The Hartford 2011 Annual Report Download - page 164

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THE HARTFORD FINANCIAL SERVICES GROUP, INC.
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
F-29
4. Fair Value Measurements (continued)
The following table presents the fair value of assets and liabilities accounted for using the fair value option included in the Company’ s
Consolidated Balance Sheets.
As of December 31,
2011
2010
Assets
Fixed maturities, FVO
ABS
$
65
$
65
CRE CDOs
225
270
Corporate
272
250
Foreign government
766
64
Total fixed maturities, FVO
$
1,328
$
649
Other liabilities
Credit-linked notes [1]
$
9
$
37
[1] As of December 31, 2011 and 2010, the outstanding principal balance of the notes was $243.
Financial Instruments Not Carried at Fair Value
The following table presents carrying amounts and fair values of The Hartford’ s financial instruments not carried at fair value and not
included in the above fair value discussion as of December 31, 2011 and December 31, 2010.
December 31, 2011
December 31, 2010
Carrying
Amount
Fair
Value
Carrying
Amount
Fair
Value
Assets
Policy loans
$
2,001
$
2,153
$
2,181
$
2,294
Mortgage loans
5,728
5,977
4,489
4,524
Liabilities
Other policyholder funds and benefits payable [1]
$
10,343
$
11,238
$
11,155
$
11,383
Senior notes [2]
4,481
4,623
4,880
5,072
Junior subordinated debentures [2]
1,735
2,430
1,727
2,596
Consumer notes [3]
310
305
377
392
[1] Excludes guarantees on variable annuities, group accident and health and universal life insurance contracts, including corporate owned life
insurance.
[2] Included in long-term debt in the Consolidated Balance Sheets, except for current maturities, which are included in short-term debt.
[3] Excludes amounts carried at fair value and included in disclosures above.
The Company has not made any changes in its valuation methodologies for the following assets and liabilities since December 31, 2010.
• Fair value for policy loans and consumer notes were estimated using discounted cash flow calculations using current interest rates.
• Fair values for mortgage loans were estimated using discounted cash flow calculations based on current lending rates for similar
type loans. Current lending rates reflect changes in credit spreads and the remaining terms of the loans.
• Fair values for other policyholder funds and benefits payable, not carried at fair value, are determined by estimating future cash
flows, discounted at the current market rate.
• Fair values for senior notes and junior subordinated debentures are based primarily on market quotations from independent third
party pricing services.