Travelers 2014 Annual Report Download - page 205

Table of Contents
THE TRAVELERS COMPANIES, INC. AND SUBSIDIARIES
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Continued)
4. FAIR VALUE MEASUREMENTS (Continued)
Financial Instruments Disclosed, But Not Carried, At Fair Value
The Company uses various financial instruments in the normal course of its business. The Company's insurance contracts are excluded from
fair value of financial instruments accounting guidance and, therefore, are not included in the amounts discussed below. The following tables
present the carrying value and fair value of the Company's financial assets and financial liabilities disclosed, but not carried, at fair value at
December 31, 2014 and 2013, and the level within the fair value hierarchy at which such assets and liabilities are categorized.
The Company utilized a pricing service to estimate fair value for approximately 98% and 97% of short - term securities at December 31, 2014 and
2013, respectively. A description of the process and inputs used by the pricing service to estimate fair value is discussed in the "Fixed Maturities"
section above. Estimates of fair value for U.S. Treasury securities and money market funds are based on market quotations received from the
pricing service and are disclosed in Level 1 of the hierarchy. The fair value of other short
- term fixed maturity securities is estimated by the pricing
service using observable market inputs and is disclosed in Level 2 of the hierarchy. For short
- term securities where an estimate is not obtained from
the pricing service, the carrying value approximates fair value and is included in Level 3 of the hierarchy.
The Company utilized a pricing service to estimate fair value for 100% of its debt, including commercial paper, at December 31, 2014 and 2013.
The pricing service utilizes market quotations for debt that have quoted prices in active markets. Since fixed maturities other than U.S. Treasury
securities generally do not trade on a daily basis, the fair value estimates are based on market observable inputs and disclosed in Level 2 of the
hierarchy.
The Company had no material assets or liabilities that were measured at fair value on a non
- recurring basis during the years ended
December 31, 2014 and 2013.
204
(at December 31, 2014, in millions)
Carrying
Value
Fair
Value
Level 1
Level 2
Level 3
Financial assets:
Short - term securities
$
4,364
$
4,364
$
1,283
$
3,042
$
39
Financial liabilities:
Debt
$
6,249
$
7,522
$
—
$
7,522
$
—
Commercial paper
100
100
—
100
—
(at December 31, 2013, in millions)
Carrying
Value
Fair
Value
Level 1
Level 2
Level 3
Financial assets:
Short - term securities
$
3,882
$
3,882
$
1,608
$
2,215
$
59
Financial liabilities:
Debt
$
6,246
$
7,123
$
—
$
7,123
$
—
Commercial paper
100
100
—
100
—