Aetna 2011 Annual Report Download - page 86

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Annual Report- Page 80
The fair value of debt securities at December 31, 2011 is shown below by contractual maturity. Actual maturities
may differ from contractual maturities because securities may be restructured, called or prepaid.
(Millions)
Due to mature:
Less than one year
One year through five years
After five years through ten years
Greater than ten years
Residential mortgage-backed securities
Commercial mortgage-backed securities
Other asset-backed securities
Total
Fair
Value
$ 924.3
3,041.0
5,341.3
5,304.3
900.8
1,387.8
453.8
$ 17,353.3
Mortgage-Backed and Other Asset-Backed Securities
All of our residential mortgage-backed securities at December 31, 2011 were issued by the Government National
Mortgage Association, the Federal National Mortgage Association or the Federal Home Loan Mortgage Corporation
and carry agency guarantees and explicit or implicit guarantees by the U.S. Government. At December 31, 2011,
our residential mortgage-backed securities had an average quality rating of AAA and a weighted average duration of
1.6 years.
Our commercial mortgage-backed securities have underlying loans that are dispersed throughout the U.S.
Significant market observable inputs used to value these securities include probability of default and loss
severity. At December 31, 2011, these securities had an average quality rating of AA+ and a weighted average
duration of 3.6 years.
Our other asset-backed securities have a variety of underlying collateral (e.g., automobile loans, credit card
receivables and home equity loans). Significant market observable inputs used to value these securities include the
unemployment rate, loss severity and probability of default. At December 31, 2011, these securities had an average
quality rating of AA and a weighted average duration of 3.2 years.
Unrealized Capital Losses and Net Realized Capital Gains (Losses)
When a debt or equity security is in an unrealized capital loss position, we monitor the duration and severity of the
loss to determine if sufficient market recovery can occur within a reasonable period of time. As described in Note 2
beginning on page 66, effective April 1, 2009, we recognize an OTTI on debt securities when we intend to sell a
security that is in an unrealized capital loss position or if we determine a credit-related loss has occurred. Prior to
April 1, 2009, we recognized an OTTI on a security in an unrealized capital loss position if we could not assert our
intention and ability to hold the security until it recovered its value.