Travelers 2014 Annual Report Download - page 116

Table of Contents
Securities Lending
The Company has engaged in securities lending activities from which it generates net investment income by lending certain of its investments
to other institutions for short periods of time. At December 31, 2014 and 2013, the Company had $296 million and $131 million of securities on loan,
respectively, as part of a tri
- party lending agreement. The average monthly balance of securities on loan during 2014 and 2013 was $228 million and
$168 million, respectively. Borrowers of these securities provide collateral equal to at least 102% of the market value of the loaned securities plus
accrued interest. The Company has not incurred any investment losses in its securities lending program for the years ended December 31, 2014,
2013 and 2012.
Lloyd's Trust Deposit
The Company utilizes a Lloyd's trust deposit, whereby owned securities with a fair value of approximately $151 million and $181 million held by
a wholly
- owned subsidiary at December 31, 2014 and 2013, respectively, were pledged into a Lloyd's trust account to provide a portion of the
capital needed to support the Company's obligations at Lloyd's.
Net Unrealized Investment Gains
The net unrealized investment gains that were included as a separate component of accumulated other comprehensive income were as follows:
Net unrealized investment gains at December 31, 2014 increased over the prior year
- end, primarily reflecting the impact of a decrease in market
interest rates during 2014. Net unrealized investment gains at December 31, 2013 declined from the prior year
- end, primarily reflecting the impact of
an increase in market interest rates during 2013.
The following table summarizes, for all fixed maturities and equity securities reported at fair value for which fair value is less than 80% of
amortized cost at December 31, 2014, the gross unrealized investment loss by length of time those securities have continuously been in an
unrealized loss position of greater than 20% of amortized cost:
115
(at December 31, in millions)
2014
2013
2012
Fixed maturities
$
2,673
$
1,760
$
4,564
Equity securities
320
257
183
Other investments
15
13
14
Unrealized investment gains before tax
3,008
2,030
4,761
Tax expense
1,042
708
1,658
Net unrealized investment gains at end of year
$
1,966
$
1,322
$
3,103
Period For Which Fair Value Is Less Than 80% of Amortized Cost
(in millions)
3 Months
or Less
Greater Than
3 Months,
6 Months
or Less
Greater Than
6 Months,
12 Months
or Less
Greater Than
12 Months
Total
Fixed maturities :
Mortgage - backed securities
$
—
$
—
$
—
$
—
$
—
Other
4
—
2
2
8
Total fixed maturities
4
—
2
2
8
Equity securities
—
—
—
—
—
Total
$
4
$
—
$
2
$
2
$
8