The Hartford 2008 Annual Report Download - page 419

Change in Notional Amount
The notional amount of derivatives in cash-flow hedge relationships increased $3.6 billion since December 31, 2007,
primarily due to an increase in interest rate swaps used to convert interest receipts on floating-rate securities to fixed rates.
The Company increased the notional amount related to this strategy due to the significant decline in variable interest rates
during 2008.
The notional amount of derivatives in fair-value hedge relationships decreased $2.1 billion since December 31, 2007,
primarily due to a decline in interest rate swaps used to convert interest receipts of fixed-rate securities to floating-rates. The
Company decreased the notional amount related to this strategy due to the significant decline in variable interest rates during
2008.
The notional amount of derivatives used in non-qualifying strategies increased $2.4 billion since December 31, 2007,
primarily due to the following:
• For a discussion on the increase in notional amount of derivatives associated with GMWB riders refer to Note 4.
• The Company increased the notional amount of derivatives associated with the macro hedge program. During the three
months ended December 31, 2008, the Company rebalanced its risk management program to place a greater relative
emphasis on the protection of statutory surplus. As a result, the Company added the equivalent of $1.9 billion notional
of equity futures as part of the macro hedge program to partially economically hedge the statutory reserve impact of
equity risk arising primarily from GMDB and GMWB obligations against a decline in the equity markets.
• For a discussion on the decline in notional amount related to the embedded derivative associated with GMAB riders
refer to Note 4.
• The notional amount related to credit derivatives declined primarily due to terminations and maturities of credit
derivatives, which reduced the overall net credit exposure assumed by the Company through credit derivatives.
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Source: HARTFORD FINANCIAL S, 10-K, February 12, 2009