Attached files
| file | filename |
|---|---|
| 8-K - CURRENT REPORT - PHOENIX COMPANIES INC/DE | pnx_8k.htm |
| EX-99.1 - FINANCIAL SUPPLEMENT - PHOENIX COMPANIES INC/DE | pnx_ex991.htm |
1
As of June 30, 2012
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,” “is targeting,” “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 or 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; (ii) the potential
adverse affect of interest rate fluctuations on our business and results of operations; (iii) 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; (iv) the possibility that mortality rates,
persistency rates, funding levels or other factors may differ significantly from our assumptions used in pricing products; (v) the effect of limited access to
external sources of liquidity and financing; (vi) the effect of guaranteed benefits within our products; (vii) potential exposure to unidentified or unanticipated risk
that could adversely affect our businesses or result in losses; (viii) the consequences related to variations in the amount of our statutory capital could adversely
affect our business; (ix) the possibility that we may not be successful in our efforts to implement a business plan focused on new market segments;
(x) changes in our investment valuations based on changes in our valuation methodologies, estimations and assumptions; (xi) the impact of downgrades in our
debt or financial strength ratings; (xii) the availability, pricing and terms of reinsurance coverage generally and the inability or unwillingness of our reinsurers to
meet their obligations to us specifically; (xiii) our ability to attract and retain key personnel in a competitive environment; (xiv) our dependence on third parties
to maintain critical business and administrative functions; (xv) the strong competition we face in our business from banks, insurance companies and other
financial services firms; (xvi) 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; (xvii) the potential need to fund
deficiencies in our closed block; (xviii) tax developments may affect us directly or indirectly through the cost of, the demand for or profitability of our products or
services; (xix) the possibility that the actions and initiatives of the federal and state governments, 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; (xx) regulatory
developments or actions may harm our business; (xxi) legal actions could adversely affect our business or reputation; (xxii) potential future material losses
from our discontinued reinsurance business; (xxiii) changes in accounting standards; (xxiv) the potential effect of a material weakness in our internal control
over financial reporting on the accuracy of our reported financial results; (xxv) the expected benefits of the reverse stock split may not be realized or
maintained; and (xxvi) 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,” “is targeting,” “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 or 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; (ii) the potential
adverse affect of interest rate fluctuations on our business and results of operations; (iii) 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; (iv) the possibility that mortality rates,
persistency rates, funding levels or other factors may differ significantly from our assumptions used in pricing products; (v) the effect of limited access to
external sources of liquidity and financing; (vi) the effect of guaranteed benefits within our products; (vii) potential exposure to unidentified or unanticipated risk
that could adversely affect our businesses or result in losses; (viii) the consequences related to variations in the amount of our statutory capital could adversely
affect our business; (ix) the possibility that we may not be successful in our efforts to implement a business plan focused on new market segments;
(x) changes in our investment valuations based on changes in our valuation methodologies, estimations and assumptions; (xi) the impact of downgrades in our
debt or financial strength ratings; (xii) the availability, pricing and terms of reinsurance coverage generally and the inability or unwillingness of our reinsurers to
meet their obligations to us specifically; (xiii) our ability to attract and retain key personnel in a competitive environment; (xiv) our dependence on third parties
to maintain critical business and administrative functions; (xv) the strong competition we face in our business from banks, insurance companies and other
financial services firms; (xvi) 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; (xvii) the potential need to fund
deficiencies in our closed block; (xviii) tax developments may affect us directly or indirectly through the cost of, the demand for or profitability of our products or
services; (xix) the possibility that the actions and initiatives of the federal and state governments, 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; (xx) regulatory
developments or actions may harm our business; (xxi) legal actions could adversely affect our business or reputation; (xxii) potential future material losses
from our discontinued reinsurance business; (xxiii) changes in accounting standards; (xxiv) the potential effect of a material weakness in our internal control
over financial reporting on the accuracy of our reported financial results; (xxv) the expected benefits of the reverse stock split may not be realized or
maintained; and (xxvi) other risks and uncertainties described herein or in any of our filings with the SEC.
This information is provided as of June 30, 2012. 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
Web site, www.phoenixwm.com in the Investor Relations section. 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.
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
Web site, www.phoenixwm.com in the Investor Relations section. 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
Summary
Total Invested Assets
Historical Portfolio Ratings
Bond Portfolio Detail
Eurozone Exposure
Alternative Asset Detail
Realized Credit Impairment Losses
Unrealized Gains/Losses
Structured Securities Portfolio
Residential Mortgage-Backed Securities (RMBS)
Commercial Mortgage-Backed Securities (CMBS)
Collateralized Debt Obligations (CDO) Holdings
Appendix:
Phoenix Life Insurance Company (PLIC) Closed Block
Page(s)
4
5
6
7 - 8
9
10
11
12
13
14 - 17
18 - 19
20
21 - 24
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
> Approximately 92% of bond investments are investment grade. Emphasis is on liquidity with 70% of
bonds invested in public securities
bonds invested 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 $746 million versus $538 million at year-end 2011
> Residential mortgage-backed securities (RMBS) exposure is high quality and diversified. Exposure is
concentrated in agency and non agency prime-rated securities
concentrated in agency and non agency prime-rated securities
> 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 credit default swap (CDS) exposure
> Limited Eurozone exposure
As of June 30, 2012
5
Portfolio comprised
primarily of fixed income securities
primarily of fixed income securities
Bonds $12,335
77%
Policy Loans $2,362
15%
Cash & Cash Equivalents $249 2%
Private Equity $256 2%
Common Stock/Direct Equity $69 0%
Mezzanine Funds $196 1%
Limited Partnerships &
Other Invested Assets $414 3%
Total Invested Assets: $15.9 Billion
$ in millions
Market value as of June 30, 2012
6
High quality portfolio
Percentages based on GAAP Value
As of June 30, 2012
|
|
As of
Dec. 31, 2009
|
As of
Dec. 31, 2010
|
As of
Dec. 31, 2011
|
As of
June 30, 2012
|
|
Investment Grade Bonds
|
89.2%
|
91.3%
|
91.9%
|
91.6%
|
|
Below Investment Grade (BIG) Bonds
|
10.8
|
8.7
|
8.1
|
8.4
|
|
Percentage of BIG in NAIC 3
|
57.9
|
49.5
|
58.8
|
60.6
|
|
Percentage of BIG in NAIC 4-6
|
42.1
|
50.5
|
41.2
|
39.4
|
|
Corporate
|
|
|
|
|
|
Investment Grade
|
89.6
|
91.2
|
92.1
|
90.9
|
|
Below Investment Grade
|
10.4
|
8.8
|
7.9
|
9.1
|
|
Structured
|
|
|
|
|
|
Investment Grade
|
88.6
|
91.3
|
91.5
|
93.2
|
|
Below Investment Grade
|
11.4
|
8.7
|
8.5
|
6.8
|
7
RMBS 5%
CMBS 3%
$ in millions
Market value as of June 30, 2012
1 Includes $195.2 million of Home Equity Asset Backed Securities also included in the RMBS exhibits
2 Includes $27.4 million of CMBS CDOs also included in the CMBS exhibits
Bond portfolio diversified by sector
U.S. Corporate
65%
Foreign Corporate 9%
ABS 5%
Emerging Markets 4%
Below Investment Grade (BIG) Bonds
by Sector
|
As of June 30, 2012
|
Market
Value |
% of Total |
|
Industrials
|
$3,028.9
|
24.6
|
|
Residential MBS1
|
2,016.1
|
16.3
|
|
Foreign Corporates
|
1,848.7
|
15.0
|
|
Financials
|
1,657.6
|
13.4
|
|
Commercial MBS
|
1,032.9
|
8.4
|
|
U.S. Treasuries / Agencies
|
956.3
|
7.8
|
|
Utilities
|
628.5
|
5.1
|
|
Asset Backed Securities
|
483.1
|
3.9
|
|
Municipals
|
322.2
|
2.6
|
|
CBO/CDO/CLO2
|
234.5
|
1.9
|
|
Emerging Markets
|
126.5
|
1.0
|
|
Total
|
$12,335.3
|
|
Bonds by Rating
NAIC 1
57.0%
NAIC 2
34.6%
NAIC 3 & Lower
(BIG)
(BIG)
8.4%
CDO/CLO 9%
8
Top 10 debt securities
|
Issuer
|
Market Value
|
% of
AFS Debt
Securities |
Issuer Rating
|
|
Berkshire Hathaway Inc.
|
$65.1
|
0.5%
|
Aa2/AA+
|
|
Bank of America Corp
|
60.6
|
0.5
|
Baa2/A-
|
|
AT&T Corporation
|
41.8
|
0.3
|
A2/A-
|
|
Riverside Health System
|
40.3
|
0.3
|
Aa3/AA-
|
|
General Electric
|
38.9
|
0.3
|
Aa3/AA+
|
|
Lowe’s Cos Inc
|
37.0
|
0.3
|
A3/A-
|
|
Wells Fargo
|
35.8
|
0.3
|
A2/A+
|
|
Walgreens
|
35.8
|
0.3
|
A3/A
|
|
Citigroup
|
34.9
|
0.3
|
Baa2/A-
|
|
BB&T Corporation
|
31.8
|
0.3
|
A2/A-
|
$ in millions
As of June 30, 2012
9
Modest Eurozone exposure
|
|
Sovereign
|
Financial
Institutions |
All Other
|
Total
|
% of AFS Debt
Securities |
|
Spain
|
-
|
$11.7
|
$48.0
|
$59.7
|
0.5%
|
|
Ireland
|
-
|
5.3
|
42.3
|
47.6
|
0.4
|
|
Italy
|
-
|
-
|
17.4
|
17.4
|
0.1
|
|
Portugal
|
-
|
-
|
13.9
|
13.9
|
0.1
|
|
Greece
|
-
|
-
|
-
|
-
|
-
|
|
Total
|
-
|
$17.0
|
$121.6
|
$138.6
|
1.1%
|
|
All Other Eurozone1
|
-
|
56.6
|
194.7
|
251.3
|
2.0
|
|
Total
|
-
|
$73.6
|
$316.3
|
$389.9
|
3.1%
|
$ in millions
1 Includes Belgium, Finland, France, Germany, Luxembourg and Netherlands
Market value as of June 30, 2012
10
Strong alternative asset returns
|
|
6/30/2012
Asset
Balance
|
2Q 2012
Net Investment
Income |
|
Private Equity
|
$255.8
|
$14.0
|
|
Mezzanine Funds
|
196.1
|
9.8
|
|
Infrastructure Funds
|
36.3
|
(1.1)
|
|
Hedge Fund of Funds
|
30.0
|
-
|
|
Direct Equity
|
26.7
|
0.9
|
|
Leveraged Lease
|
19.9
|
0.2
|
|
Mortgage & Real Estate Funds
|
6.7
|
(0.5)
|
|
Other Alternative Assets
|
47.0
|
2.0
|
|
|
$618.5
|
$25.3
|
$ in millions
As of June 30, 2012
11
Credit impairments lower than
expectations
expectations
GAAP Impairments
|
|
2Q11
|
3Q11
|
4Q11
|
1Q12
|
2Q12
|
|
Prime RMBS
|
$0.6
|
$0.8
|
$2.0
|
$1.3
|
-
|
|
Alt-A RMBS
|
0.2
|
0.4
|
2.2
|
2.7
|
2.3
|
|
Subprime RMBS
|
1.9
|
0.9
|
-
|
1.1
|
-
|
|
CLO/CDO
|
-
|
1.2
|
0.7
|
-
|
0.1
|
|
CMBS
|
-
|
2.5
|
1.1
|
0.2
|
1.0
|
|
Corporate
|
0.2
|
2.6
|
1.7
|
0.6
|
-
|
|
Other ABS/MBS
|
0.1
|
-
|
0.9
|
0.3
|
0.2
|
|
Total Credit Impairments
|
$3.0
|
$8.4
|
$8.6
|
$6.2
|
$3.6
|
|
Equity
|
-
|
-
|
-
|
-
|
1.5
|
|
Total Impairments
|
$3.0
|
$8.4
|
$8.6
|
$6.2
|
$5.1
|
$ in millions
12
Portfolio in a gain position
$ in millions
1 Market value of $234.5 million includes $27.4 million of CMBS CDOs
2 All Other - Corporate, RMBS Agency, Other ABS, Foreign, US Government
|
|
12/31/11
Unrealized
|
6/30/12
Unrealized
|
6/30/12
Invested Assets |
|
RMBS Prime
|
$(9.1)
|
$(2.0)
|
$426.0
|
|
Subprime/Alt-A
|
(64.7)
|
(49.0)
|
442.4
|
|
CDO/CLO1
|
(43.6)
|
(37.8)
|
234.5
|
|
CMBS
|
33.2
|
50.4
|
1,032.9
|
|
Financial
|
(22.5)
|
33.8
|
1,657.7
|
|
All Other High Yield
|
(5.3)
|
12.6
|
598.6
|
|
All Other2
|
650.2
|
738.4
|
7,943.2
|
|
Total
|
$538.2
|
$746.4
|
$12,335.3
|
13
High quality
structured securities portfolio
structured securities portfolio
> Structured portfolio is 93.3% investment grade
> RMBS (48.4%) and CMBS (27.4%) dominate the structured portfolio
AAA
62.5%
B or less - 3.3%
BBB - 9.3%
AA - 6.7%
A - 14.8%
BB - 3.4%
$ in millions
Market value as of June 30, 2012, Quality rating breakdown based on NAIC ratings
1 Includes $27.4 million of CMBS CDOs
|
As of June 30, 2012
|
Market Value |
% of Total
|
|
Residential MBS
|
$1,820.9
|
48.4
|
|
Commercial MBS
|
1,032.9
|
27.4
|
|
Other ABS
|
244.6
|
6.5
|
|
CBO/CDO/CLO1
|
234.5
|
6.2
|
|
Home Equity
|
195.2
|
5.2
|
|
Auto Loans
|
106.9
|
2.8
|
|
Aircraft Equipment Trust
|
92.9
|
2.5
|
|
Manufactured Housing
|
38.7
|
1.0
|
|
Total
|
$3,766.6
|
|
14
High quality, diversified RMBS portfolio
$ in millions
Market value as of June 30, 2012
|
Rating |
Book
Value |
Market
Value |
% General
Account |
NAIC 1 |
NAIC 2 |
NAIC 3 |
NAIC 4 |
NAIC 5 |
NAIC 6 |
|
Agency
|
$1,067.1
|
$1,147.7
|
7.2%
|
100.0 % |
-
|
-
|
-
|
-
|
-
|
|
Prime
|
428.0
|
426.0
|
2.7
|
84.6
|
10.4%
|
4.6%
|
-
|
0.2%
|
0.2%
|
|
Alt-A
|
327.7
|
299.8
|
1.9
|
55.6
|
31.8
|
6.5
|
2.6%
|
3.3
|
0.2
|
|
Subprime
|
163.7
|
142.6
|
0.9
|
80.3
|
4.0
|
9.5
|
4.1
|
1.8
|
0.3
|
|
Total
|
$1,986.5
|
$2,016.1
|
12.7%
|
88.7%
|
7.2%
|
2.6%
|
0.7%
|
0.7%
|
0.1%
|
15
High quality, seasoned
non-agency prime RMBS holdings
non-agency prime RMBS holdings
> $426.0 million market value
> 85% NAIC 1 rated
> 82% 2005 and prior origination
> 94% fixed rate vs. 46% for the market
> Phoenix 60+ day delinquent 9.2% vs.
13.5% for the prime RMBS market
13.5% for the prime RMBS market
$ in millions
As of June 30, 2012
Source: JPM MBS Research
16
Well constructed
non-agency prime RMBS portfolio
non-agency prime RMBS portfolio
As of June 30, 2011
Source: JP Morgan MBS Research - June 2012, Bloomberg
Market Phoenix
Weighted average credit enhancement 3.52% 9.9%
Weighted average 60+ day delinquent loan 13.5% 9.2%
Phoenix prime portfolio loss coverage: using 40% loss severity 0.65x 2.69x
17
Seasoned
non-agency Alt-A RMBS holdings
non-agency Alt-A RMBS holdings
> $299.8 million market value
> 87% rated investment grade
> 81% 2005 and prior originations
> 100% fixed rate collateral vs. 35% for
market
market
> Phoenix 60+ day delinquent 16.3% vs.
26.2% for Alt-A market
26.2% for Alt-A market
$ in millions
Market value as of June 30, 2012
Source: JPM MBS Research
18
Highly rated, seasoned
CMBS portfolio
CMBS portfolio
> $1.1 billion in market value
> $93.1 million or 8.78% Government
guaranteed
guaranteed
> 94% rated NAIC 1 and 4.4% rated
NAIC 3 and below
NAIC 3 and below
> 55% 2005 and prior origination
> 2.6% in CMBS CDO’s
Market value as of June 30, 2012
Percentages based on market value
$ in millions
19
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 |
29%
|
30%
|
|
Weighted average credit
enhancement (U.S. Treasury defeasance adjusted) |
30%
|
34%
|
|
Interest Only (I/O) loans
|
70%
|
40%
|
|
Weighted average coupon
|
5.7%
|
6.0%
|
|
Weighted average loan age
|
74 months
|
81 months
|
|
60+ Delinquency Rate
|
8.3%
|
5.1%
|
As of June 30, 2012
1Sources: Barclays CMBS Index, Trepp, Bloomberg
20
Diversified CDO holdings
$ in millions
No affiliated CDO holdings as of June 30, 2012
Percentages based on market value
|
Collateral |
Book
Value |
Market
Value |
% General
Account |
NAIC 1 |
NAIC 2 |
NAIC 3 |
NAIC 4 |
NAIC 5 |
NAIC 6 |
|
Bank Loans
|
$228.0
|
$203.6
|
1.3%
|
44.8%
|
15.5%
|
19.8%
|
3.8%
|
3.2%
|
12.9%
|
|
Inv Grade Debt
|
4.0
|
3.5
|
-
|
-
|
100.0
|
-
|
-
|
-
|
-
|
|
CMBS
|
40.3
|
27.4
|
0.2
|
35.1
|
15.1
|
12.2
|
-
|
37.6
|
-
|
|
Total
|
$272.3
|
$234.5
|
1.5%
|
43.0%
|
16.7%
|
18.6%
|
3.3%
|
7.2%
|
11.2%
|
21
Appendix
22
PLIC Closed Block investments
primarily fixed income
primarily fixed income
Bonds $6,379
79%
Policy Loans $1,258
16%
Cash & Cash Equivalents $35 0%
Common Stock/Direct Equity $28 0%
Mezzanine Funds $91 1%
Limited Partnerships &
Other Invested Assets $40 1%
Private Equity $239 3%
Invested Assets: $8.1 Billion
$ in millions
Market value as of June 30, 2012
23
PLIC Closed Block
portfolio high quality
portfolio high quality
Percentages based on GAAP Value
As of June 30, 2012
|
|
2Q11
|
3Q11
|
4Q11
|
1Q12
|
2Q12
|
|
Investment Grade Bonds
|
92.9%
|
93.3%
|
92.6%
|
91.9%
|
91.7%
|
|
Below Investment Grade (BIG) Bonds
|
7.1
|
6.7
|
7.4
|
8.1
|
8.3
|
|
Percentage of BIG in NAIC 3
|
62.1
|
64.3
|
62.8
|
63.4
|
63.4
|
|
Percentage of BIG in NAIC 4-6
|
37.9
|
35.7
|
37.2
|
36.6
|
36.6
|
|
Public Bonds
|
66.5
|
65.6
|
65.1
|
65.4
|
64.7
|
|
Private Bonds
|
33.5
|
34.4
|
34.9
|
34.6
|
35.3
|
24
PLIC Closed Block
portfolio diversified
portfolio diversified
U.S. Corporate
71%
Foreign Corporate
10%
ABS - 3%
$ in millions
Market value as of June 30, 2012
1 Includes $27.6 million of Home Equity Asset Backed Securities
2 Includes $18.4 million of CMBS CDOs
Below Investment Grade (BIG) Bonds
by Sector
|
Phoenix Closed Block
Bond Portfolio
|
|
|
|
As of June 30, 2012 |
Market
Value |
% of Total |
|
Industrials
|
$1,799.9
|
28.2
|
|
Foreign Corporates
|
1,070.7
|
16.8
|
|
Financials
|
934.1
|
14.6
|
|
Residential MBS1
|
796.3
|
12.5
|
|
Commercial MBS
|
496.8
|
7.8
|
|
U.S. Treasuries / Agencies
|
450.4
|
7.0
|
|
Utilities
|
374.7
|
5.9
|
|
Municipals
|
158.4
|
2.5
|
|
Asset Backed Securities
|
145.9
|
2.3
|
|
Emerging Markets
|
77.5
|
1.2
|
|
CBO/CDO/CLOs2
|
74.4
|
1.2
|
|
Total
|
$6,379.1
|
|
Bonds by Rating
NAIC 1
53.5%
NAIC 2
38.2%
NAIC 3 & Lower
8.3%
RMBS - 4%
CLO/CDO - 5%
Emerging Markets -
5%
5%
25