Aetna 2014 Annual Report Download - page 102
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Annual Report- Page 96
The fair value of debt securities at December 31, 2014 is shown below by contractual maturity. Actual maturities
may differ from contractual maturities because securities may be restructured, called or prepaid.
(Millions) Fair
Value
Due to mature:
Less than one year $ 1,163.4
One year through five years 5,551.6
After five years through ten years 5,754.8
Greater than ten years 6,004.5
Residential mortgage-backed securities 927.7
Commercial mortgage-backed securities 1,375.8
Other asset-backed securities 644.0
Total $ 21,421.8
Mortgage-Backed and Other Asset-Backed Securities
All of our residential mortgage-backed securities at December 31, 2014 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, 2014,
our residential mortgage-backed securities had an average credit quality rating of AAA and a weighted average
duration of 3.6 years.
Our commercial mortgage-backed securities have underlying loans that are dispersed throughout the United States.
Significant market observable inputs used to value these securities include loss severity and probability of
default. At December 31, 2014, these securities had an average credit quality rating of AA+ and a weighted average
duration of 2.0 years.
Our other asset-backed securities have a variety of underlying collateral (e.g., automobile loans, credit card
receivables, home equity loans and commercial loans). Significant market observable inputs used to value these
securities include the unemployment rate, loss severity and probability of default. At December 31, 2014, these
securities had an average credit quality rating of A+ and a weighted average duration of 1.7 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. We recognize an other-
than-temporary impairment (“OTTI”) when we intend to sell a debt security that is in an unrealized capital loss
position or if we determine a credit-related loss on a debt or equity security has occurred.