|
USD millions |
2012 |
2013 |
Valuation technique |
Unobservable input |
Range (weighted average) |
||
|
|||||||
|
Assets |
|
|
|
|
|
||
|
Corporate debt securities |
685 |
650 |
|
|
|
||
|
Surplus notes with a mortality underlying |
168 |
195 |
Discounted cash flow model |
Illiquidity premium |
75 bps (n.a.) |
||
|
Private placement corporate debt |
437 |
383 |
Corporate spread matrix |
Illiquidity premium |
0 bps–250 bps (79 bps) |
||
|
Private placement credit tenant leases |
72 |
68 |
Discounted cash flow model |
Illiquidity premium |
75 bps–200 bps (129 bps) |
||
|
|
|
|
|
|
|
||
|
Derivative equity contracts |
636 |
401 |
|
|
|
||
|
OTC equity option referencing correlated equity indices |
636 |
401 |
Proprietary option model |
Correlation |
–10%–100% (45%)1 |
||
|
|
|
|
|
|
|
||
|
Derivative credit contracts |
223 |
28 |
|
|
|
||
|
Credit default swaps referencing various asset-backed securities (ABS) |
109 |
22 |
Credit spreads derived based on a reciprocal of a reference instrument |
Up-front credit default swap premium |
5%–94% (81%) |
||
|
Credit correlation tranche transactions |
112 |
6 |
Base correlation model |
Correlation |
40%–88% (64%)1 |
||
|
|
|
|
|
|
|
||
|
Liabilities |
|
|
|
|
|
||
|
Derivative equity contracts |
–232 |
–190 |
|
|
|
||
|
OTC equity option referencing correlated equity indices |
–81 |
–49 |
Proprietary option model |
Correlation |
–10%–100% (45%)1 |
||
|
Option contract referencing a private equity underlying |
–144 |
–137 |
Option model |
Volatility |
100% |
||
|
|
|
|
|
Growth rate |
6% (n.a.) |
||
|
|
|
|
|
|
|
||
|
Derivative credit contracts |
–271 |
–38 |
|
|
|
||
|
Credit default swaps referencing various asset-backed securities (ABS) |
–86 |
–7 |
Credit spreads derived based on a reciprocal of a reference instrument |
Up-front credit default swap premium |
1%–91% (65%) |
||
|
Credit correlation tranche transactions |
–171 |
–30 |
Base correlation model |
Correlation |
40%–88% (64%)1 |
||
|
|
|
|
|
|
|
||
|
Other derivative contracts and liabilities for life and health policy benefits |
–2 634 |
–910 |
|
|
|
||
|
Variable annuity and fair valued GMDB contracts |
–2 287 |
–677 |
Discounted cash flow model |
Risk margin |
4% (n.a.) |
||
|
|
|
|
|
Volatility |
4%–42% |
||
|
|
|
|
|
Lapse |
0.5%–24% |
||
|
|
|
|
|
Mortality adjustment |
–10%–0% |
||
|
|
|
|
|
Withdrawal rate |
0%–90% |
||
|
Embedded derivatives in Mod-Co and Coinsurance with Funds Withheld treaties |
–170 |
–125 |
Discounted cash flow model |
Lapse |
3%–10% |
||
|
|
|
|
|
Mortality adjustment |
80% (n.a.) |
||