Travelers 2013 Annual Report Download - page 199

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, 2013, in millions) Cost Value
Due in one year or less .............................. $ 8,386 $ 8,525
Due after 1 year through 5 years ....................... 20,359 21,407
Due after 5 years through 10 years ...................... 17,225 17,579
Due after 10 years .................................. 13,963 14,021
59,933 61,532
Mortgage-backed securities, collateralized mortgage obligations
and pass-through securities .......................... 2,263 2,424
Total .......................................... $62,196 $63,956
Pre-refunded bonds of $9.52 billion and $9.03 billion at December 31, 2013 and 2012, respectively,
were bonds for which states or municipalities have established irrevocable trusts, almost exclusively
comprised of U.S. Treasury securities, which were created to satisfy their responsibility for payments of
principal and interest.
The Company’s fixed maturity investment portfolio at December 31, 2013 and 2012 included
$2.42 billion and $3.00 billion, respectively, of residential mortgage-backed securities, which include
pass-through securities and collateralized mortgage obligations (CMO). Included in the totals at
December 31, 2013 and 2012 were $1.06 billion and $1.44 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 $1.36 billion and $1.56 billion, respectively. Approximately 42%
and 43% of the Company’s CMO holdings were guaranteed by or fully collateralized by securities
issued by GNMA, FNMA or FHLMC at December 31, 2013 and 2012, respectively. The average credit
rating of the $790 million and $893 million of non-guaranteed CMO holdings at December 31, 2013
and 2012, respectively, was ‘‘Ba3’’ and ‘‘B2,’’ respectively. The average credit rating of all of the above
securities was ‘‘A1’’ at both December 31, 2013 and 2012.
At December 31, 2013 and 2012, the Company held commercial mortgage-backed securities
(CMBS, including FHA project loans) of $475 million and $453 million, respectively, which are
included in ‘‘All other corporate bonds’’ in the tables above. At December 31, 2013 and 2012,
approximately $59 million and $64 million of these securities, respectively, or the loans backing such
securities, contained guarantees by the U.S. government or a government-sponsored enterprise, and
$7 million and $4 million at December 31, 2013 and 2012, respectively, were comprised of Canadian
non-guaranteed securities. The average credit rating of the $416 million and $389 million of
non-guaranteed securities at December 31, 2013 and 2012, respectively, was ‘‘Aaa’’ at both dates. 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, 2013 and
2012.
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