Humana 2011 Annual Report Download - page 110

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Humana Inc.
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS—(Continued)
The recoverability of our residential and commercial mortgage-backed securities is supported by factors
such as seniority, underlying collateral characteristics and credit enhancements. Our residential and commercial
mortgage-backed securities at December 31, 2011 primarily were composed of senior tranches having high credit
support, with 99% of the collateral consisting of prime loans. The weighted average credit rating of all
commercial mortgage-backed securities was AA at December 31, 2011.
The percentage of corporate securities associated with the financial services industry was 19.3% at
December 31, 2011 and 29.4% at December 31, 2010.
Several European countries, including Spain, Italy, Ireland, Portugal, and Greece, have been subject to
credit deterioration due to weakness in their economic and fiscal situations. We have no direct exposure to
sovereign issuances of these five countries.
All issuers of securities we own that were trading at an unrealized loss at December 31, 2011 remain current
on all contractual payments. After taking into account these and other factors previously described, we believe
these unrealized losses primarily were caused by an increase in market interest rates and tighter liquidity
conditions in the current markets than when the securities were purchased. At December 31, 2011, we did not
intend to sell the securities with an unrealized loss position in accumulated other comprehensive income, and it is
not likely that we will be required to sell these securities before recovery of their amortized cost basis. As a
result, we believe that the securities with an unrealized loss were not other-than-temporarily impaired at
December 31, 2011.
The detail of realized gains (losses) related to investment securities and included within investment income
was as follows for the years ended December 31, 2011, 2010, and 2009:
2011 2010 2009
(in millions)
Gross realized gains ..................................... $33 $35 $123
Gross realized losses ..................................... (22) (29) (103)
Net realized capital gains ............................. $11 $ 6 $ 20
There were no material other-than-temporary impairments in 2011, 2010, or 2009.
The contractual maturities of debt securities available for sale at December 31, 2011, regardless of their
balance sheet classification, are shown below. Expected maturities may differ from contractual maturities
because borrowers may have the right to call or prepay obligations with or without call or prepayment penalties.
Amortized
Cost
Fair
Value
(in millions)
Due within one year ................................ $ 427 $ 431
Due after one year through five years .................. 1,841 1,905
Due after five years through ten years .................. 2,688 2,863
Due after ten years ................................. 1,787 1,962
Mortgage and asset-backed securities .................. 2,185 2,292
Total debt securities ............................ $8,928 $9,453
100