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This excerpt taken from the ALL 10-Q filed Nov 6, 2008. Preferred
stock; MBS; Foreign government; ABS – credit card, auto and student loans:
Valued based on inputs including quoted prices for identical or similar
assets in markets that are not active.
Equity securities: Valued based on inputs including quoted prices for identical or similar assets in markets that are not active.
Short–term: Commercial paper and other short–term investments are valued based on quoted prices for identical or similar assets in markets that are not active or amortized cost.
Other investments: Free–standing exchange listed derivatives that are not actively traded are valued based on quoted prices for identical instruments in markets that are not active.
OTC derivatives, including interest rate swaps, foreign currency swaps, foreign exchange forward contracts, certain credit default swaps, and commodity swaps, are valued using models that rely on inputs such as interest rate yield curves, currency rates, adjustment for counterparty credit risks, and commodity prices that are observable for substantially the full term of the contract. The valuation techniques underlying the models are widely accepted in the financial services industry and do not involve significant judgment.
Contractholder funds: Derivatives embedded in certain annuity contracts are valued based on internal models that rely on inputs such as interest rate yield curves and equity index volatility assumptions that are market observable for substantially the full term of the contract. The valuation techniques are widely accepted in the financial services industry and do not include significant judgment.
This excerpt taken from the ALL 10-Q filed Aug 6, 2008. Preferred
Stock; MBS; Foreign Government; ABS – credit card and auto loans:
Valued based on inputs including quoted prices for identical or similar
assets in markets that are not active.
10
THE ALLSTATE CORPORATION AND SUBSIDIARIES NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)
Equity Securities: Valued based on inputs including quoted prices for identical or similar assets in markets that are not active.
Short–term: Commercial paper and other short–term are valued based on inputs including amortized cost, which approximates fair value, and quoted prices for identical or similar assets in markets that are not active.
Other Investments: Free–standing exchange listed derivatives that are not actively traded are valued based on quoted prices for identical instruments in markets that are not active.
OTC derivatives including interest rate swaps, foreign currency swaps, foreign exchange forward contracts, certain credit default swaps, and commodity swaps are valued using models that rely on inputs such as interest rate yield curves, currency rates, counterparty credit risk, and commodity prices that are observable for substantially the full term of the contract. The valuation techniques underlying the models are widely accepted in the financial services industry and do not involve significant judgment.
Contractholder Funds: Derivatives embedded in certain annuity contracts are valued based on internal models that rely on inputs such as interest rate yield curves and equity index volatility assumptions that are market observable for substantially the full term of the contract. The valuation techniques are widely accepted in the financial services industry and do not include significant judgment.
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