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FAIR VALUE MEASUREMENTS (Tables) | 9 Months Ended
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Sep. 30, 2016
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.
| 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 |  |
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.
| 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 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.
|  | 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 |  |
|  | 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 |  |
Fair Value Assets Held-To-Maturity Securities Primary Pricing Sources |
|  | 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 |  |
|  | 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 |  |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation | 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 Inputs Assets Quantitative Information |
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 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.
Fair Value Inputs Liabilities Quantitative Information |
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
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

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