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PART II
ITEM 8 Financial Statements and Supplementary Data
The fair values of plan assets by category and by the fair value hierarchy as defined by GAAP are as follows. See Note 11 for a description of how
fair value is determined, including the level within the fair value hierarchy and the procedures the Company uses to validate fair value
measurements.
Quoted Prices in Significant
Active Markets for Significant Other Unobservable
Identical Assets Observable Inputs Inputs
December 31, 2012
(In millions)
(Level 1) (Level 2) (Level 3) Total
Plan assets at fair value:
Fixed maturities:
Federal government and agency $ - $ 4 $ - $ 4
Corporate - 416 27 443
Mortgage and other asset-backed - 8 5 13
Fund investments and pooled separate accounts
(1)
- 519 3 522
TOTAL FIXED MATURITIES - 947 35 982
Equity securities:
Domestic 1,202 4 10 1,216
International, including funds and pooled separate accounts
(1)
158 149 - 307
TOTAL EQUITY SECURITIES 1,360 153 10 1,523
Real estate and mortgage loans, including pooled separate
accounts
(1)
- - 351 351
Securities partnerships - - 328 328
Hedge funds - - 327 327
Guaranteed deposit account contract - - 47 47
Cash equivalents - 107 - 107
TOTAL PLAN ASSETS AT FAIR VALUE $ 1,360 $ 1,207 $ 1,098 $ 3,665
(1) A pooled separate account has several participating benefit plans and each owns a share of the total pool of investments.
Quoted Prices in Significant
Active Markets for Significant Other Unobservable
Identical Assets Observable Inputs Inputs
December 31, 2011
(In millions)
(Level 1) (Level 2) (Level 3) Total
Plan assets at fair value:
Fixed maturities:
Federal government and agency $ - $ 5 $ - $ 5
Corporate - 332 7 339
Mortgage and other asset-backed - 8 2 10
Fund investments and pooled separate accounts
(1)
- 546 3 549
TOTAL FIXED MATURITIES - 891 12 903
Equity securities:
Domestic 1,153 1 14 1,168
International, including funds and pooled separate accounts
(1)
141 137 - 278
TOTAL EQUITY SECURITIES 1,294 138 14 1,446
Real estate and mortgage loans, including pooled separate
accounts
(1)
- - 303 303
Securities partnerships - - 314 314
Hedge Fund - - 148 148
Guaranteed deposit account contract - - 39 39
Cash equivalents - 145 - 145
TOTAL PLAN ASSETS AT FAIR VALUE $ 1,294 $ 1,174 $ 830 $ 3,298
(1) A pooled separate account has several participating benefit plans and each owns a share of the total pool of investments.
Plan assets in Level 1 include exchange-listed equity securities. Level 2 Because many fixed maturities do not trade daily, fair values are often
assets primarily include: derived using recent trades of securities with similar features and
characteristics. When recent trades are not available, pricing models
fixed income and international equity funds priced using their daily are used to determine these prices. These models calculate fair values
net asset value that is the exit price; and by discounting future cash flows at estimated market interest rates.
fixed maturities valued using recent trades of similar securities or Such market rates are derived by calculating the appropriate spreads
pricing models as described below.
90 CIGNA CORPORATION - 2012 Form 10-K
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