Aetna 2011 Annual Report Download - page 100
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Annual Report- Page 94
Assets of the Aetna Pension Plan
The assets of the Aetna Pension Plan (“Pension Assets”) include debt and equity securities, common/collective trusts
and real estate investments. The valuation methodologies used to price these assets are similar to the methodologies
described beginning on pages 85 and 88. Pension Assets also include investments in other assets that are carried at
fair value. The following is a description of the valuation methodology used to price these additional investments,
including the general classification pursuant to the valuation hierarchy.
Other Assets - Other assets consist of derivatives and private equity and hedge fund limited partnerships.
Derivatives are either valued with models that primarily use market observable inputs and therefore are
classified as Level 2 because they are traded in markets where quoted market prices are not readily available
or are classified as Level 1 because they are traded in markets where quoted market prices are readily
available. The fair value of private equity and hedge fund limited partnerships are estimated based on the net
asset value of the investment fund provided by the general partner or manager of the investments, the
financial statements of which generally are audited. Management considers observable market data,
valuation procedures in place, contributions and withdrawal restrictions collectively in validating the
appropriateness of using the net asset value as a fair value measurement. Therefore, these investments are
classified as Level 3.
Pension Assets with changes in fair value measured on a recurring basis, asset allocation and the target asset
allocation presented as a percentage of the total plan assets at December 31, 2011 were as follows:
(Millions)
Debt securities:
U.S. government securities
States, municipalities and political subdivisions
U.S. corporate securities
Foreign securities
Residential mortgage-backed securities
Commercial mortgage-backed securities
Other asset-backed securities
Redeemable preferred securities
Total debt securities
Equity securities and common/collective trusts:
U.S. Domestic
International
Common/collective trusts
Domestic real estate
Total equity securities and common/collective trusts
Other investments:
Real estate
Other assets
Total pension investments (1)
Level 1
$ 103.6
—
—
—
—
—
—
—
103.6
1,174.2
620.4
—
20.3
1,814.9
—
—
$ 1,918.5
Level 2
$ 423.9
102.4
903.5
112.0
171.9
37.0
15.3
11.8
1,777.8
.2
—
774.6
—
774.8
—
—
$ 2,552.6
Level 3
$ —
—
.1
—
—
—
.1
—
.2
—
—
—
—
—
433.2
232.2
$ 665.6
Total
$ 527.5
102.4
903.6
112.0
171.9
37.0
15.4
11.8
1,881.6
1,174.4
620.4
774.6
20.3
2,589.7
433.2
232.2
$ 5,136.7
Actual
Allocation
10.3%
2.0%
17.6%
2.2%
3.3%
.7%
.3%
.2%
36.6%
22.8%
12.1%
15.1%
.4%
50.4%
8.5%
4.5%
100%
Target
Allocation
37-43%
43-53%
10-14%
(1) Excludes $160.1 million of cash and cash equivalents and other receivables.