Travelers 2014 Annual Report Download - page 191

Table of Contents
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.
Pre - refunded bonds of $7.56 billion and $9.52 billion at December 31, 2014 and 2013, 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, 2014 and 2013 included $2.21 billion and $2.42 billion, respectively, of
residential mortgage
- backed securities, which include pass - through securities and collateralized mortgage obligations (CMO). 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 guaranteed by or fully
collateralized by securities issued by GNMA, FNMA or FHLMC. The average credit rating of the $725 million and $790 million of non
- guaranteed
CMO holdings at December 31, 2014 and 2013, respectively, was "Ba1" and "Ba3," respectively. The average credit rating of all of the above
securities was "Aa3" and "A1" at December 31, 2014 and 2013, respectively.
At December 31, 2014 and 2013, the Company held commercial mortgage
- backed securities (CMBS, including FHA project loans) of
$715 million and $475 million, respectively, which are included in "All other corporate bonds" in the tables above. At December 31, 2014 and 2013,
approximately $202 million and $59 million of these securities, respectively, or the loans backing such securities, contained guarantees by the U.S.
government or a government
- sponsored enterprise. The average credit rating of the $513 million and $416 million of non - guaranteed securities at
December 31, 2014 and 2013, 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, 2014 and 2013.
At December 31, 2014 and 2013, the Company had $296 million and $131 million, respectively, of securities on loan as part of a tri
- party lending
agreement.
190
(at December 31, 2014, in millions)
Amortized
Cost
Fair
Value
Due in one year or less
$
7,762
$
7,859
Due after 1 year through 5 years
18,447
19,325
Due after 5 years through 10 years
16,815
17,462
Due after 10 years
15,725
16,615
58,749
61,261
Mortgage - backed securities, collateralized mortgage
obligations and pass
- through securities
2,052
2,213
Total
$
60,801
$
63,474