The Hartford 2010 Annual Report Download - page 182

THE HARTFORD FINANCIAL SERVICES GROUP, INC.
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
F-54
5. Investments and Derivative Instruments (continued)
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, 2010 and 2009.
As of December 31, 2010
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 $ 1,562 $(14) 3 years
Corporate Credit/
Foreign Gov. A+ $ 1,447 $ (41)
Below investment grade risk exposure 204 (6) 3 years Corporate Credit BB- 168 (13)
Basket credit default swaps [4]
Investment grade risk exposure 3,145 (1) 4 years Corporate Credit BBB+ 2,019 (14)
Investment grade risk exposure 525 (50) 6 years CMBS Credit BBB+ 525 50
Below investment grade risk exposure 767 (381) 4 years Corporate Credit BBB+ 25 —
Embedded credit derivatives
Investment grade risk exposure 25 25 4 years Corporate Credit BBB- — —
Below investment grade risk exposure 525 463 6 years Corporate Credit BB+ — —
Total $ 6,753 $36 $ 4,184 $ (18)
As of December 31, 2009
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 $ 1,226 $4 4 years
Corporate Credit/
Foreign Gov. AA- $ 1,201 $ (59)
Below investment grade risk exposure 156 (4) 3 years Corporate Credit B+ 85 (12)
Basket credit default swaps [4]
Investment grade risk exposure 2,052 (54) 4 years Corporate Credit BBB+ 1,277 (21)
Investment grade risk exposure 525 (141) 7 years CMBS Credit A 525 141
Below investment grade risk exposure 200 (157) 5 years Corporate Credit BBB+ — —
Credit linked notes
Investment grade risk exposure 87 83 2 years Corporate Credit BBB+ — —
Total $ 4,246 $(269) $ 3,088 $ 49
[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. There is no 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 $3.9 billion and $2.5 billion as of December 31, 2010 and 2009, 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. Also includes $542 and $325 as of December 31, 2010 and 2009, respectively, of customized diversified portfolios of corporate issuers
referenced through credit default swaps.