Cigna 2013 Annual Report Download - page 119

PART II
ITEM 8. Financial Statements and Supplementary Data
Financial Assets and Financial Liabilities Carried at Fair Value
The following tables provide information as of December 31, 2013 and 2012 about the Company’s financial assets and liabilities carried at fair
value. Separate account assets that are also recorded at fair value on the Company’s Consolidated Balance Sheets are reported separately under the
heading ‘‘Separate account assets’’ as gains and losses related to these assets generally accrue directly to policyholders.
Quoted Prices in Significant
Active Markets for Significant Other Unobservable
Identical Assets Observable Inputs Inputs
December 31, 2013
(In millions) (Level 1) (Level 2) (Level 3) Total
Financial assets at fair value:
Fixed maturities:
Federal government and agency $ 297 $ 583 $ – $ 880
State and local government – 2,144 – 2,144
Foreign government – 1,421 23 1,444
Corporate – 10,476 505 10,981
Federal agency mortgage-backed – 76 – 76
Other mortgage-backed – 76 1 77
Other asset-backed – 282 602 884
Total fixed maturities
(1)
297 15,058 1,131 16,486
Equity securities 8 74 59 141
Subtotal 305 15,132 1,190 16,627
Short-term investments – 631 – 631
GMIB assets
(2)
– – 751 751
Other derivative assets
(3)
–3–3
TOTAL FINANCIAL ASSETS AT FAIR VALUE,
EXCLUDING SEPARATE ACCOUNTS $ 305 $ 15,766 $ 1,941 $ 18,012
Financial liabilities at fair value:
GMIB liabilities $ – $ – $ 741 $ 741
Other derivative liabilities
(3)
–16–16
TOTAL FINANCIAL LIABILITIES AT FAIR VALUE $ – $ 16 $ 741 $ 757
(1) Fixed maturities included $458 million of net appreciation required to adjust future policy benefits for the run-off settlement annuity business including $60 million of appreciation for
securities classified in Level 3.
(2) The GMIB assets represented retrocessional contracts in place from three external reinsurers that cover the exposures on these contracts. See Note 7 for additional information.
(3) Other derivative assets reflected interest rate and foreign currency swaps qualifying as cash flow hedges. Other derivative liabilities included $15 million of interest rate and foreign currency
swaps qualifying as cash flow hedges and $1 million of interest rate and foreign currency swaps not designated as accounting hedges. See Note 12 for additional information.
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
Financial assets at fair value:
Fixed maturities:
Federal government and agency $ 156 $ 746 $ – $ 902
State and local government – 2,437 – 2,437
Foreign government – 1,298 24 1,322
Corporate – 11,201 695 11,896
Federal agency mortgage-backed – 122 – 122
Other mortgage-backed – 88 1 89
Other asset-backed – 340 597 937
Total fixed maturities
(1)
156 16,232 1,317 17,705
Equity securities 4 73 34 111
Subtotal 160 16,305 1,351 17,816
Short-term investments – 154 – 154
GMIB assets
(2)
– – 622 622
Other derivative assets
(3)
–41–41
TOTAL FINANCIAL ASSETS AT FAIR VALUE,
EXCLUDING SEPARATE ACCOUNTS $ 160 $ 16,500 $ 1,973 $ 18,633
Financial liabilities at fair value:
GMIB liabilities $ – $ – $ 1,170 $ 1,170
Other derivative liabilities
(3)
–31–31
TOTAL FINANCIAL LIABILITIES AT FAIR VALUE $ – $ 31 $ 1,170 $ 1,201
(1) Fixed maturities included $875 million of net appreciation required to adjust future policy benefits for the run-off settlement annuity business including $108 million of appreciation for
securities classified in Level 3.
(2) The GMIB assets represented retrocessional contracts in place from two external reinsurers that cover 55% of the exposures on these contracts. See Note 7 for additional information.
(3) Other derivative assets included $5 million of interest rate and foreign currency swaps qualifying as cash flow hedges and $36 million of interest rate swaps not designated as accounting
hedges. Other derivative liabilities reflected foreign currency and interest rate swaps qualifying as cash flow hedges. See Note 12 for additional information.
CIGNA CORPORATION - 2013 Form 10-K 87