Cigna 2011 Annual Report Download - page 119

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97CIGNA CORPORATION2011 Form10K
PART II
ITEM 8 Financial Statements and Supplementary Data
Separate account assets
Fair values and changes in the fair values of separate account assets generally accrue directly to the policyholders and are excluded from the
Company’s revenues and expenses. At December31,separate account assets were as follows:
2011
(In millions)
Quoted Prices in
Active Markets for
Identical Assets
(Level1)
Signicant Other
Observable Inputs
(Level2)
Signicant
Unobservable
Inputs
(Level3) Total
Guaranteed separate accounts (See Note23) $ 249 $ 1,439 $ - $ 1,688
Non-guaranteed separate accounts(1) 1,804 3,851 750 6,405
TOTAL SEPARATE ACCOUNT ASSETS $ 2,053 $ 5,290 $ 750 $ 8,093
(1) Non-guaranteed separate accounts include $3.0billion in assets supporting the Company’s pension plan, including $702million classified in Level3.
2010
(In millions)
Quoted Prices in
Active Markets for
Identical Assets
(Level1)
Signicant Other
Observable Inputs
(Level2)
Signicant
Unobservable
Inputs
(Level3) Total
Guaranteed separate accounts (See Note23) $ 286 $ 1,418 $ - $ 1,704
Non-guaranteed separate accounts(1) 1,947 3,663 594 6,204
TOTAL SEPARATE ACCOUNT ASSETS $ 2,233 $ 5,081 $ 594 $ 7,908
(1) Non-guaranteed separate accounts include $2.8billion in assets supporting the Company’s pension plan, including $557million classified in Level3.
Separate account assets in Level1 include exchange-listed equity
securities. Level2 assets primarily include:
•
corporate and structured bonds valued using recent trades of similar
securities or pricing models that discount future cash ows at estimated
market interest rates as described above; and
•
actively-traded institutional and retail mutual fund investments and separate
accounts priced using the daily net asset value which is the exit price.
Separate account assets classied in Level3 include investments primarily
in securities partnerships, real estate and hedge funds generally valued
based on the separate account’s ownership share of the equity of the
investee including changes in the fair values of its underlying investments.
e following tables summarize the change in separate account assets
reported in Level3 for the years ended December31,2011 and 2010.
(In millions)
Balance at January1,2011 $ 594
Policyholder gains(1) 114
Purchases, issuances, settlements:
Purchases 257
Sales (51)
Settlements (152)
Total purchases, sales and settlements 54
Transfers into/(out of) Level3:
Transfers into Level3 4
Transfers out of Level3 (16)
Total transfers into/(out of) Level3: (12)
Balance at December31,2011 $ 750
(1) Included in this amount are gains of $96million attributable to instruments still held at the reporting date.
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