The Hartford 2013 Annual Report Download - page 199

F-63
The following tables present the notional amount, fair value, weighted average years to maturity, underlying referenced credit obligation
type and average credit ratings, and offsetting notional amounts and fair value for credit derivatives in which the Company is assuming
credit risk as of December 31, 2013 and 2012.
As of December 31, 2013
Underlying Referenced Credit
Obligation(s) [1]
Credit Derivative type by derivative
risk exposure Notional Amount [2] Fair Value
Weighted
Average
Years to
Maturity Type
Average
Credit
Rating
Offsetting
Notional
Amount [3] Offsetting Fair Value [3]
Single name credit default swaps
Investment grade risk exposure $ 1,259 $ 8 1 year Corporate Credit/ Foreign Gov. A $ 1,066 $ (9)
Below investment grade risk
exposure 24 — 1 year Corporate Credit CCC 24 (1)
Basket credit default swaps [4]
Investment grade risk exposure 3,447 50 3 years Corporate Credit BBB 2,270 (35)
Below grade risk exposure 166 15 5 years Corporate Credit BB- — —
Investment grade risk exposure 327 (7) 3 years CMBS Credit A 327 7
Below investment grade risk
exposure 195 (31) 3 years CMBS Credit B- 195 31
Embedded credit derivatives
Investment grade risk exposure 350 339 3 years Corporate Credit BBB+ — —
Total [5] $ 5,768 $ 374 $ 3,882 $ (7)
December 31, 2012
Unifying Refernced Credit
Obligation(s) [1]
Credit Derivative type by derivative
risk exposure Notional Amount [2] Fair Value
Weighted
Average
Years to
Maturity Type
Average
Credit
Rating
Offsetting
Notional
Amount [3] Offsetting Fair Value [3]
Single name credit default swaps
Investment grade risk exposure $ 2,321 $ 7 3 years Corporate Credit/
Foreign Gov. A $ 1,367 $ (26)
Below investment grade risk
exposure 145 (1) 1 year Corporate Credit B+ 145 (3)
Basket credit default swaps [4]
Investment grade risk exposure 3,978 7 3 years Corporate Credit BBB+ 2,712 (13)
Investment grade risk exposure 330 (17) 4 years CMBS Credit A 330 17
Below investment grade risk
exposure 195 (46) 4 years CMBS Credit B+ 195 46
Embedded credit derivatives
Investment grade risk exposure 525 478 4 years Corporate Credit BBB- — —
Total [5] $ 7,494 $ 428 $ 4,749 $ 21
[1] The average credit ratings are based on availability and the midpoint of the applicable ratings among Moody’s, S&P, and Fitch. If no rating
is available from a rating agency, then an internally developed rating is used.
[2] Notional amount is equal to the maximum potential future loss amount. These derivatives are governed by agreements and clearing house
rules and applicable law which include collateral posting requirements. There is no additional specific collateral related to these contracts
or recourse provisions included in the contracts to offset losses.
[3] The Company has entered into offsetting credit default swaps to terminate certain existing credit default swaps, thereby offsetting the future
changes in value of, or losses paid related to, the original swap.
[4] Includes $4.1 billion and $4.5 billion as of December 31, 2013 and 2012, respectively, of standard market indices of diversified portfolios of
corporate issuers referenced through credit default swaps. These swaps are subsequently valued based upon the observable standard market
index.
[5] Excludes investments that contain an embedded credit derivative for which the Company has elected the fair value option. For further
discussion, see the Fair Value Option section in Note 5 - Fair Value Measurements.
Table of Contents THE HARTFORD FINANCIAL SERVICES GROUP, INC.
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
6. Investments and Derivative Instruments (continued)