Travelers 2011 Annual Report Download - page 195

THE TRAVELERS COMPANIES, INC. AND SUBSIDIARIES
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Continued)
3. INVESTMENTS (Continued)
The amortized cost and fair value of fixed maturities by contractual maturity follow. Actual
maturities will differ from contractual maturities because borrowers may have the right to call or
prepay obligations with or without call or prepayment penalties.
Amortized Fair
(at December 31, 2011, in millions) Cost Value
Due in one year or less .............................. $ 5,829 $ 5,901
Due after 1 year through 5 years ....................... 19,843 21,144
Due after 5 years through 10 years ...................... 17,107 18,694
Due after 10 years .................................. 13,927 14,978
56,706 60,717
Mortgage-backed securities, collateralized mortgage obligations
and pass-through securities .......................... 3,288 3,515
Total .......................................... $59,994 $64,232
Pre-refunded bonds of $7.33 billion and $7.29 billion at December 31, 2011 and 2010, respectively,
were bonds for which an irrevocable trust has been established to fund the remaining payments of
principal and interest.
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, which include
pass-through-securities and collateralized mortgage obligations (CMO). Included in the totals at
December 31, 2011 and 2010 were $1.82 billion and $2.09 billion, respectively, of GNMA, FNMA and
FHLMC (excluding FHA project loans) guaranteed residential mortgage-backed pass-through securities
classified as available for sale. Also included in those totals were residential CMOs classified as
available for sale with a fair value of $1.70 billion and $2.07 billion, respectively. Approximately 38% of
the Company’s CMO holdings were guaranteed by or fully collateralized by securities issued by GNMA,
FNMA or FHLMC at both December 31, 2011 and 2010. The average credit rating of the $1.05 billion
and $1.28 billion of non-guaranteed CMO holdings at December 31, 2011 and 2010, respectively, was
‘‘Ba1’’ and ‘‘Baa1,’’ respectively. The average credit rating of all of the above securities was ‘‘Aa3’’ and
‘‘Aa1’’ at December 31, 2011 and 2010, respectively.
At December 31, 2011 and 2010, the Company held commercial mortgage-backed securities
(CMBS, including FHA project loans) of $446 million and $549 million, respectively, which are
included in ‘‘All other corporate bonds’’ in the tables above. At December 31, 2011 and 2010,
approximately $81 million and $155 million of these securities, respectively, or the loans backing such
securities, contained guarantees by the U.S. government or a government-sponsored enterprise, and
$10 million and $20 million at December 31, 2011 and 2010, respectively, were comprised of Canadian
non-guaranteed securities. The average credit rating of the $365 million of non-guaranteed securities at
December 31, 2011 was ‘‘Aaa,’’ and 71% of those securities were issued in 2004 and prior years. The
CMBS portfolio is supported by loans that are diversified across economic sectors and geographical
areas. The average credit rating of the CMBS portfolio was ‘‘Aaa’’ at both December 31, 2011 and
2010.
At December 31, 2011 and 2010, the Company had $126 million and $186 million, respectively, of
securities on loan as part of a tri-party lending agreement.
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