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Unum 2011 Annual Report
84
The hypothetical potential changes in fair value of our financial instruments at December 31, 2011 and 2010 are shown as follows:
December 31, 2011
Notional Hypothetical
(in millions of dollars) Amount of Derivatives Fair Value FV + 100 BP Change in FV
Assets
Fixed Maturity Securities (1) $42,486.7 $38,912.6 $(3,574.1)
Mortgage Loans 1,789.8 1,716.2 (73.6)
Policy Loans, Net of Reinsurance Ceded 286.1 270.0 (16.1)
Liabilities
Unrealized Adjustment to Reserves,
Net of Reinsurance Ceded and Other (2) $ (5,021.3) $ (2,333.6) $ 2,687.7
Short-term Debt (312.3) (312.3) —
Long-term Debt (2,540.2) (2,400.6) 139.6
Derivatives (1)
Swaps $1,413.0 $ (36.0) $ (118.8) $ (82.8)
Embedded Derivative in Modified
Coinsurance Arrangement (135.7) (138.4) (2.7)
December 31, 2010
Notional Hypothetical
(in millions of dollars) Amount of Derivatives Fair Value FV + 100 BP Change in FV
Assets
Fixed Maturity Securities (1) $40,035.6 $36,576.1 $(3,459.5)
Mortgage Loans 1,685.4 1,609.5 (75.9)
Policy Loans, Net of Reinsurance Ceded 253.9 239.9 (14.0)
Liabilities
Unrealized Adjustment to Reserves,
Net of Reinsurance Ceded and Other (2) $ (2,993.6) $ (631.6) $ 2,362.0
Short-term Debt (226.8) (226.4) 0.4
Long-term Debt (2,483.8) (2,358.3) 125.5
Derivatives (1)
Swaps $1,681.9 $ (100.5) $ (190.6) $ (90.1)
Embedded Derivative in Modified
Coinsurance Arrangement (96.3) (105.4) (9.1)
(1) These assets and liabilities are carried at fair value in our consolidated balance sheets. Changes in fair value resulting from changes in interest rates may affect the fair
value at which the item is reported in our consolidated balance sheets. The corresponding offsetting change is reported in other comprehensive income or loss, net of
deferred taxes, except for changes in the fair value of the embedded derivative which is reported as a component of net realized investment gain or loss.
(2) The adjustment to reserves and other for unrealized investment gains and losses reflects the adjustments to deferred acquisition costs and policyholder liabilities that
would be necessary if the unrealized investment gains and losses related to the fixed maturity securities and derivatives had been realized. Changes in this adjustment are
also reported as a component of other comprehensive income or loss, net of deferred taxes.
Quantitative and Qualitative Disclosures
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