The Hartford 2014 Annual Report Download - page 169
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Table of Contents
Significant Unobservable Inputs for Level 3 Assets Measured at Fair Values
The following tables present information about significant unobservable inputs used in Level 3 assets measured at fair value. The tables exclude securities
such as ABS and CRE CDOs for which fair values are predominately based on broker quotations.
CMBS $ 284 Discounted cash flows Spread (encompasses prepayment,
default risk and loss severity)
46 bps 2,475 bps 284 bps Decrease
Corporate [3] 568 Discounted cash flows Spread 123 bps 765 bps 279 bps Decrease
Municipal [3] 32 Discounted cash flows Spread 212 bps 212 bps 212 bps Decrease
RMBS 1,281 Discounted cash flows Spread 23 bps 1,904 bps 142 bps Decrease
Constant prepayment rate —% 7.0% 2.0% Decrease [4]
Constant default rate 1.0% 14.0% 7.0% Decrease
Loss severity —% 100.0% 78.0% Decrease
CMBS $ 663 Discounted cash flows Spread (encompasses prepayment,
default risk and loss severity)
99 bps 3,000 bps 527 bps Decrease
Corporate [3] 665 Discounted cash flows Spread 119 bps 5,594 bps 344 bps Decrease
Municipal [3] 29 Discounted cash flows Spread 184 bps 184 bps 184 bps Decrease
RMBS 1,272 Discounted cash flows Spread 62 bps 1,748 bps 232 bps Decrease
Constant prepayment rate —% 10.0% 3.0% Decrease [4]
Constant default rate 1.0% 22.0% 8.0% Decrease
Loss severity —% 100.0% 80.0% Decrease
[1] The weighted average is determined based on the fair value of the securities.
[2] Conversely, the impact of a decrease in input would have the opposite impact to the fair value as that presented in the table above.
[3] Level 3 corporate and municipal securities excludes those for which the Company bases fair value on broker quotations as discussed below.
[4] Decrease for above market rate coupons and increase for below market rate coupons.
F-33