Travelers 2003 Annual Report Download - page 115

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113
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
4. INVESTMENTS, Continued
Impairment charges included in net realized investment gains (losses) were as follows:
(for the year ended December 31, in millions) 2003 2002 2001
Fixed maturities $ 65.4 $ 255.0 $ 109.7
Equity securities 5.9 8.5 35.8
Real estate and other 18.9 20.6 .7
Total $ 90.2 $ 284.1 $ 146.2
Mortgage Loans
Aggregate annual maturities on mortgage loans are $28.8 million, $7.7 million, $14.4 million, $38.6 million,
$19.8 million and $101.5 million for 2004, 2005, 2006, 2007, 2008 and 2009 and thereafter, respectively. There
are no mortgage loans that are past due.
Underperforming mortgage loans, which include delinquent loans, loans in the process of foreclosure and loans
modified at interest rates below market, were $30.7 million at December 31, 2003. There were no
underperforming mortgage loans at December 31, 2002.
Concentrations
At December 31, 2003 and 2002, Travelers had concentrations of credit risk in tax-exempt investments of the
State of Texas of $1.540 billion and $1.386 billion, respectively, and of the State of New York of $1.350 billion
and $1.269 billion, respectively.
Included in fixed maturities are below investment grade assets totaling $2.057 billion and $1.945 billion at
December 31, 2003 and 2002, respectively. Travelers defines its below investment grade assets as those
securities rated below investment grade by external rating agencies, or the equivalent by Travelers investment
advisors when a public rating does not exist. Such assets include publicly traded below investment grade bonds
and certain other privately issued bonds that are classified as below investment grade loans.
Travelers monitors creditworthiness of counterparties to financial instruments by using controls that include
credit approvals, limits and other monitoring procedures.
Net Investment Income
(for the year ended December 31, in millions) 2003 2002 2001
Gross investment income
Fixed maturities $ 1,526.6 $ 1,629.8 $ 1,657.3
Mortgage loans 25.7 26.8 28.3
Other, including trading 371.4 280.6 394.6
1,923.7 1,937.2 2,080.2
Investment expenses 54.9 56.7 46.2
Net investment income $ 1,868.8 $ 1,880.5 $ 2,034.0