Travelers 2014 Annual Report Download - page 114

Table of Contents
In addition to fixed maturities noted in the foregoing table, the Company has exposure totaling $214 million to private equity limited
partnerships and real estate partnerships (both of which are included in other investments in the Company's consolidated balance sheet) whose
primary investing focus is across Europe. The Company has unfunded commitments totaling $136 million to these partnerships. The Company also
has $5 million of nonredeemable preferred stock (included in equity securities on the Company's consolidated balance sheet) issued by companies
in the Eurozone.
Mortgage
- Backed Securities, Collateralized Mortgage Obligations and Pass - Through Securities
The Company's fixed maturity investment portfolio at December 31, 2014 and 2013 included $2.21 billion and $2.42 billion, respectively, of
residential mortgage
- backed securities, including pass - through - securities and collateralized mortgage obligations (CMO), all of which are subject to
prepayment risk (either shortening or lengthening of duration). While prepayment risk for securities and its effect on income cannot be fully
controlled, particularly when interest rates move dramatically, the Company's investment strategy generally favors securities that reduce this risk
within expected interest rate ranges. Included in the totals at December 31, 2014 and 2013 were $872 million and $1.07 billion, respectively, of
GNMA, FNMA, FHLMC (excluding FHA project loans) and Canadian government 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 $1.34 billion
and $1.36 billion at December 31, 2014 and 2013, respectively. Approximately 46% and 42% of the Company's CMO holdings at December 31, 2014
and 2013, respectively, were
113
Corporate Securities
Debt Securities
Issued
by Foreign
Governments
Financial
Sovereign
Corporates
All Other
(at December 31, 2014, in millions)
Carrying
Value
Average
Credit
Quality(1)
Carrying
Value
Average
Credit
Quality
(1)
Carrying
Value
Average
Credit
Quality
(1)
Carrying
Value
Average
Credit
Quality
(1)
Eurozone Periphery
Ireland
$
—
—
$
2
A2
$
—
—
$
64
A3
Spain
—
—
26
A3
—
—
40
A3
Greece
—
—
—
—
—
—
2
Baa2
Italy
—
—
—
—
—
—
2
Ba1
Portugal
—
—
—
—
—
—
—
—
Subtotal
—
28
—
108
Eurozone Non - Periphery
Germany
27
Aaa
10
A3
277
Aaa
317
A3
France
94
Aaa
15
A3
3
Aa1
354
A2
Netherlands
—
—
45
A1
240
Aaa
317
A2
Austria
—
—
—
—
107
Aaa
—
—
Finland
17
Aaa/Aa1
4
Aaa
—
—
1
Ba2
Belgium
—
—
—
—
—
—
194
A2
Luxembourg
—
—
—
—
—
—
61
Aa3
Subtotal
138
74
627
1,244
Total
$
138
$
102
$
627
$
1,352
(1) Rated using external rating agencies or by the Company when a public rating does not exist. The table includes $554 million
of short
- term securities which have the highest ratings issued by external rating agencies for short - term issuances. For
purposes of this table, the short
- term securities, which are rated "A - 1+" and/or "P - 1," are included as "Aaa" rated securities.