Travelers 2013 Annual Report Download - page 118

satisfy the Company’s insurance and debt obligations. The weighted average credit quality of the
Company’s fixed maturity portfolio, both including and excluding U.S. Treasury securities, was ‘‘Aa2’’ at
both December 31, 2013 and 2012. Below investment grade securities represented 3.0% and 3.1% of
the total fixed maturity investment portfolio at December 31, 2013 and 2012, respectively. The average
effective duration of fixed maturities and short-term securities was 3.7 (3.9 excluding short-term
securities) at December 31, 2013 and 3.2 (3.4 excluding short-term securities) at December 31, 2012.
The increase in the average effective duration of the Company’s fixed maturities and short-term
securities at December 31, 2013 when compared to year-end 2012 primarily reflected an increase in
interest rates during 2013. See the ‘‘Outlook’’ section in ‘‘Item 7—Management’s Discussion and
Analysis of Financial Condition and Results of Operations.’’
The carrying values of investments in fixed maturities classified as available for sale at
December 31, 2013 and 2012 were as follows:
2013 2012
Carrying Average Credit Carrying Average Credit
(at December 31, in millions) Value Quality(1) Value Quality(1)
U.S. Treasury securities and obligations of U.S.
government and government agencies and
authorities .............................. $ 2,315 Aaa/Aa1 $ 2,222 Aaa/Aa1
Obligations of states, municipalities and political
subdivisions:
Pre-refunded ........................... 9,518 Aa1 9,025 Aa1
All other .............................. 26,044 Aa1 29,656 Aa1
Total obligations of states, municipalities and
political subdivisions .................. 35,562 38,681
Debt securities issued by foreign governments ...... 2,577 Aaa/Aa1 2,257 Aaa
Mortgage-backed securities, collateralized mortgage
obligations, and pass-through securities .......... 2,424 A1 2,997 A1
All other corporate bonds and redeemable preferred
stock:
Financial:
Bank ............................... 2,314 Aa3 1,808 A1
Insurance ............................ 605 A2 433 A1
Finance/leasing ........................ 68 Baa1 39 Baa3
Brokerage and asset management .......... 30 A1 34 A2
Total financial ....................... 3,017 2,314
Industrial ............................... 12,859 A3 12,076 A3
Public utility ............................. 2,166 A3 2,151 A3
Canadian municipal securities(2) .............. 1,207 Aa1 643 Aa1
Sovereign corporate securities(3) .............. 756 Aaa 1,011 Aaa
Commercial mortgage-backed securities and project
loans(4) .............................. 475 Aaa 453 Aaa
Asset-backed and other ..................... 598 A1 588 A2
Total all other corporate bonds and
redeemable preferred stock ........... 21,078 19,236
Total fixed maturities .................. $63,956 Aa2 $65,393 Aa2
(1) Rated using external rating agencies or by the Company when a public rating does not exist.
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