|
|
 | | | |
- close
- close
- close
- close
This excerpt taken from the ALL 10-Q filed Nov 6, 2008. Municipal:
ARS primarily backed by student loans totaling $1.8 billion that have
become illiquid due to failures in the auction market and municipal bonds
totaling $916 million that are not rated by third party credit rating agencies
but are generally rated by the NAIC are included in Level 3. ARS backed by student loans are valued based
on a discounted cash flow model with certain inputs to the valuation model that
are significant to the valuation, but
are not market observable, including estimates of future coupon rates if
auction failures continue, maturity assumptions, and illiquidity premium. Non–rated municipal bonds are valued based on
valuation models that are widely accepted in the financial services industry
and require projections of future cash flows that are not market–observable,
and are categorized as Level 3 as a result of the significance of non–market
observable inputs.
Other investments: Certain free–standing OTC derivatives, such as caps, floors, certain credit default swaps and OTC options (including swaptions), are valued using valuation models that are widely accepted in the financial services industry. Inputs include non–market observable inputs such as volatility assumptions that are significant to the valuation of the instruments.
Contractholder funds: Derivatives embedded in annuity contracts are valued internally using models widely accepted in the financial services industry that determine a single best estimate of fair value for the embedded derivatives within a block of contractholder liabilities. The models use stochastically determined cash flows based on the contractual elements of embedded derivatives and other applicable market data. These are categorized as Level 3 as a result of the significance of non–market observable inputs.
This excerpt taken from the ALL 10-Q filed Aug 6, 2008. Municipal:
Externally rated municipals are valued based on inputs including quoted
prices for identical or similar assets in markets that are not active. Included in municipals are $89 million of
auction rate securities (“ARS”) other than those backed by student loans. ARS backed by student loans are included in
Level 3.
| EXCERPTS ON THIS PAGE:
|
| |||||||
