EX-99.2 3 exhibit99-2.htm SUPPLEMENTAL INVESTOR PACKAGE, FIRST QUARTER 2009

exhibit99-2.htm

Exhibit 99.2

Supplemental Investor Package

First Quarter 2009

Investor Contact:

Jennifer DiBerardino

Vice President, Investor Relations

Tel:  973-948-1364

jennifer.diberardino@selective.com

SELECTIVE INSURANCE GROUP, INC.
FIRST QUARTER 2009 INVESTOR PACKET
TABLE OF CONTENTS
Earnings Press Release		2
Selected Balance Sheet Data		7
Selected Income Statement Data		8
Quarterly Investment Income		9
Statutory Combined Ratio Summary by LOB Quarter		10
Consolidated Balance Sheets		11
Consolidated Statements of Income		12
Consolidated Statements of Stockholder’s Equity		13
Consolidated Statements of Cash Flow		14
Statutory Balance Sheets		15
Statutory Statements of Income		16
Investment Portfolio – Appendix
	Municipal Fixed Income Portfolio Exhibit	17
	Ratings on Municipal Fixed Income Portfolio Exhibit	18
	Structured Securities Chart	19
	Structured Securities Ratings Migration	20
	RMBS & RABS Chart	21
	RMBS & RABS by Vintage Year Exhibit	22
	RMBS and RABS by Type Exhibit	23
	RMBS & RABS Ratings Migrations	24
	CMBS Chart	25
	CMBS by Vintage Year Exhibit	26
	CMBS by Type Exhibit	27
	CMBS Ratings Migration	28
	2007 Vintage CMBS Chart	29
	2007 Vintage CMBS Exhibit	30
	2005 & 2006 Vintage CMBS Exhibit	31
	2005 & 2006 Vintage CMBS Exhibit	32
	Alt-A RMBS Chart	33
	Alt-A by Vintage Year Exhibit	34
	Fixed Income Government & Agency Exposure Exhibit	35
	Fixed Maturities Severity & Duration of Unrealized/Unrecognized Losses Exhibit	36
	Credit Quality of AFS Securities Exhibit	37
	Credit Quality of HTM Securities Exhibit	38

Selective Insurance Group, Inc.
Selected Balance Sheet Data (unaudited)
($ in thousands, except per share amounts)
		March 31,					March 31,					December 31,
		2009					2008					2008
				Unrecognized/					Unrecognized/					Unrecognized/
		Balance	Market	Unrealized			Balance	Market	Unrealized			Balance	Market	Unrealized
		Sheet	Value	Gain/(Loss)			Sheet	Value	Gain/(Loss)			Sheet	Value	Gain/(Loss)
Invested Assets:
Corporate bonds1,2	$	1,053,477	1,047,586	(97,934)		$	1,251,910	1,251,913	(26,416)		$	1,024,179	1,024,181	(124,294)
Gov't\ Municipal bonds2		2,072,518	2,059,462	59,158			1,774,064	1,774,186	31,862			2,011,262	2,011,275	35,240
Total bonds		3,125,995	3,107,048	(38,776)			3,025,974	3,026,099	5,446			3,035,441	3,035,456	(89,054)
Equities		94,472	94,472	(5,226)			232,787	232,787	85,613			132,131	132,131	6,184
Short-term investments		271,277	271,277	-			212,616	212,616	-			198,111	198,111	-
Trading securities		-	-	-			23,148	23,148	5,861			2,569	2,569	(1,216)
Other investments		153,337	153,337	(16,192)			197,097	197,097	26,109			172,057	172,057	(5,585)
Total invested assets		3,645,081	3,626,134	(60,194)			3,691,622	3,691,747	123,029			3,540,309	3,540,324	(89,671)
Invested assets per $ of stockholders' equity		4.00					3.53					3.98
Total assets		5,001,933					4,970,486					4,941,332
Liabilities:
Reserve for losses		2,273,947					2,199,024					2,256,329
Reserve for loss expenses		390,890					368,274					384,644
Unearned premium reserve		856,823					850,494					844,334
Total liabilities		4,091,798					3,924,794					4,050,839
Stockholders' equity		910,135					1,045,692					890,493
Total debt to capitalization ratio		23.1%					21.5%					23.5%
Adjusted total debt to capitalization ratio 3		16.7%					15.0%					17.0%
Book value per share		17.23					19.62					16.84
Book value per share excluding
FAS 115 unrealized gain or loss on bond portfolio		17.47					19.55					17.94
NPW per insurance segment employee		783					823					797
Statutory premiums to surplus ratio		1.8x					1.5x					1.7x
Statutory surplus		849,985					1,016,282					884,431
1 Includes mortgage-backed and asset backed securities.
2 Certain prior year amounts were reclassified to conform with currrent year presentation.
3 The adjusted debt to capitalization ratio reflects a reduction in debt for amounts held in an irrevocable trust for the benefit of senior note holders as well as the median rating agency equity treatment of 75% applied to our $100 million Junior Subordinated Notes issued September 25, 2006.

Selective Insurance Group, Inc.
Selected Income Statement Data (unaudited)
March 2009			THREE MONTHS ENDED MARCH 31,
($ in thousands, except per share amounts)			2009					2008
					Per diluted share					Per diluted share
Consolidated
	Revenue	$	369,565			$		439,047
	Operating income		2,739		0.05			19,518		0.36
	Net realized (losses) gains, after tax		(15,616	)	(0.30	)		985		0.02
	Net (loss) income		(12,877	)	(0.25	)		20,503		0.38
	Operating return on equity		1.2%					7.4%
Insurance Operations
	Gross premiums written		436,441					443,979
	Net premiums written		375,783					391,954
	Net premiums earned		363,873					383,387
	Underwriting (loss) profit - before tax		(2,963	)				1,799
	- after tax		(1,926	)	(0.04	)		1,169		0.02
	GAAP combined ratio		100.8%					99.5%
Commercial lines
	Net premiums earned		311,545					332,091
	GAAP combined ratio		100.1%					98.3%
Personal lines
	Net premiums earned		52,328					51,296
	GAAP combined ratio		105.3%					107.3%
Investments
	Net investment income - before tax		15,717					37,866
	- after tax		15,141		0.29			29,371		0.55
	Effective tax rate		3.7%					22.4%
	Annual after-tax yield on investment portfolio		1.7%					3.2%
	Annual after-tax, after-interest expense yield		1.3%					2.8%
	Invested assets per $ of stockholders' equity		4.00					3.53
Human Resource Administration Outsourcing
	Annual gross billings		917,256					988,002
	Revenue		12,719					15,118
	Income - after tax		73		0.00			507		0.01
	Return on revenue		0.6%					3.4%
	Worksite lives		20,381					24,017
Other expenses (net of other income)
	Interest expense - before tax		(5,024	)				(5,309	)
	- after tax		(3,266	)	(0.06	)		(3,451	)	(0.06)
	Other - after tax	$	(7,283	)	(0.14	)	$	(8,078	)	(0.16)
Diluted weighted avg shares outstanding			52,352					53,882

Selective Insurance Group, Inc. and Consolidated Subsidiaries
Quarterly
GAAP Investment Income (unaudited)
($ in thousands)
				For the three months ended								%
				March				March				Increase
				2009				2008				(Decrease)
Investment Income:
	Interest:
	Fixed Maturity Securities				36,261				36,406				(0.4	)
	Short-term				612				1,437				(57.4	)
	Alternative Investments				(20,549	)			1,833				N/M
	Dividends				515				1,159				(55.6	)
	Change in Fair Value				262				(1,888	)			113.9
	Miscellaneous				172				74				132.4
					17,273				39,021				(55.7	)
Investment Expense					1,556				1,155				34.7
Net Investment Income Before Tax					15,717				37,866				(58.5	)
Tax					576				8,495				(93.2	)
Net Investment Income After Tax				$	15,141				29,371				(48.4	)
Net Investment Income per Share					0.29				0.55				(47.3	)
Effective Tax Rate					3.7	%			22.4	%
Average Yields:
Fixed Maturity Securities
	Pre Tax				4.3	%			4.6	%
	After Tax				3.4	%			3.6	%
Portfolio
	Pre Tax				1.7	%			4.1	%
	After Tax				1.7	%			3.2	%

			Year to Date
			March		March
Net Realized Gains (Losses)			2009		2008
	Fixed Maturities Gains		$4,533		$543
	Fixed Maturities Losses		(28,368	)	(1,154	)
	Total Fixed Maturities		(23,835	)	(611	)
	Equity Securities Gains		19,663		2,597
	Equity Securities Losses		(19,853	)	(471	)
	Total Equity Securities		(190	)	2,126
	Total		(24,025	)	1,515
	Net of Tax		(15,616	)	985
	(1)	Certain prior year amounts were reclassified to conform with current year presentation.

Selective Insurance Group, Inc.
2009 Statutory Results by Line of Business
March 2009 YTD (unaudited)
($ in thousands)
		Net Premiums Written				Percent Change				Net Premiums Earned				Percent Change				Loss Ratio				LAE Ratio				Underwriting Expense Ratio				Dividends to Policyholders Ratio				Combined Ratio 2009				Combined Ratio 2008				Underwriting Gain/(Loss)
Personal Lines:
Homeowners																																														$	15,351				8.8	%		$	17,106				3.2	%			84.1	%			8.7	%			37.4	%			0.0	%			130.2	%			111.8	%		$	(4,508	)
Auto			32,639				(2.8	)%			32,852				0.8	%			56.3	%			13.8	%			30.5	%			0.0	%			100.6	%			113.4	%		$	(134	)
Other (including flood)			2,352				13.6	%			2,371				11.9	%			75.7	%			(10.9	)%			(31.4	)%			0.0	%			33.4	%			1.1	%			1,573
Total		$	50,342				1.2	%		$	52,328				2.0	%			66.3	%			11.0	%			29.7	%			0.0	%			107.0	%			107.8	%		$	(3,069	)
Commercial Lines:
Fire/IM		$	50,234				4.1	%		$	48,885				(2.1	)%			59.5	%			4.8	%			37.3	%			(0.6	)%			101.0	%			96.6	%		$	(995	)
Workers compensation			72,176				(10.1	)%			70,377				(10.3	)%			51.5	%			14.6	%			24.6	%			1.8	%			92.5	%			94.5	%			4,836
General liability			99,804				(10.3	)%			94,224				(8.8	)%			54.0	%			18.2	%			32.5	%			(0.3	)%			104.4	%			97.1	%			(5,927	)
Auto			79,859				(0.4	)%			75,846				(4.3	)%			60.6	%			7.2	%			28.6	%			(0.3	)%			96.1	%			100.1	%			1,772
BOP			16,377				7.8	%			15,210				7.6	%			71.8	%			12.2	%			33.8	%			0.0	%			117.8	%			105.1	%			(3,099	)
Bonds			4,339				(4.3	)%			4,623				(3.2	)%			23.1	%			4.9	%			59.4	%			0.0	%			87.4	%			81.1	%			750
Other			2,652				7.9	%			2,380				4.4	%			(2.1	)%			0.8	%			43.1	%			0.0	%			41.8	%			47.9	%			1,268
Total		$	325,441				(4.9	)%		$	311,545				(6.2	)%			55.9	%			12.0	%			31.1	%			0.1	%			99.1	%			96.9	%		$	(1,394	)
Grand Total		$	375,783				(4.1	)%		$	363,873				(5.1	)%			57.4	%			11.9	%			30.8	%			0.1	%			100.2	%			98.3	%		$	(4,463	)
Note: Some amounts may not foot due to rounding.
						2009				2008
		Losses Paid				$	195,792			$	188,840
		LAE Paid					36,685				34,461
		Total Paid				$	232,477			$	223,301

SELECTIVE INSURANCE GROUP, INC.		Unaudited
CONSOLIDATED BALANCE SHEETS		March 31,				December 31,
($ in thousands, except share amounts)		2009				2008
ASSETS
Investments:
Fixed maturity securities, held-to-maturity – at amortized cost
(fair value of:  $1,867,519 – 2009; $1,178 – 2008)		$	1,886,466				1,163
Fixed maturity securities, available-for-sale – at fair value
(amortized cost of:  $1,265,228 – 2009; $3,123,346 – 2008)			1,239,529				3,034,278
Equity securities, available-for-sale – at fair value
(cost of:   $99,698 – 2009; $125,947 – 2008)			94,472				132,131
Short-term investments – at cost which approximates fair value			271,277				198,111
Equity securities, trading – at fair value			-				2,569
Other investments			153,337				172,057
Total investments			3,645,081				3,540,309
Cash and cash equivalents			12,631				18,643
Interest and dividends due or accrued			35,555				36,538
Premiums receivable, net of allowance for uncollectible
accounts of:  $5,251 – 2009; $4,237 – 2008			483,237				480,894
Other trade receivables, net of allowance for uncollectible
accounts of:  $306 – 2009; $299 – 2008			21,799				19,461
Reinsurance recoverable on paid losses and loss expenses			5,262				6,513
Reinsurance recoverable on unpaid losses and loss expenses			228,303				224,192
Prepaid reinsurance premiums			97,196				96,617
Current federal income tax			2,483				26,327
Deferred federal income tax			140,484				146,801
Property and equipment – at cost, net of accumulated
depreciation and amortization of:  $135,712 – 2009; $132,609 – 2008			49,706				51,697
Deferred policy acquisition costs			213,669				212,319
Goodwill			29,637				29,637
Other assets			36,890				51,384
Total assets		$	5,001,933				4,941,332
LIABILITIES AND STOCKHOLDERS’ EQUITY
Liabilities:
Reserve for losses		$	2,273,947				2,256,329
Reserve for loss expenses			390,890				384,644
Unearned premiums			856,823				844,334
Notes payable			273,885				273,878
Commissions payable			31,653				48,560
Accrued salaries and benefits			125,139				147,050
Other liabilities			139,461				96,044
Total liabilities			4,091,798				4,050,839
Stockholders' Equity:
Preferred stock of $0 par value per share: Authorized shares:  5,000,000; no shares issued or outstanding
Common stock of $2 par value per share:
Authorized shares:  360,000,000
Issued:  95,376,045 – 2009; 95,263,508 – 2008			190,752				190,527
Additional paid-in capital			221,835				217,195
Retained earnings			1,108,335				1,128,149
Accumulated other comprehensive income			(63,420	)			(100,666	)
Treasury stock – at cost (shares:  42,556,303 – 2009;  42,386,921 – 2008)			(547,367	)			(544,712	)
Total stockholders' equity			910,135				890,493
Commitments and contingencies
Total liabilities and stockholders' equity		$	5,001,933				4,941,332

SELECTIVE INSURANCE GROUP, INC.
UNAUDITED CONSOLIDATED STATEMENTS OF INCOME		Quarters ended
		March 31,
($ in thousands, except per share amounts)		2009				2008
Revenues:
Net premiums written		$	375,783				391,954
Net increase in unearned premiums and prepaid reinsurance premiums			(11,910	)			(8,567	)
Net premiums earned			363,873				383,387
Net investment income earned			15,717				37,866
Net realized (losses) gains			(24,025	)			1,515
Other income			14,000				16,279
Total revenues			369,565				439,047
Expenses:
Losses incurred			209,089				210,130
Loss expenses incurred			43,105				42,946
Policy acquisition costs			113,106				127,677
Dividends to policyholders			465				535
Interest expense			5,024				5,309
Other expenses			19,698				25,848
Total expenses			390,487				412,445
(Loss) income before federal income tax			(20,922	)			26,602
Federal income tax (benefit) expense:
Current			5,694				11,135
Deferred			(13,739	)			(5,036	)
Total federal income tax (benefit) expense			(8,045	)			6,099
Net (loss) income		$	(12,877	)			20,503
Earnings per share:
Basic net (loss) income		$	(0.25	)			0.39
Diluted net (loss) income		$	(0.25	)			0.38
Dividends to stockholders		$	0.13				0.13

SELECTIVE INSURANCE GROUP, INC.
UNAUDITED CONSOLIDATED STATEMENTS OF
STOCKHOLDERS’ EQUITY
				Quarters ended March 31,
($ in thousands, except per share amounts)				2009								2008
Common stock:
Beginning of year				$	190,527								189,306
Dividend reinvestment plan
(shares: 36,670 – 2009; 19,298 – 2008)					73								38
Convertible debentures
(shares: 45,759 – 2008)					-								92
Stock purchase and compensation plans
(shares: 75,867 – 2009; 133,339 – 2008)					152								267
End of period					190,752								189,703
Additional paid-in capital:
Beginning of year					217,195								192,627
Dividend reinvestment plan					373								429
Convertible debentures					-								645
Stock purchase and compensation plans					4,267								10,088
End of period					221,835								203,789
Retained earnings:
Beginning of year					1,128,149								1,105,946
Cumulative-effect adjustment due to adoption of FAS 159,
net of deferred income tax effect of $3,344					-								6,210
Net (loss) income					(12,877	)			(12,877	)			20,503				20,503
Cash dividends to stockholders ($0.13 per share – 2009;
$0.13 per share – 2008)					(6,937	)							(7,062	)
End of period					1,108,335								1,125,597
Accumulated other comprehensive (loss) income:
Beginning of year					(100,666	)							86,043
Cumulative-effect adjustment due to adoption of FAS 159,
net of deferred income tax effect of $(3,344)					-								(6,210	)
Other comprehensive income (loss) increase (decrease) in:
Net unrealized gains (losses) on investment securities,
net of deferred income tax effect of
$20,152 – 2009, $(14,357) – 2008					37,425				37,425				(26,663	)			(26,663	)
Defined benefit pension plans, net of deferred income tax effect of
$(97) – 2009; $19 – 2008					(179	)			(179	)			35				35
End of period					(63,420	)							53,205
Comprehensive income (loss)									24,369								(6,125	)
Treasury stock:
Beginning of year					(544,712	)							(497,879	)
Acquisition of treasury stock
(shares: 169,382 – 2009; 1,196,663 – 2008)					(2,655	)							(28,723	)
End of period					(547,367	)							(526,602	)
Total stockholders’ equity				$	910,135								1,045,692

SELECTIVE INSURANCE GROUP, INC.
UNAUDITED CONSOLIDATED STATEMENTS OF CASH FLOW	Quarters ended March 31,
($ in thousands)	2009		2008

Operating Activities
Net (loss) income		$	(12,877	)			20,503
Adjustments to reconcile net (loss) income to net cash provided by operating activities:
Depreciation and amortization			6,788				7,129
Stock-based compensation expense			3,238				8,896
Undistributed losses of equity method investments			20,549				980
Net realized losses (gains)			24,025				(1,515	)
Postretirement life curtailment benefit			(4,217	)			-
Deferred tax benefit			(13,739	)			(5,036	)
Unrealized (gain) loss on trading securities			(262	)			1,888
Changes in assets and liabilities:
Increase in reserves for losses and loss expenses, net of reinsurance recoverable
on unpaid losses and loss expenses			20,019				29,598
Increase in unearned premiums, net of prepaid reinsurance and advance premiums			11,497				8,295
Decrease/increase in net federal income tax recoverable/payable			23,844				9,854
Increase in premiums receivable			(2,343	)			(185	)
Increase in other trade receivables			(2,338	)			(618	)
(Increase) Decrease in deferred policy acquisition costs			(1,350	)			876
Decrease in interest and dividends due or accrued			1,012				1,033
Decrease in reinsurance recoverable on paid losses and loss expenses			1,251				122
Decrease in accrued salaries and benefits			(16,211	)			(11,724	)
Decrease in accrued insurance expenses			(14,221	)			(24,950	)
Purchase of trading securities			-				(4,530	)
Sale of trading securities			2,831				4,696
Other-net			7,424				641
Net adjustments			67,797				25,450
Net cash provided by operating activities			54,920				45,953
Investing Activities
Purchase of fixed maturity securities, held-to-maturity			(50,408	)			-
Purchase of fixed maturity securities, available-for-sale			(216,000	)			(77,944	)
Purchase of equity securities, available-for-sale			(60,100	)			(7,212	)
Purchase of other investments			(4,620	)			(15,506	)
Purchase of short-term investments			(601,637	)			(341,234	)
Sale of fixed maturity securities, available-for-sale			168,019				30,452
Sale of short-term investments			528,471				318,696
Redemption and maturities of fixed maturity securities, held-to-maturity			34,097				1,492
Redemption and maturities of fixed maturity securities, available-for-sale			51,666				79,566
Sale of equity securities, available-for-sale			86,318				6,995
Proceeds from other investments			14,499				2,609
Purchase of property and equipment			(1,360	)			(1,825	)
Net cash used in investing activities			(51,055	)			(3,911	)
Financing Activities
Dividends to stockholders			(6,955	)			(6,572	)
Acquisition of treasury stock			(2,655	)			(28,723	)
Net proceeds from stock purchase and compensation plans			885				2,196
Excess tax benefits from share-based payment arrangements			(1,152	)			1,265
Principal payments of convertible debt			-				(8,754	)
Net cash used in financing activities			(9,877	)			(40,588	)
Net (decrease) increase in cash and cash equivalents			(6,012	)			1,454
Cash and cash equivalents, beginning of year			18,643				8,383
Cash and cash equivalents, end of period		$	12,631				9,837

Supplemental Disclosures of Cash Flow Information

Cash paid (received) during the year for:
Interest		$	$1,875				1,968
Federal income tax			(17,000	)			-
Supplemental schedule of non-cash financing activity:
Conversion of convertible debentures			-				169

Selective Insurance Group, Inc.
Combined Insurance Company Subsidiaries
Unaudited Statutory Balance Sheets
($ in thousands)
		March 31				December 31
		2009				2008*
ASSETS
Bonds		$	3,112,564				3,104,395
Common stocks			94,472				134,700
Affiliated mortgage loan			39,855				40,000
Other investments			153,634				172,346
Short-term investments			209,957				137,878
Total investments			3,610,482				3,589,319
Cash on hand and in banks			(32,603	)			(36,472	)
Interest and dividends due and accrued			35,716				36,523
Premiums receivable			480,317				476,768
Reinsurance recoverable on paid losses and expenses			5,262				6,513
Federal income tax recoverable			-				12,069
Deferred tax recoverable			88,964				86,208
EDP equipment			3,246				3,815
Equities and deposits in pools and associations			8,220				8,517
Receivable for sold securities			1,355				13,278
Capital contribution receivable			20,000				-
Other assets			26,317				28,719
Total assets		$	4,247,276				4,225,257
LIABILITIES
Reserve for losses		$	2,045,009				2,031,947
Reinsurance payable on paid loss and loss expense			912				716
Reserve for loss expenses			389,245				382,796
Unearned premiums			759,627				747,717
Reserve for commissions payable			31,653				48,560
Ceded balances payable			10,840				8,421
Federal income tax payable			14,515				-
Premium and other taxes payable			23,407				20,721
Reserve for dividends to policyholders			4,134				5,023
Reserves for unauthorized/overdue reinsurance			1,416				1,416
Payable for securities			36,149				-
Funds withheld on account of others			6,210				4,977
Accrued salaries and benefits			57,511				74,287
Other liabilities			16,663				14,245
Total liabilities			3,397,291				3,340,826
POLICYHOLDERS' SURPLUS
Capital			28,325				28,325
Paid in surplus			235,792				235,792
Unassigned surplus			585,868				620,314
Total policyholders' surplus			849,985				884,431
Total liabilities and policyholders' surplus		$	4,247,276				4,225,257
*December 31, 2008 results include a retroactive affiliate transaction involving Selective Insurance Company of America, Selective Insurance Group, Inc., and Wantage Avenue Holding Company, Inc.

Selective Insurance Group, Inc.
Combined Insurance Company Subsidiaries
Unaudited Statutory Statements Of Income
($ in thousands)
		Three Months Ended
						March
UNDERWRITING		2009								2008
Net premiums written		$	375,783								391,953
Net premiums earned			363,873								383,387
Net losses paid			195,792								188,840
Change in reserve for losses			13,062								21,284
Net losses incurred			208,854				57.4	%			210,124				54.8	%
Net loss expenses paid			36,685								34,461
Change in reserve for loss expenses			6,451								8,279
Net loss expenses incurred			43,136				11.9	%			42,740				11.1	%
Net underwriting expenses incurred			115,813				30.8	%			126,486				32.3	%
Total deductions			367,803								379,350
Statutory (loss) gain			(3,930	)							4,037
Net loss from premium balances charged off			(1,334	)							(653	)
Finance charges and other income			1,266								691
Total other (expense) income			(68	)			0.0	%			38				0.0	%
Policyholders' dividends incurred			(465	)			0.1	%			(535	)			0.1	%
Total underwriting (loss) gain			(4,463	)			100.2	%			3,540				98.3	%
INVESTMENT
Net investment income earned			26,054								40,248
Net realized (loss) gain			(24,978	)							3,320
Total (loss) income before income tax			(3,387	)							47,108
Federal income tax expense			9,584								14,694
Net (loss) income		$	(12,971	)							32,414
Policyholders' Surplus
Surplus, beginning of period		$	884,431								1,034,294
Net (loss) income			(12,971	)							32,414
Change in deferred tax			15,052								1,411
Change in unrealized (losses)			(22,061	)							(18,115	)
Dividends to stockholders			(12,003	)							(24,540	)
Paid in surplus			20,000								-
Change in non-admitted assets			(22,463	)							(9,087	)
Surplus adjustments			-								(95	)
Net change in surplus for period			(34,446	)							(18,012	)
Surplus, end of period		$	849,985								1,016,282
Statutory underwriting (loss) gain:		$	(4,463	)							3,540
Adjustments under GAAP:
Deferred policy acquisition costs			1,351								(876	)
Other, net			149								(865	)
GAAP underwriting (loss) gain		$	(2,963	)							1,799
Note: Some amounts or ratios may not foot due to rounding.
Certain amounts have been reclassified to conform to the current year's presentation.

Selective Insurance Group, Inc. and Consolidated Subsidiaries
Municipal Fixed Income Portfolio as of March 31, 2009
($ in millions)
(unaudited)
	Average		Market				% of Total				Unrealized/ Unrecognized
	Credit Rating		Value				Muni Portfolio				Gain/(Loss)
Uninsured Securities	AA+			908				53	%			$26
Securities with Insurance Enhanced1	AA+			807				47	%			22
Without Insurance Enhancement	AA-
Total			$	1,715				100	%			$48

1 Includes $25.7 million of unrated municipal fixed income securities which are considered to be investment grade.

A "BBB-" rating has been applied to these municipal fixed income securities in the interest of conservatism.

Note: Some amounts may not foot due to rounding.

Selective Insurance Group, Inc. and Consolidated Subsidiaries
Ratings on Municipal Fixed Income Portfolio
March 31, 2009
($ in millions)
(unaudited)
	Uninsured Securities (1)		Insurance Enhanced Securities1 (2)		Underlying Rating of Insurance Enhanced Securities1 (3)		Total Municipal Fixed Income Portfolio (with Insurance Enhancement) (1) + (2)		Total Municipal Fixed Income Portfolio (without Insurance Enhancement) (1) + (3)
Ratings	Market Value	% of Total	Market Value	% of Total	Market Value	% of Total	Market Value	% of Total	Market Value	% of Total
AAA	$      481	53%	$      221	27%	$       63	8%	$       702	41%	$       545	32%
AA+	150	16%	85	11%	102	13%	235	14%	252	15%
AA	151	17%	111	14%	142	17%	261	16%	292	17%
AA-	70	8%	327	41%	242	30%	398	23%	313	18%
A+	28	3%	10	1%	87	11%	39	2%	115	7%
A	-	0%	40	5%	75	9%	40	2%	75	4%
A-	18	2%	10	1%	57	7%	28	2%	75	4%
BBB+	1	0%	3	0%	9	1%	4	0%	9	1%
BBB	7	1%	-	0%	-	0%	7	0%	7	0%
BBB-	-	0%	-	0%	30	4%	-	0%	30	2%
BB+	2	0%	-	0%	-	0%	2	0%	2	0%
Total	$      908	100%	$      807	100%	$      807	100%	$     1,715	100%	$     1,715	100%
Average Rating:		AA+		AA+		AA-		AA+	AA
Unrealized/Unrecognized Gain/(Loss):	26		22				48

1 Includes $25.7 million of unrated municipal fixed income securities which are considered to be investment grade.

A "BBB-" rating has been applied to these municipal fixed income securities in the interest of conservatism.

Note: Some amounts may not foot due to rounding.

Selective Insurance Group, Inc. and Consolidated Subsidiaries

Structured Securities

March 31, 2009

($ in thousands)

(unaudited)

•Market Value = $608,564 ; Unrealized Gain/(Loss) = ($81,370)

•Held to Maturity (HTM) 50%; Available for Sale (AFS) 50%

•Structured Security Portfolio Average Rating =   AA+

•Structured Securities = 16.8% of the Total Portfolio

Selective Insurance Group Inc. and Consolidated Subsidiaries
Structured Securities
Ratings Migration (1)
March 31, 2009
($ in thousands)
(unaudited)
Original Rating		Current Rating
Rating	Amount	AAA	AA	A	BBB	BB	B	CC
AAA	$                  567,592	529,172	6,954	8,549	14,811	6,722	1,384	-
AA	25,452	4,796	17,432	2,028	-	291	-	905
A	9,881	-	-	9,881	-	-	-	-
BBB	2,889	-	-	-	2,580	309	-	-
BB	2,750	-	-	-	-	2,750	-	-
Total Market Value	$                  608,564	533,968	24,386	20,458	17,391	10,072	1,384	905
Note (1): Migration period is from the purchase date of each security to March 31, 2009

Selective Insurance Group, Inc. and Consolidated Subsidiaries

Residential Mortgage Backed (RMBS) and Residential ABS (RABS) Securities

March 31, 2009

($ in thousands)

(unaudited)

 

•Market Value = $380,840; Unrealized Gain/(Loss) = ($38,135)

•Held to Maturity (HTM) 45%; Available for Sale (AFS) 55%

•RMBS & RABS Portfolio Average Rating = AA+

•RMBS & RABS Securities = 10.5% of the Total Portfolio

Selective Insurance Group Inc. and Consolidated Subsidiaries

Residential Mortgage Backed Securities (RMBS) and Residential ABS (RABS)- by Vintage Year

March 31, 2009

 ($ in thousands)

(unaudited)

Market Value

Vintage Yr		AAA				AA				A				BBB				BB					B			CC				Total				% of Total RMBS & RABS				% of Total Fixed Income Portfolio				% of Total GAAP Equity
1983		$	16			$	-			$	-			$	-			$	-			$	-			$	-			$	16				0	%			0	%			0	%
2002			60,840				-				1,927				-				-				-				-				62,767				16	%			2	%			7	%
2003			60,357				-				904				-				-				-				-				61,262				16	%			2	%			7	%
2004			42,712				1,426				-				-				-				-				-				44,138				12	%			1	%			5	%
2005			50,689				-				-				-				-				-				-				50,689				13	%			2	%			6	%
2006			69,051				4,193				-				11,427				6,468				1,384				905				93,428				25	%			3	%			10	%
2007			9,427				1,620				2,483				411				-				-				-				13,942				4	%			0	%			1	%
2008			28,537				-				-				-				-				-				-				28,537				7	%			1	%			3	%
2009			26,060				-				-				-				-				-				-				26,060				7	%			1	%			3	%
Total RMBS & RABS-Market Value		$	347,691			$	7,239			$	5,314			$	11,838			$	6,468			$	1,384			$	905			$	380,840				100	%			12	%			42	%
% of Total RMBS & RABS			91	%			2	%			2	%			3	%			2	%			0	%			0	%			100	%
% of Total Fixed Income Portfolio			11	%			0	%			0	%			1	%			0	%			0	%			0	%			12	%
% of Total GAAP Equity			38	%			1	%			1	%			1	%			1	%			0	%			0	%			42	%
Weighted Average Market Price			90.9				61.5				30.6				60.7				43.1				46.1				10.0				83.1
Unrealized/Unrecognized Gain/(Loss)
Vintage Yr		AAA				AA					A			BBB				BB					B			CC				Total
1983		$	1			$	-			$	-			$	-			$	-			$	-			$	-			$	1
2002			1,237				-				(457	)			-				-				-				-				781
2003			160				-				(1,431	)			-				-				-				-				(1,271	)
2004			(1,822	)			(384	)			-				-				-				-				-				(2,206	)
2005			(12,761	)			-				-				-				-				-				-				(12,761	)
2006			(8,781	)			(1,982	)			-				(87	)			(2,101	)			(754	)			-				(13,705	)
2007			102				(1,075	)			(8,439	)			(308	)			-				-				-				(9,721	)
2008			638				-				-				-				-				-				-				638
2009			109				-				-				-				-				-				-				109
Total RMBS & RABS - Unrealized/Unrecognized		$	(21,117	)		$	(3,441	)		$	(10,327	)		$	(395	)		$	(2,101	)		$	(754	)		$	-			$	(38,135	)
% of Total RMBS & RABS			55	%			9	%			27	%			1	%			6	%			2	%			0	%			100	%
Note: Some amounts may not foot due to rounding.

Selective Insurance Group Inc. and Consolidated Subsidiaries

Residential Mortgage Backed Securities (RMBS) and Residential ABS (RABS)- by Type

March 31, 2009

($ in thousands)

(unaudited)

Market Value

RMBS Type		AAA				AA					A			BBB				BB					B			CC				Total				% of Total RMBS & RABS				% of Total Fixed Income Portfolio				% of Total GAAP Equity
Agency		$	260,221			$	-			$	-			$	-			$	-			$	-			$	-			$	260,221				68	%			9	%			29	%
FHA/VA			10,252				-				-				-				-				-				-				10,252				3	%			0	%			1	%
Total Agency			270,473				-				-				-				-				-				-				270,473				71	%			9	%			30	%
Alt-A			30,289				1,426				-				3,210				3,571				1,384				-				39,880				10	%			1	%			4	%
Alt-A CDO			-				-				-				-				-				-				905				905				0	%			0	%			0	%
Home Equity ABS			-				-				1,927				-				-				-				-				1,927				1	%			0	%			0	%
Non-Agency & Other Prime			46,929				5,814				3,387				8,628				2,897				-				-				67,656				18	%			2	%			8	%
Total RMBS & RABS-Market Value		$	347,691			$	7,239			$	5,314			$	11,838			$	6,468			$	1,384			$	905			$	380,840				100	%			12	%			42	%
% of Total RMBS & RABS			91	%			2	%			2	%			3	%			2	%			0	%			0	%			100	%
% of Total Fixed Income Portfolio			11	%			0	%			0	%			1	%			0	%			0	%			0	%			12	%
% of Total GAAP Equity			38	%			1	%			1	%			1	%			1	%			0	%			0	%			42	%
Weighted Average Market Price			90.9				61.5				30.6				60.7				43.1				46.1				10.0				83.1
Unrealized/Unrecognized Gain/(Loss)
RMBS Type		AAA				AA					A			BBB				BB					B			CC				Total
Agency		$	7,684			$	-			$	-			$	-			$	-			$	-			$	-			$	7,684
FHA/VA			(1,888	)			-				-				-				-				-				-				(1,888	)
Total Agency			5,796				-				-				-				-				-				-				5,796
Alt-A			(11,907	)			(384	)			-				-				-				(754	)			-				(13,046	)
Alt-A CDO			-				-				-				-				-				-				-				-
Home Equity ABS			-				-				(457	)			-				-				-				-				(457	)
Non-Agency & Other Prime			(15,006	)			(3,057	)			(9,871	)			(395	)			(2,101	)			-				-				(30,428	)
Total RMBS & RABS - Unrealized/Unrecognized		$	(21,117	)		$	(3,441	)		$	(10,327	)		$	(395	)		$	(2,101	)		$	(754	)		$	-			$	(38,135	)
% of Total RMBS & RABS			55	%			9	%			27	%			1	%			6	%			2	%			0	%			100	%

Selective Insurance Group Inc. and Consolidated Subsidiaries
Residential Mortgage Backed (RMBS) and Asset Backed (RABS) Securities
Ratings Migration (1)
March 31, 2009
($ in thousands)
(unaudited)
Original Rating		Current Rating
Rating	Amount	AAA	AA	A	BBB	BB	B	CC
AAA	$                  374,385	347,560	5,619	1,927	11,427	6,468	1,384
AA	4,685	132	1,620	2,028	-	-	-	905
A	1,359	-	-	1,359	-	-	-	-
BBB	$                        411	-	-	-	411	-	-	-
BB	-	-	-	-	-	-	-	-
Total Market Value	380,840	347,692	7,239	5,314	11,838	6,468	1,384	905
Note (1): Migration period is from the purchase date of each security to March 31, 2009

Selective Insurance Group, Inc. and Consolidated Subsidiaries

Commercial Mortgage Backed (CMBS) Securities

March 31, 2009

($ in thousands)

(unaudited)

   

  • Market Value = $171,204; Unrealized Gain/(Loss) = ($33,438)

  • Held to Maturity (HTM) 60%; Available for Sale (AFS) 40%

  • CMBS Portfolio Average Rating = AAA

  • CMBS Securities = 4.7% of the Total Portfolio

Selective Insurance Group Inc. and Consolidated Subsidiaries

Commercial Mortgage Backed Securities (CMBS) - by Vintage Year

March 31, 2009

($ in thousands)

(unaudited)

Market Value

Vintage Yr		AAA				AA					A			BBB				BB				Total				% of Total CMBS				% of Total Fixed Income Portfolio				% of Total GAAP Equity
1996		$	5,022			$	-			$	-			$	-			$	-			$	5,022				3	%			0	%			0	%
1999			6,940				-				-				-				-				6,940				4	%			0	%			1	%
2000			28,317				-				-				-				-				28,317				17	%			1	%			3	%
2001			26,704				-				-				-				-				26,704				16	%			1	%			3	%
2002			15,902				-				-				-				-				15,902				9	%			1	%			2	%
2003			1,830				-				-				-				-				1,830				1	%			0	%			0	%
2004			8,499				-				-				-				-				8,499				5	%			0	%			1	%
2005			951				-				1,029				718				254				2,952				2	%			0	%			0	%
2006			21,208				1,335				-				1,945				-				24,488				14	%			1	%			3	%
2007			45,817				-				-				1,383				3,350				50,550				30	%			2	%			6	%
Total CMBS-Market Value		$	161,190			$	1,335			$	1,029			$	4,046			$	3,604			$	171,204				100	%			6	%			19	%
% of Total CMBS			94	%			1	%			1	%			2	%			2	%			100	%
% of Total Fixed Income Portfolio			5	%			0	%			0	%			1	%			0	%			6	%
% of Total GAAP Equity			18	%			0	%			0	%			0	%			1	%			19	%
Weighted Average Market Price			95.3				38.1				23.0				20.5				19.5				79.5
Unrealized/Unrecognized Gain/(Loss)
Vintage Yr		AAA				AA					A			BBB				BB				Total
1996		$	(234	)		$	-			$	-			$	-			$	-			$	(234	)
1999			38				-				-				-				-				38
2000			137				-				-				-				-				137
2001			815				-				-				-				-				815
2002			782				-				-				-				-				782
2003			(174	)			-				-				-				-				(174	)
2004			(1,000	)			-				-				-				-				(1,000	)
2005			(634	)			-				(3,443	)			(4,081	)			(2,568	)			(10,728	)
2006			(5,216	)			751				-				(7,673	)			-				(12,138	)
2007			(3,247	)			-				-				(1,970	)			(5,720	)			(10,937	)
Total CMBS-Unrealized/Unrecognized		$	(8,733	)		$	751			$	(3,443	)		$	(13,724	)		$	(8,289	)		$	(33,438	)
% of Total CMBS			26	%			-2	%			10	%			41	%			25	%			100	%
Note: Some amounts may not foot due to rounding.

Selective Insurance Group Inc. and Consolidated Subsidiaries

Commercial Mortgage Backed Securities (CMBS) - by Type

March 31, 2009

($ thousands)

(unaudited)

Market Value
CMBS Type		AAA				AA					A			BBB				BB				Total				% of Total CMBS				% of Total Fixed Income Portfolio				% of Total GAAP Equity
Agency MultiFamily		$	90,968			$	-			$	-			$	-			$	-			$	90,968				53	%			3	%			10	%
Conduit			11,252				-				-				-				-				11,252				7	%			1	%			1	%
Fusion (1)			48,565				-				-				851				600				50,016				29	%			2	%			6	%
Lease-Backed			4,148				-				-				-				-				4,148				2	%			0	%			0	%
Re-Securitization			1,231				1,335				1,029				1,945				254				5,794				3	%			0	%			1	%
Single Borrower - Multiple Properties			5,026				-				-				1,250				2,750				9,026				5	%			0	%			1	%
Total CMBS-Market Value		$	161,190			$	1,335			$	1,029			$	4,046			$	3,604			$	171,204				100	%			6	%			19	%
% of Total CMBS			94	%			1	%			1	%			2	%			2	%			100	%
% of Total Fixed Income Portfolio			5	%			0	%			0	%			1	%			0	%			6	%
% of Total GAAP Equity			18	%			0	%			0	%			0	%			1	%			19	%
Weighted Average Market Price			95.3				38.1				23.0				20.5				19.5				79.5
Unrealized/Unrecognized Gain/(Loss)
CMBS Type		AAA				AA					A			BBB				BB				Total
Agency MultiFamily		$	3,383			$	-			$	-			$	-			$	-			$	3,383
Conduit			(89	)			-				-				-				-				(89	)
Fusion (1)			(7,815	)			-				-				(5,301	)			(3,470	)			(16,586	)
Lease-Backed			40				-				-				-				-				40
Re-Securitization			(4,240	)			751				(3,443	)			(7,673	)			(2,569	)			(17,174	)
Single Borrower - Multiple Properties			(12	)			-				-				(750	)			(2,250	)			(3,012	)
Total CMBS-Unrealized/Unrecognized		$	(8,733	)		$	751			$	(3,443	)		$	(13,724	)		$	(8,289	)		$	(33,438	)
% of Total CMBS			26	%			-2	%			10	%			41	%			25	%			100	%

(1) Fusion means a CMBS composed of large and small loans.

Note: Some amounts may not foot due to rounding.

Selective Insurance Group Inc. and Consolidated Subsidiaries
Commercial Mortgage Backed Securities (CMBS)
Ratings Migration (1)
March 31, 2009
($ in thousands)
(unaudited)
Original Rating		Current Rating
Rating	Amount	AAA	AA	A	BBB	BB
AAA	$                     161,088	156,525	1,335	1,029	1,945	254
AA	4,956	4,665	-	-	-	291
A	-	-	-	-	-	-
BBB	2,410	-	-	-	2,101	309
BB	2,750	-	-	-	-	2,750
Total Market Value	$                     171,204	161,190	1,335	1,029	4,046	3,604
Note (1): Migration period is from the purchase date of each security to March 31, 2009

Selective Insurance Group, Inc. and Consolidated Subsidiaries

2007 Vintage Commercial Mortgage Backed (CMBS) Securities

March 31, 2009

($ in thousands)

(unaudited)

•Market Value = $50,550; Unrealized Gain/(Loss) = ($10,937)

•Held to Maturity (HTM) 41%; Available for Sale (AFS) 59%

•2007 Vintage CMBS Portfolio Average Rating = AA+

•2007 Vintage CMBS Securities = 1.6% of the Fixed Income Portfolio

•2007 Vintage CMBS Securities = 1.4% of the Total Portfolio

•2007 Vintage CMBS Securities = 5.5% of GAAP Equity

Selective Insurance Group Inc. and Consolidated Subsidiaries

2007 Vintage Commercial Mortgage Backed Securities (CMBS)

March 31, 2009

($ in thousands)

(unaudited)

Market Value
CMBS Type		AAA				BBB				BB				Total				% of 2007 Vintage CMBS				% of Total Fixed Income Portfolio				% of Total GAAP Equity
Agency MultiFamily		$	40,531			$	-			$	-			$	40,531				80	%			1	%			4	%
Fusion (1)			5,286				133				600				6,020				12	%			0	%			1	%
Single Borrower - Multiple Properties			-				1,250				2,750				4,000				8	%			1	%			1	%
2007 Vintage CMBS-Market Value		$	45,817			$	1,383			$	3,350			$	50,550				100	%			2	%			6	%
% of 2007 Vintage CMBS			91	%			2	%			7	%			100	%
% of Total Fixed Income Portfolio			1	%			0	%			1	%			2	%
% of Total GAAP Equity			5	%			0	%			1	%			6	%
Weighted Average Market Price			93.3				27.7				21.4				72.5
Unrealized/Unrecognized Gain/(Loss)
CMBS Type		AAA				BBB				BB				Total
Agency MultiFamily		$	1,491			$	-			$	-			$	1,491
Fusion (1)			(4,737	)			(1,220	)			(3,470	)			(9,427	)
Single Borrower - Multiple Properties			-				(750	)			(2,250	)			(3,000	)
2007 Vintage CMBS-Unrealized/Unrecognized		$	(3,247	)		$	(1,970	)		$	(5,720	)		$	(10,937	)
% of 2007 Vintage CMBS			30	%			18	%			52	%			100	%

(1) Fusion means a CMBS composed of large and small loans

Note: Some amounts may not foot due to rounding.

Selective Insurance Group, Inc. and Consolidated Subsidiaries

2005 & 2006 Vintage Commercial Mortgage Backed (CMBS) Securities

March 31, 2009

($ in thousands)

(unaudited)

 

•Market Value = $27,440; Unrealized Gain/(Loss) = ($22,866)

•Held to Maturity (HTM) 54%; Available for Sale (AFS) 46%

•2005 & 2006 Vintage CMBS Portfolio Average Rating = AA+

•2005 & 2006 Vintage CMBS Securities = 0.9% of the Fixed Income Portfolio

•2005 & 2006 Vintage CMBS Securities = 0.8% of the Total Portfolio

•2005 & 2006 Vintage CMBS Securities = 3.0% of GAAP Equity

Selective Insurance Group Inc. and Consolidated Subsidiaries
2005 & 2006 Vintage Commercial Mortgage Backed Securities (CMBS)
March 31, 2009
($ in thousands)
(unaudited)
Market Value
CMBS Type	AAA	AA	A	BBB	BB	Total	% of 2005 & 2006 Vintage CMBS	% of Total Fixed Income Portfolio	% of Total GAAP Equity
Agency MultiFamily	$             12,497	$                    -	$                    -	$                  -	$                 -	$             12,497	46%	1%	1%
Fusion (1)	8,431	-	-	718	-	9,149	33%	0%	1%
Single Borrower - Multiple Properties	1,231	1,335	1,029	1,945	254	5,794	21%	0%	1%
2005 & 2006 Vintage CMBS-Market Value	$             22,159	$             1,335	$             1,029	$           2,663	$              254	$             27,440	100%	1%	3%
% of 2007 Vintage CMBS	81%	5%	3%	10%	1%	100%
% of Total Fixed Income Portfolio	1%	0%	0%	0%	0%	1%
% of Total GAAP Equity	2%	0%	0%	0%	1%	3%
Weighted Average Market Price	80.3	38.1	23.0	18.1	9.0	51.7
Unrealized/Unrecognized Gain/(Loss)
CMBS Type	AAA	AA	A	BBB	BB	Total
Agency MultiFamily	$                   (41)	$                    -	$                    -	$                  -	$                 -	$                   (41)
Fusion (1)	(1,569)	-	-	(4,081)	-	(5,650)
Single Borrower - Multiple Properties	(4,240)	751	(3,443)	(7,673)	(2,568)	(17,174)
2005 & 2006 Vintage CMBS-Unrealized/Unrecognized	$              (5,850)	$                751	$           (3,443)	$        (11,754)	$         (2,568)	$           (22,866)
% of 2005 & 2006 Vintage CMBS	26%	-3%	15%	51%	11%	100%
(1) Fusion means a CMBS composed of large and small loans
Note: Some amounts may not foot due to rounding.

Selective Insurance Group, Inc. and Consolidated Subsidiaries

Alt-A RMBS Securities

March 31, 2009

($ in thousands)

(unaudited)

•Market Value = $40,785; Unrealized Gain/(Loss) = ($13,046)

•Held to Maturity (HTM) 2%; Available for Sale (AFS) 98%

•Alt-A RMBS Portfolio Average Rating = AA

•Alt-A RMBS Securities = 1.1% of the Total Portfolio

-Fixed-30 Loan-to-Value Ratio = 72.6%

-Hybrid ARM Loan-to-Value Ratio = 71.9% 

-Fixed-15 Loan-to-Value Ratio = 42.2% 

Selective Insurance Group, Inc. and Consolidated Subsidiaries

ALT-A by Vintage Year

March 31, 2009

($ in thousands)

(unaudited)

Market Value

Vintage Yr	ALT-A Fixed-15	Alt-A Fixed-30	Alt-A Hybrid ARM	Alt-A CDO	Total	% of Total Alt-A	% of Total Fixed Income Portfolio	% of Total GAAP Equity
2002	$            5,340	$                   -	$                   -	$                   -	$            5,340	13%	0%	0%
2003	-	1,698	430	-	2,128	5%	0%	0%
2004	-	2,043	1,535	-	3,578	9%	0%	0%
2005	-	2,993	2,396	-	5,389	13%	0%	1%
2006	-	21,509	1,936	905	24,350	60%	1%	3%
Total ALT-A, Market Value	$            5,340	$          28,243	$            6,297	$               905	$          40,785	100%	1%	4%
% of Total ALT-A	13%	69%	16%	2%	100%
% of Total Fixed Income Portfolio	0%	1%	0%	0%	1%
% of Total GAAP Equity	0%	3%	1%	0%	4%
Weighted Average Market Price	99.8	45.3	54.5	10.0	46.2
Unrealized/Unrecognized Gain/(Loss)
Vintage Yr	ALT-A Fixed-15	Alt-A Fixed-30	Alt-A Hybrid ARM	Alt-A CDO	Total
2002	$                  (9)	$                   -	$                   -	$                   -	$                  (9)
2003	-	(338)	(69)	-	(407)
2004	-	(260)	(443)	-	(703)
2005	-	(681)	(2,225)	-	(2,906)
*2006	-	(6,573)	(2,448)	-	(9,021)
Total ALT-A, Unrealized/Unrecognized	$                   (9)	$          (7,852)	$          (5,185)	$                   -	$        (13,046)
% of Total ALT-A	0%	60%	40%	0%	100%

*Alt-A purchases in 3Q06 were halted—no 2007 or later vintage in portfolio.

Note: Some amounts may not foot due to rounding.

Selective Insurance Group, Inc. and Consolidated Subsidiaries

Fixed Income Government & Agency Exposure

March 31, 2009

($ in thousands)

(unaudited)

						Unrecognized/ Unrealized
		Market Value				Gains
US Government
Small Business Adm		$	36,143			$	1,079
US Treasury (1)			39,686				5,479
Other US Govt Guaranteed (2)			96,156				1,640
Total US Government			171,985				8,198
Government Agency Debt
Fannie Mae			40,316				351
Freddie Mac			40,301				301
			80,617				652
Federal Farm Credit Bank			47,523				293
Federal Home Loan Bank			31,122				943
Tenn Valley Authority			13,526				1,177
			92,171				2,413
Total Govt Agency Debt			172,788				3,065
Total US Government Obligations			344,773				11,263
Agency MBS
Fannie Mae			78,201				2,381
Freddie Mac			107,728				2,408
Total Agency MBS(3)			185,929				4,789
Total Government & Agency Exposure		$	530,702			$	16,052

(1) $24.0 Million market value on deposit.

(2) U.S. Government includes corporate securities fully guaranteed by the Federal Deposit Insurance Corporation (FDIC).

(3) Included in the portfolios are $177.7 million market value of Ginnie Mae MBS which benefit from a direct government guarantee.

Note: Some amounts may not foot due to rounding.

Selective Insurance Group, Inc. and Consolidated Subsidiaries
Fixed Maturity Securities
Severity and Duration of Unrealized/Unrecognized Losses
March 31, 2009
($ in millions)
(unaudited)
		Unrealized/ Unrecognized				Fair
Fair Value as a Percentage of Amortized Cost		(Loss) Gain				Value
85% but less than 100% of amortized cost		$	(21.3	)			573.4
75% or more but less than 85% of amortized cost			(16.7	)			72.3
Less than 75% of amortized cost			(93.3	)			90.5
Gross unrealized/unrecognized losses on fixed maturity securities			(131.3	)			736.2
Gross unrealized/unrecognized gains on fixed maturity securities			92.5				2,370.8
Net unrealized/unrecognized losses on fixed maturity securities		$	(38.8	)			3,107.0
		75% or more but less than 85% of Amortized Cost/				Less than 75% of Amortized Cost/
Duration of Unrealized/Unrecognized Loss Position			Carry Value				Carry Value
0 – 3 months		$	(5.0	)			(7.9	)
4 – 6 months			(10.2	)			(24.6	)
7 – 9 months			(1.5	)			(15.5	)
10 – 12 months			-				(7.6	)
Greater than 12 months			-				(37.7	)
Gross unrealized/unrecognized losses		$	(16.7	)			(93.3	)

Selective Insurance Group, Inc. and Consolidated Subsidiaries
Credit Quality of Available for Sale Securities
March 31, 2009
($ in millions)
(unaudited)
		March 31, 2009												December 31, 2008
		Fair Value				Unrealized Gain (Loss)				Credit Quality				Fair Value				Unrealized Gain (Loss)				Credit Quality
AFS Portfolio:
U.S. government obligations1		$	177.7				2.6			AAA					252.2				16.6			AAA
State and municipal obligations			451.0				21.8			AA+					1,758.0				18.6			AA+
Corporate securities			305.5				(9.7	)		A					366.5				(22.9	)		A
Mortgage-backed securities			278.6				(37.6	)		AA+					596.2				(86.1	)		AA+
Asset-backed securities ("ABS")			26.7				(2.8	)		AA					61.4				(15.3	)		AA
Total AFS portfolio		$	1,239.5				(25.7	)		AA+					3,034.3				(89.1	)		AA+
State and Municipal Obligations:
Government obligations		$	251.2				12.0			AA+					574.1				16.2			AA+
Special revenue obligations			199.8				9.8			AA+					1,183.9				2.4			AA+
Total state and municipal obligations		$	451.0				21.8			AA+					1,758.0				18.6			AA+
Corporate Securities:
Financial		$	63.2				(8.2	)		AA-					101.0				(13.1	)		A+
Industrials			41.4				1.0			A					67.7				(2.1	)		A-
Utilities			27.5				(0.3	)		A-					47.6				(0.8	)		A
Consumer discretion			29.8				(1.0	)		A					33.9				(1.5	)		A-
Consumer staples			43.2				1.3			A					42.0				0.5			A
Health care			35.5				1.6			AA					22.7				0.7			A+
Materials			12.3				(2.7	)		A-					13.2				(3.7	)		BBB+
Energy			30.0				1.0			A+					19.1				(0.2	)		A-
Information technology			10.2				(1.8	)		BBB-					10.1				(1.9	)		BBB
Telecommunications services			12.4				(0.6	)		A-					9.2				(0.8	)		A-
Total corporate securities		$	305.5				(9.7	)		A					366.5				(22.9	)		A
Mortgage-backed securities:
Agency CMBS		$	68.5				2.8			AAA					72.9				2.8			AAA
Non-agency CMBS			-				-			-					154.3				(34.8	)		AAA
Agency RMBS			103.3				3.0			AAA					245.5				4.2			AAA
Non-agency RMBS			66.9				(30.3	)		AA+					74.3				(28.4	)		AA+
Alternative-A ("Alt-A") RMBS			39.9				(13.1	)		AA+					49.2				(29.9	)		AA+
Total MBS		$	278.6				(37.6	)		AA+					596.2				(86.1	)		AA+
Asset-backed securities:
ABS		$	26.7				(2.8	)		AA					59.3				(15.1	)		AA+
Alt-A ABS			-				-			-					0.9				-			B
Sub-prime ABS2			-				-			-					1.2				(0.2	)		A
Total ABS		$	26.7				(2.8	)		AA					61.4				(15.3	)		AA
1 U.S. Governemnt includes coporate securities fully guaranteed by the FDIC.
2 Sub-prime exposure is defined as exposure to direct and indirect investments in non-agency residential mortgages with average FICO® scores below 650.

Unrealized gains (losses) represent market value fluctuations from the later of:  (i) the date a security is designated as available for sale; or (ii) the date that an other-than-temporary impairment charge is recognized, through the end of the reporting period.

Selective Insurance Group, Inc. and Consolidated Subsidiaries
Credit Quality of Held to Maturity Securities
March 31, 2009
($ in millions)
(unaudited)
		Fair Value				Carry Value				Unrecognized Holding Gain (Loss)				Unrealized Gain (Loss) in Other Comprehensive Income				Total Unrealized / Unrecognized Gain (Loss)				Credit Quality
HTM Fixed Maturity Portfolio1:
U.S. government obligations		$	167.1				165.6				1.5				7.2				8.7			AAA
State and municipal obligations			1,263.7				1,278.2				(14.5	)			40.6				26.1			AA+
Corporate securities			133.5				133.1				0.4				(7.3	)			(6.9	)		A
Mortgage-backed securities			270.6				276.2				(5.6	)			(28.0	)			(33.6	)		AAA
Asset-backed securities			32.6				33.4				(0.8	)			(6.6	)			(7.4	)		AA
Total HTM portfolio		$	1,867.5				1,886.5				(19.0	)			5.9				(13.1	)		AA+
State and Municipal Obligations:
Government obligations		$	310.6				315.1				(4.5	)			17.0				12.5			AA+
Special revenue obligations			953.1				963.1				(10.0	)			23.6				13.6			AA+
Total state and municipal obligations		$	1,263.7				1,278.2				(14.5	)			40.6				26.1			AA+
Corporate Securities:
Financial		$	41.1				41.8				(0.7	)			(5.0	)			(5.7	)		A
Industrials			32.0				31.7				0.3				(2.5	)			(2.2	)		A-
Utilities			16.9				16.5				0.4				(0.1	)			0.3			A+
Consumer discretion			10.6				10.6				-				0.2				0.2			A
Consumer staples			18.9				18.7				0.2				0.6				0.8			AA-
Health care			3.0				3.0				-				-				-			BBB
Materials			1.9				1.9				-				(0.1	)			(0.1	)		BBB
Energy			9.1				8.9				0.2				(0.4	)			(0.2	)		A
Total corporate securities		$	133.5				133.1				0.4				(7.3	)			(6.9	)		A
Mortgage-backed securities:
Agency CMBS		$	22.5				22.4				0.1				0.5				0.6			AAA
Non-agency CMBS			80.2				85.8				(5.6	)			(31.2	)			(36.8	)		AA+
Agency RMBS			156.7				157.0				(0.3	)			3.1				2.8			AAA
Non-agency RMBS			11.2				11.0				0.2				(0.4	)			(0.2	)		AAA
Total mortgage-backed securities		$	270.6				276.2				(5.6	)			(28.0	)			(33.6	)		AAA
Asset-backed securities:
ABS		$	30.6				30.9				(0.3	)			(6.8	)			(7.1	)		AA+
Alt-A ABS			0.9				1.3				(0.4	)			0.4				-			CC
Sub-prime ABS2			1.1				1.2				(0.1	)			(0.2	)			(0.3	)		A
Total ABS		$	32.6				33.4				(0.8	)			(6.6	)			(7.4	)		AA
1 2008 HTM securities are not presented as they are not material
2 Sub-prime exposure is defined as exposure to direct and indirect investments in non-agency residential mortgages with average FICO® scores below 650.

Unrecognized holding gains (losses) represent market value fluctuations from the later of:  (i) the date a security is designated as held to maturity; or (ii) the date that an other-than-temporary impairment charge is recognized, through the end of the reporting period.  In addition, for securities transferred from an available-for-sale designation, unrealized gain/loss amounts represent market value fluctuations from the later of: (i) the date a security was originally designated as available for sale; or (ii) the date that an other-than-temporary impairment charge was recognized, through the date of transfer, net of amortization subsequent to the date of transfer.