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100 CIGNA CORPORATION2011 Form10K
PART II
ITEM 8 Financial Statements and Supplementary Data
e above table includes investments with a fair value of $3billion supporting the Company’s run-o settlement annuity business, with gross unrealized
appreciation of $851million and gross unrealized depreciation of $25million at December31,2011. Such unrealized amounts are required to support future
policy benet liabilities of this business and, as such, are not included in accumulated other comprehensive income. At December31,2010, investments
supporting this business had a fair value of $2.5billion, gross unrealized appreciation of $476million and gross unrealized depreciation of $33million.
As of December31,2011, the Company had commitments to purchase $16million of xed maturities bearing interest at a xed market rate.
Review of declines in fair value
Management reviews xed maturities with a decline in fair value from cost for impairment based on criteria that include:
•length of time and severity of decline;
•nancial health and specic near term prospects of the issuer;
•changes in the regulatory, economic or general market environment of the issuer’s industry or geographic region; and
•the Company’s intent to sell or the likelihood of a required sale prior to recovery.
Excluding trading and hybrid securities, as of December31,2011, xed maturities with a decline in fair value from amortized cost (which were
primarily investment grade corporate bonds) were as follows, including the length of time of such decline:
(Dollars in millions)
December31,2011
Fair Value Amortized Cost
Unrealized
Depreciation
Number of
Issues
Fixed maturities:
One year or less:
Investment grade $ 572 $ 591 $ (19) 167
Below investment grade $ 75 $ 80 $ (5) 52
More than one year:
Investment grade $ 268 $ 300 $ (32) 62
Below investment grade $ 28 $ 37 $ (9) 13
As of December31,2011, the unrealized depreciation of investment grade xed 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,2011.
B. Commercial Mortgage Loans
Mortgage loans held by the Company are made exclusively to commercial borrowers and are diversied by property type, location and borrower.
Loans are secured by high quality, primarily completed and substantially leased operating properties, generally carried at unpaid principal balances
and issued at a xed rate of interest.
At December31, commercial mortgage loans were distributed among the following property types and geographic regions:
(In millions)
2011 2010
Property type
Oce buildings $ 1,014 $ 1,043
Apartment buildings 705 835
Industrial 670 619
Hotels 542 533
Retail facilities 297 418
Other 73 38
TOTAL $ 3,301 $ 3,486
Geographic region
Pacic $ 893 $ 931
South Atlantic 870 752
New England 450 585
Central 511 519
Middle Atlantic 391 385
Mountain 186 314
TOTAL $ 3,301 $ 3,486
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