3 |  |  |  |  | 3 |  |
Total other assets |  | 0 |  |  |  |  | 1,494 |  |  |  |  | 168 |  |  |  |  | 1,662 |  |
Other investments |  | 299 |  |  |  |  | 0 |  |  |  |  | 0 |  |  |  |  | 299 |  |
Cash and cash equivalents |  | 5,270 |  |  |  |  | 0 |  |  |  |  | 0 |  |  |  |  | 5,270 |  |
Total assets |  | $ | 33,375 |  |  |  |  | $ | 57,218 |  |  |  |  | $ | 437 |  |  |  |  | $ | 91,030 |  |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Foreign currency swaps |  | $ | 0 |  |  |  |  | $ | 312 |  |  |  |  | $ | 124 |  |  |  |  | $ | 436 |  |
Foreign currency forwards |  | 0 |  |  |  |  | 109 |  |  |  |  | 0 |  |  |  |  | 109 |  |
Foreign currency options |  | 0 |  |  |  |  | 56 |  |  |  |  | 0 |  |  |  |  | 56 |  |
Total liabilities |  | $ | 0 |  |  |  |  | $ | 477 |  |  |  |  | $ | 124 |  |  |  |  | $ | 601 |  |
| December 31, 2015
(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 |  | $ | 18,669 |  |  |  |  | $ | 607 |  |  |  |  | $ | 0 |  |  |  |  | $ | 19,276 |  |
Municipalities |  | 0 |  |  |  |  | 1,208 |  |  |  |  | 0 |  |  |  |  | 1,208 |  |
Mortgage- and asset-backed securities |  | 0 |  |  |  |  | 362 |  |  |  |  | 220 |  |  |  |  | 582 |  |
Public utilities |  | 0 |  |  |  |  | 7,479 |  |  |  |  | 0 |  |  |  |  | 7,479 |  |
Sovereign and supranational |  | 0 |  |  |  |  | 1,407 |  |  |  |  | 0 |  |  |  |  | 1,407 |  |
Banks/financial institutions |  | 0 |  |  |  |  | 5,993 |  |  |  |  | 26 |  |  |  |  | 6,019 |  |
Other corporate |  | 0 |  |  |  |  | 29,378 |  |  |  |  | 0 |  |  |  |  | 29,378 |  |
Total fixed maturities |  | 18,669 |  |  |  |  | 46,434 |  |  |  |  | 246 |  |  |  |  | 65,349 |  |
Perpetual securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Banks/financial institutions |  | 0 |  |  |  |  | 1,742 |  |  |  |  | 0 |  |  |  |  | 1,742 |  |
Other corporate |  | 0 |  |  |  |  | 205 |  |  |  |  | 0 |  |  |  |  | 205 |  |
Total perpetual securities |  | 0 |  |  |  |  | 1,947 |  |  |  |  | 0 |  |  |  |  | 1,947 |  |
Equity securities |  | 489 |  |  |  |  | 6 |  |  |  |  | 3 |  |  |  |  | 498 |  |
Other assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Foreign currency swaps |  | 0 |  |  |  |  | 462 |  |  |  |  | 101 |  |  |  |  | 563 |  |
Foreign currency forwards |  | 0 |  |  |  |  | 107 |  |  |  |  | 0 |  |  |  |  | 107 |  |
Foreign currency options |  | 0 |  |  |  |  | 5 |  |  |  |  | 0 |  |  |  |  | 5 |  |
Credit default swaps |  | 0 |  |  |  |  | 0 |  |  |  |  | 1 |  |  |  |  | 1 |  |
Total other assets |  | 0 |  |  |  |  | 574 |  |  |  |  | 102 |  |  |  |  | 676 |  |
Other investments |  | 176 |  |  |  |  | 0 |  |  |  |  | 0 |  |  |  |  | 176 |  |
Cash and cash equivalents |  | 4,350 |  |  |  |  | 0 |  |  |  |  | 0 |  |  |  |  | 4,350 |  |
Total assets |  | $ | 23,684 |  |  |  |  | $ | 48,961 |  |  |  |  | $ | 351 |  |  |  |  | $ | 72,996 |  |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Foreign currency swaps |  | $ | 0 |  |  |  |  | $ | 21 |  |  |  |  | $ | 293 |  |  |  |  | $ | 314 |  |
Foreign currency forwards |  | 0 |  |  |  |  | 49 |  |  |  |  | 0 |  |  |  |  | 49 |  |
Foreign currency options |  | 0 |  |  |  |  | 8 |  |  |  |  | 0 |  |  |  |  | 8 |  |
Total liabilities |  | $ | 0 |  |  |  |  | $ | 78 |  |  |  |  | $ | 293 |  |  |  |  | $ | 371 |  |
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.
| September 30, 2016
(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 |  | $ | 23,852 |  |  |  | $ | 31,093 |  |  |  |  | $ | 0 |  |  |  |  | $ | 0 |  |  |  |  | $ | 31,093 |  |
Municipalities |  | 404 |  |  |  | 0 |  |  |  |  | 549 |  |  |  |  | 0 |  |  |  |  | 549 |  |
Mortgage and asset-backed securities |  | 37 |  |  |  | 0 |  |  |  |  | 12 |  |  |  |  | 27 |  |  |  |  | 39 |  |
Public utilities |  | 3,687 |  |  |  | 0 |  |  |  |  | 4,198 |  |  |  |  | 0 |  |  |  |  | 4,198 |  |
Sovereign and supranational |  | 2,998 |  |  |  | 0 |  |  |  |  | 3,394 |  |  |  |  | 0 |  |  |  |  | 3,394 |  |
Banks/financial institutions |  | 4,544 |  |  |  | 0 |  |  |  |  | 4,790 |  |  |  |  | 0 |  |  |  |  | 4,790 |  |
Other corporate |  | 3,250 |  |  |  | 0 |  |  |  |  | 3,874 |  |  |  |  | 0 |  |  |  |  | 3,874 |  |
Other investments |  | 795 |  |  |  | 0 |  |  |  |  | 0 |  |  |  |  | 801 |  |  |  |  | 801 |  |
Total assets |  | $ | 39,567 |  |  |  | $ | 31,093 |  |  |  |  | $ | 16,817 |  |  |  |  | $ | 828 |  |  |  |  | $ | 48,738 |  |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Other policyholders’ funds |  | $ | 7,646 |  |  |  | $ | 0 |  |  |  |  | $ | 0 |  |  |  |  | $ | 7,377 |  |  |  |  | $ | 7,377 |  |
Notes payable (excluding capital leases) |  | 5,743 |  |  |  | 0 |  |  |  |  | 0 |  |  |  |  | 5,994 |  |  |  |  | 5,994 |  |
Total liabilities |  | $ | 13,389 |  |  |  | $ | 0 |  |  |  |  | $ | 0 |  |  |  |  | $ | 13,371 |  |  |  |  | $ | 13,371 |  |
| December 31, 2015
(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 |  | $ | 20,004 |  |  |  | $ | 23,391 |  |  |  |  | $ | 0 |  |  |  |  | $ | 0 |  |  |  |  | $ | 23,391 |  |
Municipalities |  | 341 |  |  |  | 0 |  |  |  |  | 415 |  |  |  |  | 0 |  |  |  |  | 415 |  |
Mortgage and asset-backed securities |  | 36 |  |  |  | 0 |  |  |  |  | 12 |  |  |  |  | 26 |  |  |  |  | 38 |  |
Public utilities |  | 3,092 |  |  |  | 0 |  |  |  |  | 3,203 |  |  |  |  | 0 |  |  |  |  | 3,203 |  |
Sovereign and supranational |  | 2,555 |  |  |  | 0 |  |  |  |  | 2,711 |  |  |  |  | 0 |  |  |  |  | 2,711 |  |
Banks/financial institutions |  | 4,431 |  |  |  | 0 |  |  |  |  | 4,546 |  |  |  |  | 0 |  |  |  |  | 4,546 |  |
Other corporate |  | 3,000 |  |  |  | 0 |  |  |  |  | 3,216 |  |  |  |  | 0 |  |  |  |  | 3,216 |  |
Other investments |  | 118 |  |  |  | 0 |  |  |  |  | 0 |  |  |  |  | 118 |  |  |  |  | 118 |  |
Total assets |  | $ | 33,577 |  |  |  | $ | 23,391 |  |  |  |  | $ | 14,103 |  |  |  |  | $ | 144 |  |  |  |  | $ | 37,638 |  |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Other policyholders’ funds |  | $ | 6,285 |  |  |  | $ | 0 |  |  |  |  | $ | 0 |  |  |  |  | $ | 6,160 |  |  |  |  | $ | 6,160 |  |
Notes payable (excluding capital leases) |  | 4,991 |  |  |  | 0 |  |  |  |  | 0 |  |  |  |  | 5,285 |  |  |  |  | 5,285 |  |
Total liabilities |  | $ | 11,276 |  |  |  | $ | 0 |  |  |  |  | $ | 0 |  |  |  |  | $ | 11,445 |  |  |  |  | $ | 11,445 |  |
Fair Value of Financial Instruments U.S. GAAP requires disclosure of the fair value of certain financial instruments including those that are not carried at fair value. The carrying amounts for cash and cash equivalents, other investments (excluding loan receivables), receivables, accrued investment income, accounts payable, cash collateral and payables for security transactions approximated their fair values due to the nature of these instruments. Liabilities for future policy benefits and unpaid policy claims are not financial instruments as defined by U.S. GAAP. Fixed maturities, perpetual securities, and equity securities We determine the fair values of our fixed maturity securities, perpetual securities, and public and privately issued equity securities using the following approaches or techniques: price quotes and valuations from third party pricing vendors (including quoted market prices readily available from public exchange markets) and non-binding price quotes we obtain from outside brokers. A third party pricing vendor has developed valuation models to determine fair values of privately issued securities to reflect the impact of the persistent economic environment and the changing regulatory framework. These models are discounted cash flow (DCF) valuation models, but also use information from related markets, specifically the CDS market to estimate expected cash flows. These models take into consideration any unique characteristics of the securities and make various adjustments to arrive at an appropriate issuer-specific loss adjusted credit curve. This credit curve is then used with the relevant recovery rates to estimate expected cash flows and modeling of additional features, including illiquidity adjustments, if necessary, to price the security by discounting those loss adjusted cash flows. In cases where a credit curve cannot be developed from the specific security features, the valuation methodology takes into consideration other market observable inputs, including: 1) the most appropriate comparable security(ies) of the issuer; 2) issuer-specific CDS spreads; 3) bonds or CDS spreads of comparable issuers with similar characteristics such as rating, geography, or sector; or 4) bond indices that are comparative in rating, industry, maturity and region. The pricing data and market quotes we obtain from outside sources, including third party pricing services, are reviewed internally for reasonableness. If a fair value appears unreasonable, we will re-examine the inputs and assess the reasonableness of the pricing data with the vendor. Additionally, we may compare the inputs to relevant market indices and other performance measurements. The output of this analysis is presented to the Company's Valuation and Classification Subcommittee (VCS). Based on the analysis provided to the VCS, the valuation is confirmed or may be revised if there is evidence of a more appropriate estimate of fair value based on available market data. We have performed verification of the inputs and calculations in any valuation models to confirm that the valuations represent reasonable estimates of fair value. The fixed maturities classified as Level 3 consist of securities for which there are limited or no observable valuation inputs. For Level 3 securities that are investment grade, we estimate the fair value of these securities by obtaining non-binding broker quotes from a limited number of brokers. These brokers base their quotes on a combination of their knowledge of the current pricing environment and market conditions. We consider these inputs to be unobservable. For Level 3 investments that are below-investment-grade securities, we consider a variety of significant valuation inputs in the valuation process, including forward exchange rates, yen swap rates, dollar swap rates, interest rate volatilities, credit spread data on specific issuers, assumed default and default recovery rates, and certain probability assumptions. In obtaining these valuation inputs, we have determined that certain pricing assumptions and data used by our pricing sources are difficult to validate or corroborate by the market and/or appear to be internally developed rather than observed in or corroborated by the market. The use of these unobservable valuation inputs causes more subjectivity in the valuation process for these securities. For the periods presented, we have not adjusted the quotes or prices we obtain from the pricing services and brokers we use. The following tables present the pricing sources for the fair values of our fixed maturities, perpetual securities, and equity securities.
|  | September 30, 2016
(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 |  |  | $ | 26,537 |  |  |  |  | $ | 869 |  |  |  |  | $ | 0 |  |  |  |  | $ | 27,406 |  |
Total government and agencies |  |  | 26,537 |  |  |  |  | 869 |  |  |  |  | 0 |  |  |  |  | 27,406 |  |
Municipalities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Third party pricing vendor |  |  | 0 |  |  |  |  | 1,353 |  |  |  |  | 0 |  |  |  |  | 1,353 |  |
Total municipalities |  |  | 0 |  |  |  |  | 1,353 |  |  |  |  | 0 |  |  |  |  | 1,353 |  |
Mortgage- and asset-backed securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Third party pricing vendor |  |  | 0 |  |  |  |  | 988 |  |  |  |  | 0 |  |  |  |  | 988 |  |
Broker/other |  |  | 0 |  |  |  |  | 0 |  |  |  |  | 240 |  |  |  |  | 240 |  |
Total mortgage- and asset-backed securities |  |  | 0 |  |  |  |  | 988 |  |  |  |  | 240 |  |  |  |  | 1,228 |  |
Public utilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Third party pricing vendor |  |  | 0 |  |  |  |  | 8,509 |  |  |  |  | 0 |  |  |  |  | 8,509 |  |
Total public utilities |  |  | 0 |  |  |  |  | 8,509 |  |  |  |  | 0 |  |  |  |  | 8,509 |  |
Sovereign and supranational: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Third party pricing vendor |  |  | 0 |  |  |  |  | 1,598 |  |  |  |  | 0 |  |  |  |  | 1,598 |  |
Total sovereign and supranational |  |  | 0 |  |  |  |  | 1,598 |  |  |  |  | 0 |  |  |  |  | 1,598 |  |
Banks/financial institutions: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Third party pricing vendor |  |  | 0 |  |  |  |  | 6,318 |  |  |  |  | 0 |  |  |  |  | 6,318 |  |
Broker/other |  |  | 0 |  |  |  |  | 0 |  |  |  |  | 26 |  |  |  |  | 26 |  |
Total banks/financial institutions |  |  | 0 |  |  |  |  | 6,318 |  |  |  |  | 26 |  |  |  |  | 6,344 |  |
Other corporate: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Third party pricing vendor |  |  | 0 |  |  |  |  | 34,089 |  |  |  |  | 0 |  |  |  |  | 34,089 |  |
Total other corporate |  |  | 0 |  |  |  |  | 34,089 |  |  |  |  | 0 |  |  |  |  | 34,089 |  |
Total fixed maturities |  |  | 26,537 |  |  |  |  | 53,724 |  |  |  |  | 266 |  |  |  |  | 80,527 |  |
Perpetual securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Banks/financial institutions: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Third party pricing vendor |  |  | 0 |  |  |  |  | 1,768 |  |  |  |  | 0 |  |  |  |  | 1,768 |  |
Total banks/financial institutions |  |  | 0 |  |  |  |  | 1,768 |  |  |  |  | 0 |  |  |  |  | 1,768 |  |
Other corporate: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Third party pricing vendor |  |  | 0 |  |  |  |  | 226 |  |  |  |  | 0 |  |  |  |  | 226 |  |
Total other corporate |  |  | 0 |  |  |  |  | 226 |  |  |  |  | 0 |  |  |  |  | 226 |  |
Total perpetual securities |  |  | 0 |  |  |  |  | 1,994 |  |  |  |  | 0 |  |  |  |  | 1,994 |  |
Equity securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Third party pricing vendor |  |  | 1,269 |  |  |  |  | 6 |  |  |  |  | 0 |  |  |  |  | 1,275 |  |
Broker/other |  |  | 0 |  |  |  |  | 0 |  |  |  |  | 3 |  |  |  |  | 3 |  |
Total equity securities |  |  | 1,269 |  |  |  |  | 6 |  |  |  |  | 3 |  |  |  |  | 1,278 |  |
Total securities available for sale |  |  | $ | 27,806 |  |  |  |  | $ | 55,724 |  |  |  |  | $ | 269 |  |  |  |  | $ | 83,799 |  |
|  | September 30, 2016
(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 |  |  | $ | 31,093 |  |  |  |  | $ | 0 |  |  |  |  | $ | 0 |  |  |  |  | $ | 31,093 |  |
Total government and agencies |  |  | 31,093 |  |  |  |  | 0 |  |  |  |  | 0 |  |  |  |  | 31,093 |  |
Municipalities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Third party pricing vendor |  |  | 0 |  |  |  |  | 549 |  |  |  |  | 0 |  |  |  |  | 549 |  |
Total municipalities |  |  | 0 |  |  |  |  | 549 |  |  |  |  | 0 |  |  |  |  | 549 |  |
Mortgage- and asset-backed securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Third party pricing vendor |  |  | 0 |  |  |  |  | 12 |  |  |  |  | 0 |  |  |  |  | 12 |  |
Broker/other |  |  | 0 |  |  |  |  | 0 |  |  |  |  | 27 |  |  |  |  | 27 |  |
Total mortgage- and asset-backed securities |  |  | 0 |  |  |  |  | 12 |  |  |  |  | 27 |  |  |  |  | 39 |  |
Public utilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Third party pricing vendor |  |  | 0 |  |  |  |  | 4,198 |  |  |  |  | 0 |  |  |  |  | 4,198 |  |
Total public utilities |  |  | 0 |  |  |  |  | 4,198 |  |  |  |  | 0 |  |  |  |  | 4,198 |  |
Sovereign and supranational: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Third party pricing vendor |  |  | 0 |  |  |  |  | 3,394 |  |  |  |  | 0 |  |  |  |  | 3,394 |  |
Total sovereign and supranational |  |  | 0 |  |  |  |  | 3,394 |  |  |  |  | 0 |  |  |  |  | 3,394 |  |
Banks/financial institutions: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Third party pricing vendor |  |  | 0 |  |  |  |  | 4,642 |  |  |  |  | 0 |  |  |  |  | 4,642 |  |
Broker/other |  |  | 0 |  |  |  |  | 148 |  |  |  |  | 0 |  |  |  |  | 148 |  |
Total banks/financial institutions |  |  | 0 |  |  |  |  | 4,790 |  |  |  |  | 0 |  |  |  |  | 4,790 |  |
Other corporate: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Third party pricing vendor |  |  | 0 |  |  |  |  | 3,775 |  |  |  |  | 0 |  |  |  |  | 3,775 |  |
Broker/other |  |  | 0 |  |  |  |  | 99 |  |  |  |  | 0 |  |  |  |  | 99 |  |
Total other corporate |  |  | 0 |  |  |  |  | 3,874 |  |  |  |  | 0 |  |  |  |  | 3,874 |  |
Total securities held to maturity |  |  | $ | 31,093 |  |  |  |  | $ | 16,817 |  |  |  |  | $ | 27 |  |  |  |  | $ | 47,937 |  |
|  | December 31, 2015
(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 |  |  | $ | 18,669 |  |  |  |  | $ | 607 |  |  |  |  | $ | 0 |  |  |  |  | $ | 19,276 |  |
Total government and agencies |  |  | 18,669 |  |  |  |  | 607 |  |  |  |  | 0 |  |  |  |  | 19,276 |  |
Municipalities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Third party pricing vendor |  |  | 0 |  |  |  |  | 1,208 |  |  |  |  | 0 |  |  |  |  | 1,208 |  |
Total municipalities |  |  | 0 |  |  |  |  | 1,208 |  |  |  |  | 0 |  |  |  |  | 1,208 |  |
Mortgage- and asset-backed securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Third party pricing vendor |  |  | 0 |  |  |  |  | 362 |  |  |  |  | 0 |  |  |  |  | 362 |  |
Broker/other |  |  | 0 |  |  |  |  | 0 |  |  |  |  | 220 |  |  |  |  | 220 |  |
Total mortgage- and asset-backed securities |  |  | 0 |  |  |  |  | 362 |  |  |  |  | 220 |  |  |  |  | 582 |  |
Public utilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Third party pricing vendor |  |  | 0 |  |  |  |  | 7,479 |  |  |  |  | 0 |  |  |  |  | 7,479 |  |
Total public utilities |  |  | 0 |  |  |  |  | 7,479 |  |  |  |  | 0 |  |  |  |  | 7,479 |  |
Sovereign and supranational: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Third party pricing vendor |  |  | 0 |  |  |  |  | 1,407 |  |  |  |  | 0 |  |  |  |  | 1,407 |  |
Total sovereign and supranational |  |  | 0 |  |  |  |  | 1,407 |  |  |  |  | 0 |  |  |  |  | 1,407 |  |
Banks/financial institutions: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Third party pricing vendor |  |  | 0 |  |  |  |  | 5,993 |  |  |  |  | 0 |  |  |  |  | 5,993 |  |
Broker/other |  |  | 0 |  |  |  |  | 0 |  |  |  |  | 26 |  |  |  |  | 26 |  |
Total banks/financial institutions |  |  | 0 |  |  |  |  | 5,993 |  |  |  |  | 26 |  |  |  |  | 6,019 |  |
Other corporate: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Third party pricing vendor |  |  | 0 |  |  |  |  | 29,378 |  |  |  |  | 0 |  |  |  |  | 29,378 |  |
Total other corporate |  |  | 0 |  |  |  |  | 29,378 |  |  |  |  | 0 |  |  |  |  | 29,378 |  |
Total fixed maturities |  |  | 18,669 |  |  |  |  | 46,434 |  |  |  |  | 246 |  |  |  |  | 65,349 |  |
Perpetual securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Banks/financial institutions: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Third party pricing vendor |  |  | 0 |  |  |  |  | 1,742 |  |  |  |  | 0 |  |  |  |  | 1,742 |  |
Total banks/financial institutions |  |  | 0 |  |  |  |  | 1,742 |  |  |  |  | 0 |  |  |  |  | 1,742 |  |
Other corporate: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Third party pricing vendor |  |  | 0 |  |  |  |  | 205 |  |  |  |  | 0 |  |  |  |  | 205 |  |
Total other corporate |  |  | 0 |  |  |  |  | 205 |  |  |  |  | 0 |  |  |  |  | 205 |  |
Total perpetual securities |  |  | 0 |  |  |  |  | 1,947 |  |  |  |  | 0 |  |  |  |  | 1,947 |  |
Equity securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Third party pricing vendor |  |  | 489 |  |  |  |  | 6 |  |  |  |  | 0 |  |  |  |  | 495 |  |
Broker/other |  |  | 0 |  |  |  |  | 0 |  |  |  |  | 3 |  |  |  |  | 3 |  |
Total equity securities |  |  | 489 |  |  |  |  | 6 |  |  |  |  | 3 |  |  |  |  | 498 |  |
Total securities available for sale |  |  | $ | 19,158 |  |  |  |  | $ | 48,387 |  |  |  |  | $ | 249 |  |  |  |  | $ | 67,794 |  |
|  | December 31, 2015
(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 |  |  | $ | 23,391 |  |  |  |  | $ | 0 |  |  |  |  | $ | 0 |  |  |  |  | $ | 23,391 |  |
Total government and agencies |  |  | 23,391 |  |  |  |  | 0 |  |  |  |  | 0 |  |  |  |  | 23,391 |  |
Municipalities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Third party pricing vendor |  |  | 0 |  |  |  |  | 415 |  |  |  |  | 0 |  |  |  |  | 415 |  |
Total municipalities |  |  | 0 |  |  |  |  | 415 |  |  |  |  | 0 |  |  |  |  | 415 |  |
Mortgage- and asset-backed securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Third party pricing vendor |  |  | 0 |  |  |  |  | 12 |  |  |  |  | 0 |  |  |  |  | 12 |  |
Broker/other |  |  | 0 |  |  |  |  | 0 |  |  |  |  | 26 |  |  |  |  | 26 |  |
Total mortgage- and asset-backed securities |  |  | 0 |  |  |  |  | 12 |  |  |  |  | 26 |  |  |  |  | 38 |  |
Public utilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Third party pricing vendor |  |  | 0 |  |  |  |  | 3,203 |  |  |  |  | 0 |  |  |  |  | 3,203 |  |
Total public utilities |  |  | 0 |  |  |  |  | 3,203 |  |  |  |  | 0 |  |  |  |  | 3,203 |  |
Sovereign and supranational: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Third party pricing vendor |  |  | 0 |  |  |  |  | 2,711 |  |  |  |  | 0 |  |  |  |  | 2,711 |  |
Total sovereign and supranational |  |  | 0 |  |  |  |  | 2,711 |  |  |  |  | 0 |  |  |  |  | 2,711 |  |
Banks/financial institutions: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Third party pricing vendor |  |  | 0 |  |  |  |  | 4,546 |  |  |  |  | 0 |  |  |  |  | 4,546 |  |
Total banks/financial institutions |  |  | 0 |  |  |  |  | 4,546 |  |  |  |  | 0 |  |  |  |  | 4,546 |  |
Other corporate: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Third party pricing vendor |  |  | 0 |  |  |  |  | 3,189 |  |  |  |  | 0 |  |  |  |  | 3,189 |  |
Broker/other |  |  | 0 |  |  |  |  | 27 |  |  |  |  | 0 |  |  |  |  | 27 |  |
Total other corporate |  |  | 0 |  |  |  |  | 3,216 |  |  |  |  | 0 |  |  |  |  | 3,216 |  |
Total securities held to maturity |  |  | $ | 23,391 |  |  |  |  | $ | 14,103 |  |  |  |  | $ | 26 |  |  |  |  | $ | 37,520 |  |
The following is a discussion of the determination of fair value of our remaining financial instruments. Loan Receivables Our loan receivables do not have readily determinable market prices and generally lack market liquidity. Fair values for loan receivables are determined based on the present value of expected future cash flows discounted at the applicable U.S. Treasury or LIBOR yield plus an appropriate spread that considers other risk factors, such as credit and liquidity risk. These spreads are provided by the applicable asset managers based on their knowledge of the current loan pricing environment and market conditions. The spreads are a significant component of the pricing inputs and are generally considered unobservable. Therefore, these investments have been assigned a Level 3 within the fair value hierarchy. Loan receivables are included in other investments on the consolidated balance sheets. Derivatives We use derivative instruments to manage the risk associated with certain assets. However, the derivative instrument may not be classified in the same fair value hierarchy level as the associated asset. Inputs used to value derivatives include, but are not limited to, interest rates, credit spreads, foreign currency forward and spot rates, and interest volatility. The fair values of the foreign currency forwards, options, and interest rate swaptions associated with certain fixed-maturity securities; the foreign currency forwards and options used to hedge foreign exchange risk from our net investment in Aflac Japan and economically hedge certain portions of forecasted cash flows denominated in yen; and the foreign currency swaps associated with certain senior notes and our subordinated debentures are based on the amounts we would expect to receive or pay. The determination of the fair value of these derivatives is based on observable market inputs, therefore they are classified as Level 2. For derivatives associated with VIEs where we are the primary beneficiary, we are not the direct counterparty to the swap contracts. As a result, the fair value measurements incorporate the credit risk of the collateral associated with the VIE. We receive valuations from a third party pricing vendor for these derivatives. Based on an analysis of these derivatives and a review of the methodology employed by the pricing vendor, we determined that due to the long duration of these swaps and the need to extrapolate from short-term observable data to derive and measure long-term inputs, certain inputs, assumptions and judgments are required to value future cash flows that cannot be corroborated by current inputs or current observable market data. As a result, the derivatives associated with our consolidated VIEs are classified as Level 3 of the fair value hierarchy. Other policyholders' funds The largest component of the other policyholders' funds liability is our annuity line of business in Aflac Japan. Our annuities have fixed benefits and premiums. For this product, we estimated the fair value to be equal to the cash surrender value. This is analogous to the value paid to policyholders on the valuation date if they were to surrender their policy. We periodically check the cash value against discounted cash flow projections for reasonableness. We consider our inputs for this valuation to be unobservable and have accordingly classified this valuation as Level 3. Notes payable The fair values of our publicly issued notes payable classified as Level 3 were obtained from a limited number of independent brokers. These brokers base their quotes on a combination of their knowledge of the current pricing environment and market conditions. We consider these inputs to be unobservable. The fair values of our yen-denominated loans approximate their carrying values. Transfers between Hierarchy Levels and Level 3 Rollforward There were no transfers between Level 1 and 2 for the three- and nine-month periods ended September 30, 2016 and 2015, respectively. The following tables present the changes in fair value of our available-for-sale investments and derivatives classified as Level 3.
Three Months Ended September 30, 2016
| Fixed Maturities |  | Equity Securities |  | Derivatives (1) |  |  |
(In millions) | Mortgage- and Asset- Backed Securities |  | Banks/ Financial Institutions |  |  |  |  | Foreign Currency Swaps |  | Credit Default Swaps |  | Total |
Balance, beginning of period | $ | 252 |  |  | $ | 26 |  |  |  | $ | 3 |  |  | $ | 59 |  |  | $ | 1 |  |  | $ | 341 |  |
Realized investment gains (losses) included in earnings | 0 |  |  | 0 |  |  |  | 0 |  |  | (18 | ) |  | 2 |  |  | (16 | ) |
Unrealized gains (losses) included in other comprehensive income (loss) | 1 |  |  | 0 |  |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 1 |  |
Purchases, issuances, sales and settlements: |  |  |  |  |  |  |  |  |  |  |  |  |
Purchases | 0 |  |  | 0 |  |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |
Issuances | 0 |  |  | 0 |  |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |
Sales | 0 |  |  | 0 |  |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |
Settlements | (13 | ) |  | 0 |  |  |  | 0 |  |  | 0 |  |  | 0 |  |  | (13 | ) |
Transfers into Level 3 | 0 |  |  | 0 |  |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |
Transfers out of Level 3 | 0 |  |  | 0 |  |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |
Balance, end of period | $ | 240 |  |  | $ | 26 |  |  |  | $ | 3 |  |  | $ | 41 |  |  | $ | 3 |  |  | $ | 313 |  |
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 |  |  | $ | (18 | ) |  | $ | 2 |  |  | $ | (16 | ) |
(1) Derivative assets and liabilities are presented net
Three Months Ended September 30, 2015
| Fixed Maturities |  |  | Equity Securities |  | Derivatives (1) |  |  |
(In millions) | Mortgage- and Asset- Backed Securities |  | Banks/ Financial Institutions |  |  |  |  | Foreign Currency Swaps |  | Credit Default Swaps |  | Total |
Balance, beginning of period | $ | 214 |  |  | $ | 25 |  |  |  | $ | 3 |  |  | $ | (223 | ) |  | $ | 1 |  |  | $ | 20 |  |
Realized investment gains (losses) included in earnings | 0 |  |  | 0 |  |  |  | 0 |  |  | (13 | ) |  | (1 | ) |  | (14 | ) |
Unrealized gains (losses) included in other comprehensive income (loss) | 6 |  |  | 1 |  |  |  | 0 |  |  | (1 | ) |  | 0 |  |  | 6 |  |
Purchases, issuances, sales and settlements: |  |  |  |  |  |  |  |  |  |  |  |  |
Purchases | 0 |  |  | 0 |  |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |
Issuances | 0 |  |  | 0 |  |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |
Sales | 0 |  |  | 0 |  |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |
Settlements | 0 |  |  | 0 |  |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |
Transfers into Level 3 | 0 |  |  | 0 |  |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |
Transfers out of Level 3 | 0 |  |  | 0 |  |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |
Balance, end of period | $ | 220 |  |  | $ | 26 |  |  |  | $ | 3 |  |  | $ | (237 | ) |  | $ | 0 |  |  | $ | 12 |  |
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 |  |  | $ | (14 | ) |  | $ | (1 | ) |  | $ | (15 | ) |
(1) Derivative assets and liabilities are presented net
Nine Months Ended September 30, 2016
| Fixed Maturities |  | Perpetual Securities |  | Equity Securities |  | Derivatives (1) |  |  |
(In millions) | Mortgage- and Asset- Backed Securities |  | Banks/ Financial Institutions |  |  | Banks/ Financial Institutions |  |  |  | Foreign Currency Swaps |  | Credit Default Swaps |  | Total |
Balance, beginning of period | $ | 220 |  |  | $ | 26 |  |  |  | $ | 0 |  |  | $ | 3 |  |  | $ | (192 | ) |  | $ | 1 |  |  | $ | 58 |  |
Realized investment gains (losses) included in earnings | 0 |  |  | 0 |  |  |  | 0 |  |  | 0 |  |  | 250 |  |  | 2 |  |  | 252 |  |
Unrealized gains (losses) included in other comprehensive income (loss) | 48 |  |  | 0 |  |  |  | 0 |  |  | 0 |  |  | (16 | ) |  | 0 |  |  | 32 |  |
Purchases, issuances, sales and settlements: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Purchases | 0 |  |  | 0 |  |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |
Issuances | 0 |  |  | 0 |  |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |
Sales | 0 |  |  | 0 |  |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |
Settlements | (28 | ) |  | 0 |  |  |  | 0 |  |  | 0 |  |  | (1 | ) |  | 0 |  |  | (29 | ) |
Transfers into Level 3 | 0 |  |  | 0 |  |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |
Transfers out of Level 3 | 0 |  |  | 0 |  |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |
Balance, end of period | $ | 240 |  |  | $ | 26 |  |  |  | $ | 0 |  |  | $ | 3 |  |  | $ | 41 |  |  | $ | 3 |  |  | $ | 313 |  |
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 |  |  | $ | 250 |  |  | $ | 2 |  |  | $ | 252 |  |
(1) Derivative assets and liabilities are presented net
Nine Months Ended September 30, 2015
| Fixed Maturities |  | Perpetual Securities |  | Equity Securities |  | Derivatives (1) |  |  |
(In millions) | Mortgage- and Asset- Backed Securities |  | Banks/ Financial Institutions |  |  | Banks/ Financial Institutions |  |  |  | Foreign Currency Swaps |  | Credit Default Swaps |  | Total |
Balance, beginning of period | $ | 223 |  |  | $ | 26 |  |  |  | $ | 149 |  |  | $ | 3 |  |  | $ | (212 | ) |  | $ | 0 |  |  | $ | 189 |  |
Realized investment gains (losses) included in earnings | 0 |  |  | 0 |  |  |  | 0 |  |  | 0 |  |  | (38 | ) |  | 0 |  |  | (38 | ) |
Unrealized gains (losses) included in other comprehensive income (loss) | (1 | ) |  | 0 |  |  |  | (2 | ) |  | 0 |  |  | (3 | ) |  | 0 |  |  | (6 | ) |
Purchases, issuances, sales and settlements: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Purchases | 0 |  |  | 0 |  |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |
Issuances | 0 |  |  | 0 |  |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |
Sales | 0 |  |  | 0 |  |  |  | (147 | ) |  | 0 |  |  | 0 |  |  | 0 |  |  | (147 | ) |
Settlements | (2 | ) |  | 0 |  |  |  | 0 |  |  | 0 |  |  | 16 |  |  | 0 |  |  | 14 |  |
Transfers into Level 3 | 0 |  |  | 0 |  |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |
Transfers out of Level 3 | 0 |  |  | 0 |  |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |
Balance, end of period | $ | 220 |  |  | $ | 26 |  |  |  | $ | 0 |  |  | $ | 3 |  |  | $ | (237 | ) |  | $ | 0 |  |  | $ | 12 |  |
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 |  |  | $ | (39 | ) |  | $ | 0 |  |  | $ | (39 | ) |
(1) Derivative assets and liabilities are presented net 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. Included in the tables are the inputs or range of possible inputs that have an effect on the overall valuation of the financial instruments.
September 30, 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 |  |  | $ | 240 |  |  |  | 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 - $807 ($9) |
Other assets: |  |  |  |  |  |  |  |  |  |  |
Foreign currency swaps |  |  | 40 |  |  |  | Discounted cash flow |  | Interest rates (USD) |  | 1.46% - 1.78% | (a)
|  |  |  |  |  |  |  | Interest rates (JPY) |  | .05% - .46% | (b)
|  |  |  |  |  |  |  | CDS spreads |  | 14 - 173 bps |
|  |  |  |  |  |  |  | Foreign exchange rates |  | 20.97% | (c)
|  |  | 58 |  |  |  | Discounted cash flow |  | Interest rates (USD) |  | 1.46% - 1.78% | (a)
|  |  |  |  |  |  |  | Interest rates (JPY) |  | .05% - .46% | (b)
|  |  |  |  |  |  |  | CDS spreads |  | 39 - 221 bps |
|  |  | 67 |  |  |  | Discounted cash flow |  | Interest rates (USD) |  | 1.46% - 1.78% | (a)
|  |  |  |  |  |  |  | Interest rates (JPY) |  | .05% - .46% | (b)
|  |  |  |  |  |  |  | Foreign exchange rates |  | 20.97% | (c)
Credit default swaps |  |  | 3 |  |  |  | Discounted cash flow |  | Base correlation |  | 50.35% - 55.79% | (e)
|  |  |  |  |  |  |  | CDS spreads |  | 63 bps |
|  |  |  |  |  |  |  | Recovery rate |  | 36.60% |
Total assets |  |  | $ | 437 |  |  |  |  |  |  |  |  |
(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.
September 30, 2016
(In millions) |  | Fair Value |  | Valuation Technique(s) |  | Unobservable Input |  | Range (Weighted Average) |
Liabilities: |  |  |  |  |  |  |  |  |  |  |
Foreign currency swaps |  |  | $ | 106 |  |  |  | Discounted cash flow |  | Interest rates (USD) |  | 1.46% - 1.78% | (a)
|  |  |  |  |  |  |  | Interest rates (JPY) |  | .05% - .46% | (b)
|  |  |  |  |  |  |  | CDS spreads |  | 14 - 173 bps |
|  |  |  |  |  |  |  | Foreign exchange rates |  | 20.97% | (c)
|  |  | 16 |  |  |  | Discounted cash flow |  | Interest rates (USD) |  | 1.46% - 1.78% | (a)
|  |  |  |  |  |  |  | Interest rates (JPY) |  | .05% - .46% | (b)
|  |  |  |  |  |  |  | CDS spreads |  | 25 - 234 bps |
|  |  | 2 |  |  |  | Discounted cash flow |  | Interest rates (USD) |  | 1.46% - 1.78% | (a)
|  |  |  |  |  |  |  | Interest rates (JPY) |  | .05% - .46% | (b)
|  |  |  |  |  |  |  | Foreign exchange rates |  | 20.97% | (c)
Total liabilities |  |  | $ | 124 |  |  |  |  |  |  |  |  |
(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
December 31, 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
December 31, 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 The following is a discussion of the significant unobservable inputs or valuation techniques used in determining the fair value of securities and derivatives classified as Level 3. Net Asset Value We hold certain unlisted equity securities whose fair value is derived based on the financial statements published by the investee. These securities do not trade on an active market and the valuations derived are dependent on the availability of timely financial reporting of the investee. Net asset value is an unobservable input in the determination of fair value of equity securities. Offered Quotes In circumstances where our valuation model price is overridden because it implies a value that is not consistent with current market conditions, we will solicit bids from a limited number of brokers. We also receive unadjusted prices from brokers for our mortgage and asset-backed securities. These quotes are non-binding but are reflective of valuation best estimates at that particular point in time. Offered quotes are an unobservable input in the determination of fair value of mortgage- and asset-backed securities, certain banks/financial institutions, certain other corporate, and equity securities investments. Interest Rates, CDS Spreads, Foreign Exchange Rates The significant drivers of the valuation of the interest and foreign exchange swaps are interest rates, foreign exchange rates and CDS spreads. Our swaps have long maturities that increase the sensitivity of the swaps to interest rate fluctuations. Since most of our yen-denominated cross currency swaps are in a net liability position, an increase in interest rates will decrease the liabilities and increase the value of the swap. Foreign exchange swaps also have a lump-sum final settlement of foreign exchange principal receivables at the termination of the swap. An increase in yen interest rates will decrease the value of the final settlement foreign exchange receivables and decrease the value of the swap, and an increase in U.S. dollar interest rates will increase the swap value. A similar sensitivity pattern is observed for the foreign exchange rates. When the spot U.S. dollar/Japanese yen (USD/JPY) foreign exchange rate decreases and the swap is receiving a final exchange payment in JPY, the swap value will increase due to the appreciation of the JPY. Most of our swaps are designed to receive payments in JPY at the termination and will thus be impacted by the USD/JPY foreign exchange rate in this way. In cases where there is no final foreign exchange receivable in JPY and we are paying JPY as interest payments and receiving USD, a decrease in the foreign exchange rate will lead to a decrease in the swap value. The extinguisher feature in most of our swaps results in a cessation of cash flows and no further payments between the parties to the swap in the event of a default on the referenced or underlying collateral. To price this feature, we apply the survival probability of the referenced entity to the projected cash flows. The survival probability uses the CDS spreads and recovery rates to adjust the present value of the cash flows. For extinguisher swaps with positive values, an increase in CDS spreads decreases the likelihood of receiving the final exchange payments and reduces the value of the swap. Due to the long duration of these swaps and the need to extrapolate from short-term observable data to derive and measure long-term inputs, certain inputs, assumptions and judgments are required to value future cash flows that cannot be corroborated by current inputs or current observable market data. Interest rates, CDS spreads, and foreign exchange rates are unobservable inputs in the determination of fair value of foreign currency swaps. Base Correlations, CDS Spreads, Recovery Rates Our remaining CDO is a tranche on a basket of single-name credit default swaps. The risk in this synthetic CDO comes from the single-name CDS risk and the correlations between the single names. The valuation of synthetic CDOs is dependent on the calibration of market prices for interest rates, single name CDS default probabilities and base correlation using financial modeling tools. Since there is limited or no observable data available for this tranche, the base correlations must be obtained from commonly traded market tranches such as the CDX and iTraxx indices. From the historical prices of these indices, base correlations can be obtained to develop a pricing curve of CDOs with different seniorities. Since the reference entities of the market indices do not match those in the portfolio underlying the synthetic CDO to be valued, several processing steps are taken to map the CDO in our portfolio to the indices. With the base correlation determined and the appropriate spreads selected, a valuation is calculated. An increase in the CDS spreads in the underlying portfolio leads to a decrease in the value due to higher probability of defaults and losses. The impact on the valuation due to base correlation depends on a number of factors, including the riskiness between market tranches and the modeled tranche based on our portfolio and the equivalence between detachment points in these tranches. Generally speaking, an increase in base correlation will decrease the value of the senior tranches while increasing the value of junior tranches. This may result in a positive or negative value change. The CDO tranche in our portfolio is a senior mezzanine tranche and, due to the low level of credit support for this type of tranche, exhibits equity-like behavior. As a result, an increase in recovery rates tends to cause its value to decrease. Base correlations, CDS spreads, and recovery rates are unobservable inputs in the determination of fair value of credit default swaps. For additional information on our investments and financial instruments, see the accompanying Notes 1, 3 and 4 and Notes 1, 3 and 4 of the Notes to the Consolidated Financial Statements in our annual report to shareholders for the year ended December 31, 2015.

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- Definition The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -URI http://asc.fasb.org/extlink&oid=66048111&loc=d3e19207-110258 Reference 2: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 825 -SubTopic 10 -Section 50 -Paragraph 30 -URI http://asc.fasb.org/extlink&oid=6957238&loc=d3e14172-108612 Reference 3: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 825 -SubTopic 10 -Section 50 -Paragraph 28 -URI http://asc.fasb.org/extlink&oid=6957238&loc=d3e14064-108612 Reference 4: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 825 -SubTopic 10 -Section 50 -Paragraph 21 -URI http://asc.fasb.org/extlink&oid=73719730&loc=d3e13537-108611 Reference 5: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 825 -SubTopic 10 -Section 50 -Paragraph 16 -URI http://asc.fasb.org/extlink&oid=73719730&loc=d3e13504-108611 Reference 6: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 825 -SubTopic 10 -Section 50 -Paragraph 10 -URI http://asc.fasb.org/extlink&oid=73719730&loc=d3e13433-108611 + Details
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