Travelers 2015 Annual Report Download - page 238

THE TRAVELERS COMPANIES, INC. AND SUBSIDIARIES
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Continued)
14. PENSION PLANS, RETIREMENT BENEFITS AND SAVINGS PLANS (Continued)
Short-term securities are carried at fair value which approximates cost plus accrued interest or
amortized discount. The fair value or market value of these is periodically compared to this amortized
cost and is based on significant observable inputs as determined by an external pricing service.
Accordingly, the estimates of fair value for such short-term securities, other than U.S. Treasury
securities and money market mutual funds, provided by an external pricing service are included in the
amount disclosed in Level 2 of the hierarchy. The estimated fair value of U.S. Treasury securities and
money market mutual funds is included in the amount disclosed in Level 1 as the estimates are based
on unadjusted market prices.
Fair Value Hierarchy—Pension Plans
The following tables present the level within the fair value hierarchy at which the financial assets
of the Company’s pension plans are measured on a recurring basis.
(at December 31, 2015, in millions) Total Level 1 Level 2 Level 3
Invested assets:
Fixed maturities
Obligations of states, municipalities and political
subdivisions ......................... $17$— $17 $—
Debt securities issued by foreign governments . . 16 — 16 —
Mortgage-backed securities, collateralized
mortgage obligations and pass-through
securities ........................... 16 — 16 —
All other corporate bonds ................ 491 — 491 —
Total fixed maturities ................. 540 — 540 —
Mutual funds
Equity mutual funds .................... 1,237 1,231 6 —
Bond mutual funds ..................... 649 646 3 —
Total mutual funds .................... 1,886 1,877 9 —
Equity securities ......................... 625 624 1 —
Other investments(1) ..................... 2——2
Cash and short-term securities
U.S. Treasury securities .................. 25 25 — —
Money market mutual funds ............... 23 19 4 —
Other ............................... 141 20 121 —
Total cash and short-term securities ...... 189 64 125 —
Total ........................... $3,242 $2,565 $675 $ 2
(1) The fair value estimates of the two private equity funds comprising these investments are
determined by an external fund manager based on recent filings, operating results,
balance sheet stability, growth and other business and market sector fundamentals. Due
to the significant unobservable inputs in these valuations, the total fair value estimates are
disclosed in Level 3.
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