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8-K - CURRENT REPORT - PHOENIX COMPANIES INC/DE | pnx_8k.htm |
EXHIBIT 99.1
1
As of December 31, 2010
The Phoenix Companies, Inc.
Investment Portfolio Supplement
Investment Portfolio Supplement
2
Important disclosures
This presentation may contain “forward-looking statements” within the meaning of the Private Securities Litigation Reform Act of 1995. We intend for these
forward-looking statements to be covered by the safe harbor provisions of the federal securities laws relating to forward-looking statements. These forward-
looking statements include statements relating to trends in, or representing management’s beliefs about, our future transactions, strategies, operations and
financial results, and often contain words such as “will,” “anticipate,” “believe,” “plan,” “estimate,” “expect,” “intend,” “may,” “should” and other similar words or
expressions. Forward-looking statements are made based upon management’s current expectations and beliefs concerning trends and future developments
and their potential effects on us. They are not guarantees of future performance. Our actual business, financial condition and results of operations may differ
materially from those suggested by forward-looking statements as a result of risks and uncertainties, which include, among others: (i) unfavorable general
economic developments including, but not limited to, specific related factors such as the performance of the debt and equity markets and changes in interest
rates; (ii) the potential adverse affect of interest rate fluctuations on our business and results of operations; (iii) the effect of adverse capital and credit market
conditions on our ability to meet our liquidity needs, our access to capital and our cost of capital; (iv) changes in our investment valuations based on changes
in our valuation methodologies, estimations and assumptions; (v) the effect of guaranteed benefits within our products; (vi) potential exposure to unidentified or
unanticipated risk that could adversely affect our businesses or result in losses; (vii) the consequences related to variations in the amount of our statutory
capital due to factors beyond our control; (viii) the possibility that we not be successful in our efforts to implement a new business plan; (ix) the impact on our
results of operations and financial condition of any required increase in our reserves for future policyholder benefits and claims if such reserves prove to be
inadequate; (x) further downgrades in our debt or financial strength ratings; (xi) the possibility that mortality rates, persistency rates, funding levels or other
factors may differ significantly from our assumptions used in pricing products; (xii) the possibility of losses due to defaults by others including, but not limited to,
issuers of fixed income securities; (xiii) the availability, pricing and terms of reinsurance coverage generally and the inability or unwillingness of our reinsurers
to meet their obligations to us specifically; (xiv) our ability to attract and retain key personnel in a competitive environment; (xv) our dependence on third parties
to maintain critical business and administrative functions; (xvi) the strong competition we face in our business from banks, insurance companies and other
financial services firms; (xvii) our reliance, as a holding company, on dividends and other payments from our subsidiaries to meet our financial obligations and
pay future dividends, particularly since our insurance subsidiaries’ ability to pay dividends is subject to regulatory restrictions; (xviii) the potential need to fund
deficiencies in our closed block; (xix) tax developments that may affect us directly, or indirectly through the cost of, the demand for or profitability of our
products or services; (xx) the possibility that the actions and initiatives of the U.S. Government, including those that we elect to participate in, may not improve
adverse economic and market conditions generally or our business, financial condition and results of operations specifically; (xxi) legislative or regulatory
developments; (xxii) regulatory or legal actions; (xxiii) potential future material losses from our discontinued reinsurance business; (xxiv) changes in accounting
standards; (xxv) the potential impact of a material weakness in our internal control over financial reporting on the accuracy of our reported financial results,
investor confidence and our stock price;(xxvi) the risks related to a man-made or natural disaster; (xxvii) risks related to changing climate conditions; and
(xxviii) other risks and uncertainties described herein or in any of our filings with the SEC.
forward-looking statements to be covered by the safe harbor provisions of the federal securities laws relating to forward-looking statements. These forward-
looking statements include statements relating to trends in, or representing management’s beliefs about, our future transactions, strategies, operations and
financial results, and often contain words such as “will,” “anticipate,” “believe,” “plan,” “estimate,” “expect,” “intend,” “may,” “should” and other similar words or
expressions. Forward-looking statements are made based upon management’s current expectations and beliefs concerning trends and future developments
and their potential effects on us. They are not guarantees of future performance. Our actual business, financial condition and results of operations may differ
materially from those suggested by forward-looking statements as a result of risks and uncertainties, which include, among others: (i) unfavorable general
economic developments including, but not limited to, specific related factors such as the performance of the debt and equity markets and changes in interest
rates; (ii) the potential adverse affect of interest rate fluctuations on our business and results of operations; (iii) the effect of adverse capital and credit market
conditions on our ability to meet our liquidity needs, our access to capital and our cost of capital; (iv) changes in our investment valuations based on changes
in our valuation methodologies, estimations and assumptions; (v) the effect of guaranteed benefits within our products; (vi) potential exposure to unidentified or
unanticipated risk that could adversely affect our businesses or result in losses; (vii) the consequences related to variations in the amount of our statutory
capital due to factors beyond our control; (viii) the possibility that we not be successful in our efforts to implement a new business plan; (ix) the impact on our
results of operations and financial condition of any required increase in our reserves for future policyholder benefits and claims if such reserves prove to be
inadequate; (x) further downgrades in our debt or financial strength ratings; (xi) the possibility that mortality rates, persistency rates, funding levels or other
factors may differ significantly from our assumptions used in pricing products; (xii) the possibility of losses due to defaults by others including, but not limited to,
issuers of fixed income securities; (xiii) the availability, pricing and terms of reinsurance coverage generally and the inability or unwillingness of our reinsurers
to meet their obligations to us specifically; (xiv) our ability to attract and retain key personnel in a competitive environment; (xv) our dependence on third parties
to maintain critical business and administrative functions; (xvi) the strong competition we face in our business from banks, insurance companies and other
financial services firms; (xvii) our reliance, as a holding company, on dividends and other payments from our subsidiaries to meet our financial obligations and
pay future dividends, particularly since our insurance subsidiaries’ ability to pay dividends is subject to regulatory restrictions; (xviii) the potential need to fund
deficiencies in our closed block; (xix) tax developments that may affect us directly, or indirectly through the cost of, the demand for or profitability of our
products or services; (xx) the possibility that the actions and initiatives of the U.S. Government, including those that we elect to participate in, may not improve
adverse economic and market conditions generally or our business, financial condition and results of operations specifically; (xxi) legislative or regulatory
developments; (xxii) regulatory or legal actions; (xxiii) potential future material losses from our discontinued reinsurance business; (xxiv) changes in accounting
standards; (xxv) the potential impact of a material weakness in our internal control over financial reporting on the accuracy of our reported financial results,
investor confidence and our stock price;(xxvi) the risks related to a man-made or natural disaster; (xxvii) risks related to changing climate conditions; and
(xxviii) other risks and uncertainties described herein or in any of our filings with the SEC.
This information is provided as of December 31, 2010. Certain other factors which may impact our business, financial condition or results of operations or
which may cause actual results to differ from such forward-looking statements are discussed or included in our periodic reports filed with the SEC and are
available on our website at www.phoenixwm.com under “Investor Relations”. You are urged to carefully consider all such factors. We do not undertake or
plan to update or revise forward-looking statements to reflect actual results, changes in plans, assumptions, estimates or projections, or other circumstances
occurring after the date of this presentation, even if such results, changes or circumstances make it clear that any forward-looking information will not be
realized. If we make any future public statements or disclosures which modify or impact any of the forward-looking statements contained in or accompanying
this presentation, such statements or disclosures will be deemed to modify or supersede such statements in this presentation.
which may cause actual results to differ from such forward-looking statements are discussed or included in our periodic reports filed with the SEC and are
available on our website at www.phoenixwm.com under “Investor Relations”. You are urged to carefully consider all such factors. We do not undertake or
plan to update or revise forward-looking statements to reflect actual results, changes in plans, assumptions, estimates or projections, or other circumstances
occurring after the date of this presentation, even if such results, changes or circumstances make it clear that any forward-looking information will not be
realized. If we make any future public statements or disclosures which modify or impact any of the forward-looking statements contained in or accompanying
this presentation, such statements or disclosures will be deemed to modify or supersede such statements in this presentation.
3
Table of contents
4
Summary
> General account investment portfolio is well diversified and liquid; managed by a team with a
successful track record of investing over a variety of market cycles, following a disciplined monitoring
process
successful track record of investing over a variety of market cycles, following a disciplined monitoring
process
> 91% of bond investments are investment grade. Emphasis is on liquidity with 71% of bonds invested
in public securities
in public securities
> Strict limits on individual financial exposures that mitigate loss potential to any one particular entity; as
a result, there is limited exposure to the financial institutions that have been in the news
a result, there is limited exposure to the financial institutions that have been in the news
> Net unrealized gains of $266 million versus net unrealized losses of $325 million at year-end 2009
> Residential mortgage-backed securities (RMBS) exposure is high quality and diversified. Exposure is
concentrated in agency and prime-rated securities with only 3% of invested assets in Alt-A and
subprime investments
concentrated in agency and prime-rated securities with only 3% of invested assets in Alt-A and
subprime investments
> Commercial mortgage exposure is in highly rated commercial mortgage-backed securities with
minimal direct loan or real estate holdings
minimal direct loan or real estate holdings
> No subprime collateralized debt obligations (CDO) exposure. CDO holdings are backed by bank
loans, investment grade bonds and commercial mortgage-backed securities
loans, investment grade bonds and commercial mortgage-backed securities
> No credit default swap (CDS) exposure
As of December 31, 2010
5
Portfolio comprised
primarily of fixed income securities
primarily of fixed income securities
Bonds $10,894
76%
Policy Loans $2,386
17%
Total Invested Assets: $14.3 Billion
$ in millions
Market value as of December 31, 2010
6
Portfolio quality improved
Percentages based on GAAP Value
As of December 31, 2010
|
4Q09
|
1Q10
|
2Q10
|
3Q10
|
4Q10
|
Investment Grade Bonds
|
89.2%
|
89.9%
|
90.9%
|
91.0%
|
91.3%
|
Below Investment Grade (BIG) Bonds
|
10.8
|
10.1
|
9.1
|
9.0
|
8.7
|
Percentage of BIG in NAIC 3
|
57.9
|
53.8
|
55.1
|
59.0
|
49.5
|
Percentage of BIG in NAIC 4-6
|
42.1
|
46.2
|
44.9
|
41.0
|
50.5
|
Corporate
|
|
|
|
|
|
Investment Grade
|
89.6
|
90.3
|
91.0
|
91.1
|
91.2
|
Below Investment Grade
|
10.4
|
9.7
|
9.0
|
8.9
|
8.8
|
Structured
|
|
|
|
|
|
Investment Grade
|
88.6
|
89.6
|
90.7
|
91.0
|
91.3
|
Below Investment Grade
|
11.4
|
10.4
|
9.3
|
9.0
|
8.7
|
7
$ in millions
Market value as of December 31, 2010
1 Includes $216.1 million of Home Equity Asset Backed Securities also included in the RMBS exhibits
2 Includes $33.9 million of CMBS CDO’s also included in the CMBS exhibits
Bond portfolio diversified by sector
U.S. Corporates
58%
Foreign Corporates
7%
ABS 5%
Emerging Markets
3%
Below Investment Grade (BIG) Bonds
by Sector
RMBS
5%
As of December 31, 2010
|
Market Value |
% of Total |
Industrials
|
$2,443.2
|
22.4%
|
Residential MBS1
|
1,994.7
|
18.3
|
Foreign Corporates
|
1,590.9
|
14.6
|
Financials
|
1,467.5
|
13.5
|
Commercial MBS
|
1,148.4
|
10.5
|
U.S. Treasuries / Agencies
|
762.3
|
7.0
|
Utilities
|
493.3
|
4.5
|
Asset Backed Securities
|
430.0
|
4.0
|
CBO/CDO/CLO2
|
251.6
|
2.3
|
Municipals
|
218.7
|
2.0
|
Emerging Markets
|
93.2
|
0.9
|
Total
|
$10,893.8
|
|
Bonds by Rating
NAIC 1
58.9%
NAIC 2
32.4%
NAIC 3 & Lower
(BIG)
(BIG)
8.7%
CDO/CLO
18%
CMBS 4%
8
Diverse financial sector holdings
Sector
|
Book
Value
|
Market
Value
|
% General
Account |
% in Closed
Block |
Bank
|
$447.0
|
$436.4
|
3.1%
|
67.4%
|
Broker-Dealer
|
91.1
|
92.2
|
0.6
|
48.4
|
Commercial Finance
|
53.2
|
52.7
|
0.4
|
44.7
|
Consumer Finance
|
41.8
|
43.1
|
0.3
|
68.7
|
Diversified Financial
|
257.7
|
208.9
|
1.5
|
48.1
|
Insurance
|
347.1
|
361.1
|
2.5
|
65.8
|
Leasing/Rental
|
80.0
|
89.2
|
0.6
|
63.4
|
REITS
|
174.4
|
183.5
|
1.3
|
63.8
|
Project Finance
|
0.4
|
0.4
|
-
|
-
|
Total
|
$1,492.7
|
$1,467.5
|
10.3%
|
61.6%
|
$ in millions
As of December 31, 2010
Percentages based on market value
9
High quality
structured securities portfolio
structured securities portfolio
> Structured portfolio is 91% investment grade
> RMBS (46.5%) and CMBS (30.0%) dominate the structured portfolio
AAA
69.2%
B or less - 5.4%
BBB - 5.9%
AA - 6.4%
A - 9.8%
BB - 3.3%
$ in millions
Market value as of December 31, 2010, Quality rating breakdown based on NAIC ratings
1 Includes $33.9 million of CMBS CDOs
As of December 31, 2010
|
Market Value |
% of Total
|
Residential MBS
|
$ 1,778.6
|
46.5%
|
Commercial MBS
|
1,148.4
|
30.0
|
CBO/CDO/CLO1
|
251.6
|
6.6
|
Other ABS
|
221.8
|
5.8
|
Home Equity
|
216.1
|
5.7
|
Auto Loans
|
122.3
|
3.2
|
Aircraft Equipment Trust
|
47.6
|
1.2
|
Manufactured Housing
|
38.3
|
1.0
|
Total
|
$3,824.7
|
|
10
Moderation in credit impairments
GAAP Credit Impairments
|
4Q09
|
1Q10
|
2Q10
|
3Q10
|
4Q10
|
Prime RMBS
|
$0.6
|
$0.7
|
$1.9
|
-
|
$1.6
|
Alt-A RMBS
|
6.6
|
4.6
|
2.4
|
0.5
|
2.5
|
Subprime RMBS
|
0.2
|
0.1
|
-
|
-
|
1.5
|
CLO/CDO
|
3.8
|
5.5
|
3.4
|
3.6
|
3.5
|
CMBS
|
1.5
|
1.4
|
0.7
|
2.9
|
1.7
|
Corporate
|
15.0
|
1.9
|
1.7
|
1.1
|
-
|
Other ABS/MBS
|
4.5
|
-
|
2.1
|
3.7
|
-
|
Total Debt
|
$32.2
|
$14.2
|
$12.2
|
$11.8
|
$10.8
|
Schedule BA
|
0.4
|
-
|
-
|
-
|
-
|
Equity
|
1.7
|
0.3
|
0.2
|
0.1
|
-
|
Total Credit Impairments
|
$34.3
|
$14.5
|
$12.4
|
$11.9
|
$10.8
|
$ in millions
As of December 31, 2010
11
Portfolio in a gain position
$ in millions
1 All Other - Corporates, RMBS Agency, Other ABS, Foreign, US Government
|
December 31, 2009
|
December 31, 2010
|
Y/Y Change
|
RMBS Prime
|
$(74.1)
|
$(21.2)
|
$52.9
|
Subprime/Alt-A
|
(105.0)
|
(58.5)
|
46.5
|
CDO/CLO
|
(89.6)
|
(47.9)
|
41.7
|
CMBS
|
(49.8)
|
24.5
|
74.3
|
Financial
|
(144.1)
|
(25.2)
|
118.9
|
All Other High Yield
|
(41.7)
|
0.9
|
42.6
|
All Other1
|
179.5
|
393.5
|
214.0
|
Total
|
$(324.8)
|
$266.1
|
$590.9
|
12
Well constructed CMBS portfolio
Phoenix CMBS Portfolio
> High levels of credit enhancement
> Excellent credit characteristics vs.
market
market
> Avoided 2006 and 2007 aggressive
underwriting
underwriting
|
Market1
|
Phoenix
|
Weighted average credit
enhancement |
26%
|
29%
|
Weighted average credit
enhancement (U.S. Treasury defeasance adjusted) |
28%
|
34%
|
Interest Only (I/O) loans
|
67%
|
31%
|
Weighted average coupon
|
5.76%
|
6.32%
|
Weighted average loan age
|
63 months
|
89 months
|
60+ Delinquency Rate
|
8.0%
|
5.3%
|
As of December 31, 2010
1Sources: Barclays CMBS Index,Trepp, Bloomberg
13
J.P. Morgan Stress Loss Forecasts
(Conduit/Fusion)
Phoenix CMBS portfolio stress testing
Vintage
|
4Q10
|
2007
|
10.1%
|
2006
|
6.2
|
2005
|
4.5
|
2004
|
2.3
|
2003 and prior
|
2.7
|
Phoenix CMBS
Stress Test Results
Source: J.P. Morgan CRE Update January 19, 2011, Bloomberg
1 Coverage = Credit Enhancement/Deal Stress Loss
> 89.5% of the Phoenix CMBS portfolio can withstand >4.0x J.P. Morgan stress loss estimates
> PNX Portfolio Weighted Average Credit Enhancement is 29%
> PNX Portfolio Weighted Average Loss Estimate is 3.5%
PNX Conduit/Fusion Portfolio Weighted Average Coverage1 10.3x
Stress Loss Coverage1
|
|
≥ 4.0x
|
89.5%
|
≤ 4.0x
|
10.5
|
≤ 2.0x
|
0.7
|
≤ 1.0x
|
0.5
|
|
|
14
Highly rated, seasoned
CMBS portfolio
CMBS portfolio
> $1.2 billion in market value
> $145.2 million or 12.3% Government
guaranteed
guaranteed
> 79.7% AAA and 2.2% BB and below
> 77.3% 2005 and prior origination
> Only 3% in CMBS CDO’s
Market value as of December 31, 2010
Percentages based on market value
$ in millions
15
High quality, diversified RMBS portfolio
$ in millions
Market value as of December 31, 2010
Rating |
Book Value |
Market Value |
% General Account |
AAA |
AA |
A |
BBB |
BB &
Below |
Agency
|
$1,031.6
|
$1,066.2
|
7.5%
|
100.0%
|
-
|
-
|
-
|
-
|
Prime
|
527.1
|
505.9
|
3.5%
|
57.1%
|
11.6%
|
3.1%
|
1.9%
|
26.3%
|
Alt-A
|
290.2
|
254.3
|
1.8%
|
35.6%
|
21.5%
|
6.3%
|
6.9%
|
29.7%
|
Subprime
|
190.8
|
168.3
|
1.2%
|
56.4%
|
17.9%
|
-
|
7.7%
|
18.0%
|
Total
|
$2,039.7
|
$1,994.7
|
14.0%
|
77.2%
|
7.2%
|
1.6%
|
2.0%
|
12.0%
|
16
Well constructed RMBS portfolio
|
% of General
Account
|
% Rated
AAA & AA |
% of Portfolio
Originated in 2005 & Prior |
% of
Portfolio Backed by Fixed Rate Collateral |
% of Market
Backed by Fixed Rate Collateral |
Non-Agency
Prime |
3.5%
|
68.7%
|
81.1%
|
93.7%
|
47.0%
|
Alt-A
|
1.8
|
57.1
|
77.4
|
100.0
|
34.0
|
Subprime
|
1.2
|
74.3
|
69.0
|
89.4
|
31.0
|
Market value as of December 31, 2010
Source: JP Morgan MBS Research
17
RMBS delinquencies
better than market
better than market
Market value as of December 31, 2010
Source: JP Morgan MBS Research 60+ day
18
High quality, seasoned
non-agency prime RMBS holdings
non-agency prime RMBS holdings
> $505.9 million market value
> 68.7% AAA and AA rated
> 81.1% 2005 and prior origination
> 93.7% fixed rate
$ in millions
As of December 31, 2010
19
Well constructed
non-agency prime RMBS portfolio
non-agency prime RMBS portfolio
As of December 31, 2010
Source: JP Morgan MBS Research - December 2010, Bloomberg
Market Phoenix
Weighted average credit enhancement 4.5% 10.1%
Weighted average 60+ day delinquent loan 13.0% 6.5%
Phoenix prime portfolio loss coverage: using 40% loss severity 0.87x 3.9x
20
Seasoned
non-agency Alt-A RMBS holdings
non-agency Alt-A RMBS holdings
> $254.3 million market value
> 57.1% AAA or AA rated
> 77.4% 2005 and prior originations
> Phoenix 60+ day delinquent 14.9% vs.
28.3% for Alt-A market
28.3% for Alt-A market
$ in millions
Market value as of December 31, 2010
21
Fixed-rate
non-agency Alt-A RMBS portfolio
non-agency Alt-A RMBS portfolio
As of December 31, 2010
Sources: JP Morgan MBS Research - December 2010
Option ARM 32% -
Alt-A ARM 34% -
Alt-A Fixed 34% 100%
60+ Delinquent 28.3% 14.9%
Alt-A Market Phoenix
22
High quality
non-agency subprime RMBS portfolio
non-agency subprime RMBS portfolio
> $168.3 million market value
> 74.3% rated AAA or AA
> Phoenix 60+ day delinquent
21.2% vs. 43.5% for the subprime
market
21.2% vs. 43.5% for the subprime
market
> Phoenix weighted average credit
support is 29.4%
support is 29.4%
$ in millions
Market value as of December 31, 2010
Source: JP Morgan MBS Research December 2010
23
Diversified CDO holdings
$ in millions
No affiliated CDO holdings as of December 31, 2010
Percentages based on market value
Collateral |
Book
Value |
Market
Value |
% General
Account |
AAA |
AA |
A |
BBB |
BB &
Below |
Bank Loans
|
$240.7
|
$213.9
|
1.5%
|
3.1%
|
3.2%
|
10.7%
|
21.3%
|
61.7%
|
Inv Grade Debt
|
4.5
|
3.8
|
-
|
-
|
13.0%
|
-
|
87.0%
|
-
|
CMBS
|
54.3
|
33.9
|
0.3%
|
10.6%
|
53.8%
|
6.3%
|
20.5%
|
8.8%
|
Total
|
$299.5
|
$251.6
|
1.8%
|
4.1%
|
10.2%
|
9.9%
|
22.1%
|
53.7%
|
24
Appendix
25
PLIC Closed Block investments
primarily fixed income
primarily fixed income
Bonds $6,385
79%
Policy Loans $1,341
16%
Invested Assets: $8.1 Billion
$ in millions
Market value as of December 31, 2010
26
PLIC Closed Block
portfolio high quality
portfolio high quality
Percentages based on GAAP Value
As of December 31, 2010
|
4Q09
|
1Q10
|
2Q10
|
3Q10
|
4Q10
|
Investment Grade Bonds
|
91.6%
|
92.0%
|
92.5%
|
92.6%
|
92.9%
|
Below Investment Grade (BIG) Bonds
|
8.4
|
8.0
|
7.5
|
7.4
|
7.1
|
Percentage of BIG in NAIC 3
|
64.3
|
62.1
|
62.6
|
67.3
|
59.4
|
Percentage of BIG in NAIC 4-6
|
35.7
|
37.9
|
37.4
|
32.7
|
40.6
|
Public Bonds
|
67.4
|
68.2
|
67.5
|
66.5
|
67.0
|
Private Bonds
|
32.6
|
31.8
|
32.5
|
33.5
|
33.0
|
27
PLIC Closed Block
portfolio diversified
portfolio diversified
U.S. Corporates
63%
Foreign Corporates
8%
ABS - 4%
Emerging Markets -5%
$ in millions
Market value as of December 31, 2010
1 Includes $35.1 million of Home Equity Asset Backed Securities
2 Includes $19.3 million of CMBS CDO’s
Below Investment Grade (BIG) Bonds
by Sector
Bond Portfolio
Phoenix Closed Block
|
|
|
As of December 31, 2010
|
|
|
Industrials
|
$1,623.5
|
25.4%
|
Foreign Corporates
|
994.4
|
15.6
|
Residential MBS1
|
982.8
|
15.4
|
Financials
|
903.7
|
14.2
|
Commercial MBS
|
712.4
|
11.2
|
U.S. Treasuries / Agencies
|
428.2
|
6.7
|
Utilities
|
324.4
|
5.1
|
Municipals
|
137.2
|
2.1
|
Asset Backed Securities
|
109.5
|
1.7
|
CBO/CDO/CLO’s2
|
98.2
|
1.5
|
Emerging Markets
|
71.1
|
1.1
|
Total
|
$6,385.4
|
100%
|
Bonds by Rating
NAIC 1
58.4%
NAIC 2
34.6%
NAIC 3 & Lower
7.0%
RMBS - 5%
CLO/CDO
12%
CMBS - 3%
28