Travelers 2011 Annual Report Download - page 208

THE TRAVELERS COMPANIES, INC. AND SUBSIDIARIES
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Continued)
4. FAIR VALUE MEASUREMENTS (Continued)
The following tables present the changes in the Level 3 fair value category for the years ended
December 31, 2011 and 2010.
Fixed Other
(in millions) Maturities Investments Total
Balance at December 31, 2010 ............................... $230 $ 57 $287
Total realized and unrealized investment gains (losses):
Included in net realized investment gains(1) .................... 13839
Included in increases (decreases) in accumulated other changes in
equity from nonowner sources ............................ — (9) (9)
Purchases, sales and settlements/maturities:
Purchases ............................................. 154 5 159
Sales ................................................ (15) (47) (62)
Settlements/maturities .................................... (43) — (43)
Gross transfers into Level 3 ................................. 19 — 19
Gross transfers out of Level 3(2) ............................. (96) — (96)
Balance at December 31, 2011 ............................ $250 $ 44 $294
Amount of total realized investment gains (losses) for the period
included in the consolidated statement of income attributable to
changes in the fair value of assets still held at the reporting date ..... $— $— $—
(1) Includes impairments on investments held at the end of the period as well as amortization on fixed
maturities.
(2) During the year ended December 31, 2011, approximately $81 million of municipal fixed maturity
securities were valued using observable market data which resulted in a transfer out of Level 3
into Level 2. In prior periods, these securities were valued internally using unobservable inputs.
196