PART II ITEM 8 Financial Statements and Supplementary Data December 31, 2011 Amortized Unrealized Unrealized Fair (In millions) Cost Appreciation Depreciation Value Federal government and agency $ 552 $ 406 $ - $ 958 State and local government 2,185 274 (3) 2,456 Foreign government 1,173 103 (2) 1,274 Corporate 9,460 1,070 (45) 10,485 Federal agency mortgage-backed 9 - - 9 Other mortgage-backed 73 10 (4) 79 Other asset-backed 777 160 (11) 926 TOTAL $ 14,229 $ 2,023 $ (65) $ 16,187 The above table includes investments with a fair value of $3.1 billion supporting the Company’s run-off settlement annuity business, with gross unrealized appreciation of $883 million and gross unrealized depreciation of $8 million at December 31, 2012. Such unrealized amounts are required to support future policy benefit liabilities of this business and, as such, are not included in accumulated other comprehensive income. At December 31, 2011, investments supporting this business had a fair value of $3 billion, gross unrealized appreciation of $851 million and gross unrealized depreciation of $25 million. As of December 31, 2012, the Company had commitments to purchase $58 million of fixed maturities, most of which bear interest at a fixed market rate. Excluding trading and hybrid securities, as of December 31, 2012, fixed maturities with a decline in fair value from amortized cost (primarily corporate, and other asset and mortgage-backed securities) were as follows, including the length of time of such decline: December 31, 2012 Fair Amortized Unrealized Number (Dollars in millions) Value Cost Depreciation of Issues Fixed maturities: One year or less: Investment grade $ 488 $ 494 $ (6) 200 Below investment grade $ 123 $ 125 $ (2) 67 More than one year: Investment grade $ 195 $ 207 $ (12) 39 Below investment grade $ 26 $ 36 $ (10) 14 As of December 31, 2012, the unrealized depreciation of investment grade fixed maturities is primarily due to increases in market yields since purchase. Excluding trading and hybrid securities, equity securities with a fair value lower than cost were not material at December 31, 2012. Mortgage loans held by the Company are made exclusively to commercial borrowers and are diversified by property type, location and borrower. Loans are secured by high quality, primarily completed and substantially leased operating properties. 102 CIGNA CORPORATION -  2012 Form  10-K B. Commercial Mortgage Loans Review of declines in fair value.  Management reviews fixed maturities with a decline in fair value from cost for impairment based on criteria that include: length of time and severity of decline; GLYPH<127> financial health and specific near term prospects of the issuer; GLYPH<127> changes in the regulatory, economic or general market environment of the issuer’s industry or geographic region; and GLYPH<127> the Company’s intent to sell or the likelihood of a required sale prior to recovery. GLYPH<127>