Travelers 2012 Annual Report Download - page 246

THE TRAVELERS COMPANIES, INC. AND SUBSIDIARIES
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Continued)
14. PENSION PLANS, RETIREMENT BENEFITS AND SAVINGS PLANS (Continued)
(at December 31, 2011, in millions) Total Level 1 Level 2 Level 3
Invested assets:
Fixed maturities
U.S. Treasury securities and obligations of U.S.
government and government agencies and
authorities .......................... $ 15 $ 15 $ — $—
Debt securities issued by foreign governments . . 13 — 13 —
Mortgage-backed securities, collateralized
mortgage obligations and pass-through
securities ........................... 14 — 12 2
All other corporate bonds ................ 214 — 214 —
Total fixed maturities ................. 256 15 239 2
Mutual funds
Equity mutual funds .................... 932 932 — —
Bond mutual funds ..................... 443 443 — —
Total mutual funds .................... 1,375 1,375 — —
Equity securities ......................... 352 352 — —
Other investments(1) ..................... 16 — — 16
Cash and short-term securities
U.S. Treasury securities .................. 141 141 — —
Money market mutual funds ............... 50 50 — —
Other ............................... 310 12 298 —
Total cash and short-term securities ...... 501 203 298 —
Total ........................... $2,500 $1,945 $537 $18
(1) The fair value estimates of the hedge fund and two private equity funds comprising these
investments are determined by an external fund manager based on recent filings,
operating results, balance sheet stability, growth and other business and market sector
fundamentals. Due to the significant unobservable inputs in these valuations, the total fair
value estimates are disclosed in Level 3.
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