The Hartford 2013 Annual Report Download - page 171

F-35
As of December 31, 2013
Freestanding Derivatives Unobservable Inputs
Fair
Value
Predominant
Valuation
Method Significant Unobservable Input Minimum Maximum
Impact of
Increase in Input
on Fair Value [1]
Interest rate derivative
Interest rate swaps (24) Discounted cash flows Swap curve beyond 30 years 4% 4% Increase
Long interest rate swaptions 42 Option model Interest rate volatility 1% 1% Increase
U.S. GMWB hedging instruments
Equity options 72 Option model Equity volatility 21% 29% Increase
Customized swaps 74 Discounted cash flows Equity volatility 10% 50% Increase
U.S. macro hedge program
Equity options 139 Option model Equity volatility 24% 31% Increase
International program hedging [2]
Equity options (35) Option model Equity volatility 24% 37% Increase
Short interest rate swaptions (13) Option model Interest rate volatility —% 1% Decrease
Long interest rate swaptions 50 Option model Interest rate volatility 1% 1% Increase
As of December 31, 2012
Freestanding Derivatives Unobservable Inputs
Fair
Value
Predominant
Valuation
Method Significant Unobservable Input Minimum Maximum
Impact of
Increase in Input
on Fair Value [1]
Equity derivatives
Equity options $ 57 Option model Equity volatility 13% 24% Increase
Interest rate derivative
Interest rate swaps (55) Discounted cash flows Swap curve beyond 30 years 2.8% 2.8% Increase
Long interest rate swaptions 23 Option model Interest rate volatility —% 1% Increase
U.S. GMWB hedging instruments
Equity options 281 Option model Equity volatility 10% 31% Increase
Customized swaps 238 Discounted cash flows Equity volatility 10% 50% Increase
U.S. macro hedge program
Equity options 286 Option model Equity volatility 24% 43% Increase
International program hedging
Equity options 26 Option model Equity volatility 19% 27% Increase
Long interest rate swaptions 42 Option model Interest rate volatility —% 1% Increase
[1] Conversely, the impact of a decrease in input would have the opposite impact to the fair value as that presented in the table. Changes are based on
long positions, unless otherwise noted. Changes in fair value will be inversely impacted for short positions.
[2] Level 3 international program hedging instruments excludes those for which the Company bases fair value on broker quotations.
Table of Contents THE HARTFORD FINANCIAL SERVICES GROUP, INC.
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
5. Fair Value Measurements (continued)