Travelers 2011 Annual Report Download - page 118

corporate securities (comprised of industrial corporations and utility companies) which could be
affected if economic conditions deteriorated due to a prolonged recession.
Debt Securities Corporate Securities
Issued
by Foreign Sovereign
Governments Financial Corporates All Other
Average Average Average Average
Carrying Credit Carrying Credit Carrying Credit Carrying Credit
(at December 31, 2011, in millions) Value Quality(1) Value Quality(1) Value Quality(1) Value Quality(1)
Eurozone Periphery
Spain ................... $ 2 Aa3 $ 13 A2 $ — — $ 28 Baa1
Ireland .................. — — 2 Aa1 — — 36 Baa1
Italy .................... — — — — — — 20 Baa1
Greece .................. —— —— —— 13A3
Portugal ................. —— —— —— — —
Subtotal ................ 215—97
Eurozone Non-Periphery
Germany ................. 124 Aaa 13 Aa3 532 Aaa 193 A3
France .................. 50 Aaa 43 A1 — — 133 A2
Netherlands .............. — — 56 Aa3 130 Aaa 150 A2
Austria .................. 1 Aaa — — 115 Aaa — —
Finland .................. 17 Aaa — — — — 13 Baa2
Belgium ................. — — — — — — 117 Baa1
Luxembourg .............. — — — — — — 29 Baa2
Subtotal ................ 192 112 777 635
Total ................ $194 $127 $777 $732
(1) Rated using external rating agencies or by the Company when a public rating does not exist. The
table includes $150 million of short-term securities which have the highest ratings issued by
external rating agencies for short-term issuances. For purposes of this table, the short-term
securities, which are rated ‘‘A-1+’’ and/or ‘‘P-1,’’ are included as ‘‘Aaa’’ rated securities.
On January 13, 2012, Standard & Poor’s downgraded the sovereign ratings of nine Eurozone
countries, including France (from ‘‘AAA’’ to ‘‘AA+’’), Austria (from ‘‘AAA’’ to ‘‘AA+’’), and Spain
(from ‘‘AA’’ to ‘‘A’’). On January 27, 2012, Fitch downgraded the sovereign ratings of five Eurozone
countries, including Spain (from ‘‘AA’’ to ‘‘A’’). If these downgrades were in effect at December 31,
2011, the average credit rating of Spain for ‘‘debt securities issued by foreign governments’’ in the
foregoing table would have been ‘‘A2.’’ The downgrades of the remaining four countries did not alter
their average credit quality ratings shown in the foregoing table.
In addition to fixed maturities noted in the foregoing table, the Company has exposure totaling
$262 million to private equity limited partnerships and real estate partnerships (both of which are
included in other investments in the Company’s consolidated balance sheet) whose primary investing
focus is across Europe. The Company has unfunded commitments totaling $134 million to these
partnerships. The Company also has $4 million of nonredeemable preferred stock (included in equity
securities on the Company’s consolidated balance sheet) issued by companies in the Eurozone.
Mortgage-Backed Securities, Collateralized Mortgage Obligations and Pass-Through Securities
The Company’s fixed maturity investment portfolio at December 31, 2011 and 2010 included
$3.52 billion and $4.16 billion, respectively, of residential mortgage-backed securities including
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