XML 24 R26.htm IDEA: XBRL DOCUMENT v2.3.0.15
Investments (Tables)
3 Months Ended9 Months Ended
Sep. 30, 2011
Sep. 30, 2010
Sep. 30, 2011
Sep. 30, 2010
Investments [Abstract]    
Held-To-Maturity Securities Disclosure  

 

September 30, 2011

 

 

 

Net

 

 

 

 

 

 

 

 

 

 

 

 

Unrealized

 

 

 

Unrecognized

 

Unrecognized

 

 

 

 

Amortized

 

Gains

 

Carrying

 

Holding

 

Holding

 

Fair

($ in thousands)

 

Cost

 

(Losses)

 

Value

 

Gains

 

Losses

 

Value

Foreign government

$

5,292

 

311 

 

5,603

 

-

 

(106)

 

5,497

Obligations of states and political

 

 

 

 

 

 

 

 

 

 

 

 

  subdivisions

 

729,361

 

15,640 

 

745,001

 

33,246

 

(421)

 

777,826

Corporate securities

 

67,055

 

(2,541)

 

64,514

 

7,681

 

 

72,195

Asset-backed securities ("ABS")

 

8,366

 

(1,588)

 

6,778

 

1,544

 

(9)

 

8,313

Commercial mortgage-backed

 

 

 

 

 

 

 

 

 

 

 

 

   securities ("CMBS")

 

36,450

 

(5,597)

 

30,853

 

6,868

 

(275)

 

37,446

Residential mortgage-backed

 

 

 

 

 

 

 

 

 

 

 

 

   securities ("RMBS")

 

132

 

(38)

 

94

 

14

 

 

108

    Total HTM fixed maturity securities

$

846,656

 

6,187 

 

852,843

 

49,353

 

(811)

 

901,385

 

 

December 31, 2010

 

 

 

Net

 

 

 

 

 

 

 

 

 

 

 

 

Unrealized

 

 

 

Unrecognized

 

Unrecognized

 

 

 

 

Amortized

 

Gains

 

Carrying

 

Holding

 

Holding

 

Fair

($ in thousands)

 

Cost

 

(Losses)

 

Value

 

Gains

 

Losses

 

Value

U.S. government and government agencies

$

93,411

 

4,695 

 

98,106

 

5,023

 

 

103,129

Foreign government

 

5,292

 

368 

 

5,660

 

-

 

(30)

 

5,630

Obligations of states and political

 

 

 

 

 

 

 

 

 

 

 

 

  subdivisions

 

874,388

 

22,183 

 

896,571

 

16,845

 

(1,132)

 

912,284

Corporate securities

 

76,663

 

(3,990)

 

72,673

 

9,705

 

(313)

 

82,065

ABS

 

12,947

 

(2,422)

 

10,525

 

1,847

 

(444)

 

11,928

CMBS1

 

54,909

 

(7,354)

 

47,555

 

7,483

 

(109)

 

54,929

RMBS2

 

82,191

 

1,043 

 

83,234

 

3,095

 

 

86,329

    Total HTM fixed maturity securities

$

1,199,801

 

14,523 

 

1,214,324

 

43,998

 

(2,028)

 

1,256,294

 

1 CMBS includes government guaranteed agency securities with a carrying value $8.9 million at December 31, 2010.

2 RMBS includes government guaranteed agency securities with a carrying value $4.0 million at December 31, 2010.

 
Available-For-Sale Securities Disclosure  

September 30, 2011

 

 

 

 

 

 

 

 

 

 

Cost/

 

 

 

 

 

 

 

 

Amortized

 

Unrealized

 

Unrealized

 

Fair

($ in thousands)

 

Cost

 

Gains

 

Losses

 

Value

U.S. government and government agencies1

$

358,154

 

21,877

 

 

380,031

Foreign government

 

31,599

 

1,313

 

 

32,912

Obligations of states and political subdivisions

 

524,185

 

37,375

 

(45)

 

561,515

Corporate securities

 

1,085,081

 

46,011

 

(5,533)

 

1,125,559

ABS

 

78,393

 

1,383

 

(1,082)

 

78,694

CMBS2

 

107,404

 

6,788

 

(1,301)

 

112,891

RMBS3

 

464,219

 

17,976

 

(1,449)

 

480,746

AFS fixed maturity securities

 

2,649,035

 

132,723

 

(9,410)

 

2,772,348

AFS equity securities

 

150,517

 

6,690

 

(18,004)

 

139,203

   Total AFS securities

$

2,799,552

 

139,413

 

(27,414)

 

2,911,551

 

 

December 31, 2010

 

 

 

 

 

 

 

 

 

 

Cost/

 

 

 

 

 

 

 

 

Amortized

 

Unrealized

 

Unrealized

 

Fair

($ in thousands)

 

Cost

 

Gains

 

Losses

 

Value

U.S. government and government agencies1

$

312,384

 

8,292

 

(147)

 

320,529

Foreign government

 

19,035

 

280

 

(349)

 

18,966

Obligations of states and political subdivisions

 

512,013

 

22,534

 

(650)

 

533,897

Corporate securities

 

973,835

 

28,674

 

(8,784)

 

993,725

ABS

 

48,558

 

514

 

(339)

 

48,733

CMBS2

 

103,374

 

4,024

 

(2,923)

 

104,475

RMBS3

 

316,789

 

7,871

 

(2,243)

 

322,417

AFS fixed maturity securities

 

2,285,988

 

72,189

 

(15,435)

 

2,342,742

AFS equity securities

 

58,039

 

11,597

 

 

69,636

   Total AFS securities

$

2,344,027

 

83,786

 

(15,435)

 

2,412,378

 

1 U.S. government includes corporate securities fully guaranteed by the Federal Deposit Insurance Corporation ("FDIC") with a fair value of $96.3 million at September 30, 2011 and $121.0 million at December 31, 2010.

2 CMBS includes government guaranteed agency securities with a fair value of $78.0 million at September 30, 2011 and $71.9 million at December 31, 2010.

3 RMBS includes government guaranteed agency securities with a fair value of $101.3 million at September 30, 2011 and $91.1 million at December 31, 2010.

 
Schedule of Fair Value and Gross Pre-Tax Net Unrealized/Unrecognized Loss of Securities by Length of Time  

September 30, 2011

 

Less than 12 months

 

12 months or longer

 

($ in thousands)

 

Fair Value

 

Unrealized Losses1

 

 

Fair Value

 

Unrealized Losses1

AFS securities

 

 

 

 

 

 

 

 

 

Obligations of states and political subdivisions

$

2,127

 

(1)

 

 

1,887

 

(44)

Corporate securities

 

182,536

 

(4,898)

 

 

6,739

 

(636)

ABS

 

6,202

 

(9)

 

 

1,144

 

(1,072)

CMBS

 

6,371

 

(60)

 

 

10,050

 

(1,240)

RMBS

 

28,893

 

(490)

 

 

11,781

 

(960)

   Total fixed maturity securities

 

226,129

 

(5,458)

 

 

31,601

 

(3,952)

Equity securities

 

85,918

 

(18,004)

 

 

-

 

   Subtotal

$

312,047

 

(23,462)

 

 

31,601

 

(3,952)

 

 

 

 

 

 

 

 

 

 

 

 

 

Less than 12 months

 

12 months or longer

 

($ in thousands)

 

Fair

Value

 

Unrealized

Losses1

 

Unrecognized

Gains3

 

Fair

Value

 

Unrealized

Losses1

 

Unrecognized

Gains3

HTM securities

 

 

 

 

 

 

 

 

 

 

 

 

Obligations of states and political

 

 

 

 

 

 

 

 

 

 

 

 

     subdivisions

$

3,929

 

(192)

 

178

 

10,072

 

(551)

 

343

ABS

 

-

 

 

-

 

2,830

 

(1,060)

 

762

CMBS

 

14,315

 

(596)

 

575

 

6,529

 

(3,348)

 

1,016

RMBS

 

-

 

 

-

 

108

 

(38)

 

14

   Subtotal

$

18,244

 

(788)

 

753

 

19,539

 

(4,997)

 

2,135

 

 

 

 

 

 

 

 

 

 

 

 

 

      Total AFS and HTM

$

330,291

 

(24,250)

 

753

 

51,140

 

(8,949)

 

2,135

 


December 31, 2010

 

Less than 12 months

 

12 months or longer

 

($ in thousands)

 

Fair Value

 

Unrealized Losses1

 

 

Fair Value

 

Unrealized Losses1

 

AFS securities

 

 

 

 

 

 

 

 

 

 

U.S. government and government agencies2

$

3,956

 

(147)

 

 

-

 

 

Foreign government

 

10,776

 

(349)

 

 

-

 

 

Obligations of states and political subdivisions

 

40,410

 

(650)

 

 

-

 

 

Corporate securities

 

362,502

 

(8,784)

 

 

-

 

 

ABS

 

30,297

 

(273)

 

 

880

 

(66)

 

CMBS

 

5,453

 

(271)

 

 

11,115

 

(2,652)

 

RMBS

 

70,934

 

(1,098)

 

 

20,910

 

(1,145)

 

   Total fixed maturity securities

 

524,328

 

(11,572)

 

 

32,905

 

(3,863)

 

Equity securities

 

-

 

 

 

-

 

 

   Subtotal

$

524,328

 

(11,572)

 

 

32,905

 

(3,863)

 

 

 

 

 

 

 

 

 

 

 

 

 


 



 

 

Less than 12 months

 

12 months or longer

 

($ in thousands)

 

Fair

Value

 

Unrealized

(Losses) Gains1

 

Unrecognized

Gains (Losses)3

 

Fair

Value

 

Unrealized

Losses1

 

Unrecognized

Gains3

HTM securities

 

 

 

 

 

 

 

 

 

 

 

 

Obligations of states and political

 

 

 

 

 

 

 

 

 

 

 

 

     subdivisions

$

21,036

 

(381)

 

45 

 

27,855

 

(1,969)

 

670

Corporate securities

 

1,985

 

(434)

 

420 

 

-

 

 

ABS

 

507

 

(546)

 

(440)

 

2,931

 

(1,095)

 

747

CMBS

 

3,621

 

15 

 

(17)

 

5,745

 

(3,933)

 

833

RMBS

 

-

 

 

 

95

 

(38)

 

1

   Subtotal

$

27,149

 

(1,346)

 

 

36,626

 

(7,035)

 

2,251

 

 

 

 

 

 

 

 

 

 

 

 

 

      Total AFS and HTM

$

551,477

 

(12,918)

 

 

69,531

 

(10,898)

 

2,251

 

1

Gross unrealized losses include non-OTTI unrealized amounts and OTTI losses recognized in AOCI.  In addition, this column includes

remaining unrealized gain or loss amounts on securities that were transferred to an HTM designation in the first quarter of 2009 for those

securities that are in a net unrealized/unrecognized loss position.

 

 

2

U.S. government includes corporate securities fully guaranteed by the FDIC.

3

Unrecognized holding gains/(losses) represent fair value fluctuations from the later of:  (i) the date a security is designated as HTM; or (ii)

the date that an OTTI charge is recognized on an HTM security.

 
Schedule of the Number of Securities in an Unrealized Unrecognized Loss Position  
                     

($ in thousands)

September 30, 2011

 

 

December 31, 2010

 

 

Number of Issues

 

 

 

% of Market/Book

 

 

 

 

Unrealized Unrecognized Loss

 

 

 

 

Number of Issues

 

 

 

 

% of Market/Book

 

 

 

Unrealized Unrecognized Loss

188

 

80% - 99%

$

16,142

 

193

 

80% - 99%

$

16,310

64

 

60% - 79%

 

9,554

 

2

 

60% - 79%

 

1,125

11

 

40% - 59%

 

2,963

 

2

 

40% - 59%

 

2,160

3

 

20% - 39%

 

1,652

 

1

 

20% - 39%

 

986

-

 

0% - 19%

 

-

 

1

 

0% - 19%

 

976

 

 

 

$

30,311

 

 

 

 

$

21,557

 
Schedule of Held-To-Maturity Fixed Maturity Securities By Contractual Maturity  

($ in thousands)

 

Carrying Value

 

Fair Value

Due in one year or less

$

96,195

 

98,940

Due after one year through five years

 

575,181

 

602,982

Due after five years through 10 years

 

174,159

 

190,641

Due after 10 years

 

7,308

 

8,822

Total HTM fixed maturity securities

$

852,843

 

901,385

 
Schedule of Available-for-Sale Fixed Maturity Securities By Contractual Maturity  

($ in thousands)

 

Fair Value

Due in one year or less

$

231,400

Due after one year through five years

 

1,800,407

Due after five years through 10 years

 

727,331

Due after 10 years

 

13,210

Total AFS fixed maturity securities

$

2,772,348

 
Schedule of Other Investment Portfolio by Strategy and the Remaining Commitment Amount Associated With Each Strategy  
         

Other Investments

 

Carrying Value

September 30, 2011

 

 

September 30,

December 31,

Remaining

($ in thousands)

 

2011

2010

Commitment

Alternative Investments

 

 

 

 

     Energy/power generation

$

30,792

35,560

10,296

     Secondary private equity

 

29,077

26,709

11,047

     Private equity

 

21,067

21,601

6,637

     Distressed debt

 

19,285

20,432

3,169

     Real estate

 

14,033

14,192

10,602

     Mezzanine financing

 

9,993

10,230

15,910

     Venture capital

 

7,909

6,386

900

          Total alternative investments

 

132,156

135,110

58,561

Other securities

 

3,404

2,755

2,096

Total other investments

$

135,560

137,865

60,657

 
Aggregated Summarized Financial Information for Partnerships in our Alternative Investment Portfolio  
                 

Income Statement Information

 

Quarter ended,

 

Nine Months ended

 

 

June 30,

 

June 30,

($ in millions)

 

2011

 

2010

 

2011

 

2010

Net investment income

$

136.8 

 

119.9

 

423.6

 

394.3 

Realized gains (losses)

 

710.6 

 

75.0

 

873.6

 

(411.6)

Net change in unrealized appreciation

 

(194.7)

 

129.6

 

1,877.8

 

1,378.3 

Net income

$

652.7 

 

324.5

 

3,175.0

 

1,361.0 

 

 

 

 

 

 

 

 

 

Selective's insurance subsidiaries' net income 

$

4.5 

 

2.3

 

24.0

 

11.1 

 

 

 

 

 

 

 

 

 

 
Net Investment Income  
                     

 

 

Quarter ended 

 

Nine Months ended 

 

 

September 30, 

 

September 30, 

($ in thousands) 

 

2011 

 

2010 

 

 

2011 

 

2010 

Fixed maturity securities 

31,960  

 

31,741 

 

 

97,835  

 

97,914 

Equity securities 

 

1,197  

 

347 

 

 

2,299  

 

1,279 

Short-term investments 

 

28  

 

134 

 

 

123  

 

367 

Other investments 

 

4,494  

 

2,400 

 

 

24,082  

 

11,216 

Investment expenses 

 

(1,893) 

 

(1,636) 

 

 

(5,735) 

 

(6,539) 

Net investment income earned 

35,786  

 

32,986 

 

 

118,604  

 

104,237 

 
Net Investment Income On Other Investments By Strategy  
                   

 

 

Quarter ended September 30,

 

Nine Months ended September 30,

 

($ in thousands)

 

2011

2010

 

2011

 

2010

 

Energy/power generation

$

1,760 

 

409

 

7,599

 

3,440 

 

Private equity

 

1,640 

 

543

 

5,398

 

1,350 

 

Secondary private equity

 

1,179 

 

240

 

5,895

 

3,924 

 

Distressed debt

 

(153)

 

472

 

1,241

 

1,195 

 

Real estate

 

35 

 

303

 

1,485

 

(2,056)

 

Venture capital

 

125 

 

15

 

1,448

 

263 

 

Mezzanine financing

 

(133)

 

377

 

928

 

3,006 

 

Other

 

41 

 

41

 

88

 

94 

 

Total other investment income

$

4,494 

 

2,400

 

24,082

 

11,216

 

 
OTTI by Asset Type

Third Quarter 2011

 

($ in thousands)

 

 

 

Gross

 

Included in Other Comprehensive Income ("OCI")

 

 

Recognized in Earnings

Fixed maturity securities

 

 

 

 

 

 

     ABS

$

543 

 

493 

 

50

     CMBS

 

(184)

 

(316)

 

132

     RMBS

 

22 

 

(27)

 

49

Total fixed maturities

 

381 

 

150 

 

231

Equity securities

 

2,312 

 

 

2,312

OTTI losses

$

2,693 

 

150 

 

2,543

Third Quarter 2010

($ in thousands)

 

 

Gross

 

 

Included in OCI

 

Recognized in Earnings

Fixed maturity securities

 

 

 

 

 

 

     CMBS

$

2,116

 

1,245

 

871

     RMBS

 

150

 

39

 

111

Total fixed maturity securities

 

2,266

 

1,284

 

982

Equity securities

 

1,825

 

-

 

1,825

OTTI losses

$

4,091

 

1,284

 

2,807

Nine Months 2011

($ in thousands)

 

 

Gross

 

 

Included in OCI

 

Recognized in Earnings

Fixed maturity securities

 

 

 

 

 

 

     Obligations of states and political subdivisions

$

17 

 

 

17

     Corporate securities

 

244 

 

 

244

     ABS

 

543 

 

493 

 

50

     CMBS

 

(370)

 

(974)

 

604

     RMBS

 

316 

 

201 

 

115

Total fixed maturity securities

 

750 

 

(280)

 

1,030

Equity securities

 

2,312 

 

 

2,312

OTTI losses

$

3,062 

 

(280)

 

3,342

Nine Months 2010

($ in thousands)

 

 

Gross

 

 

Included in OCI

 

Recognized in Earnings

Fixed maturity securities

 

 

 

 

 

 

     ABS

$

158

 

127 

 

31

     CMBS

 

5,561

 

(807)

 

6,368

     RMBS

 

8,110

 

(225)

 

8,335

Total fixed maturity securities

 

13,829

 

(905)

 

14,734

Equity securities

 

2,497

 

 

2,497

OTTI losses

$

16,326

 

(905)

 

17,231

Gross Credit Loss Impairments on Fixed Maturity Securities for Which a Portion of the OTTI Charge Was Recognized In OCI
       

 

 

Quarter ended September 30,

($ in thousands)

 

2011

2010

Balance, beginning of period

$

14,024

20,343 

Addition for the amount related to credit loss for which an OTTI was not previously recognized

 

-

192 

Reductions for securities sold during the period

 

-

Reductions for securities for which the amount previously recognized in OCI was recognized in

 

 

 

  earnings because of intention or potential requirement to sell before recovery of amortized cost

 

-

Reductions for securities for which the entire amount previously recognized in OCI was recognized in

 

 

 

  earnings due to a decrease in cash flows expected

 

-

(3,254)

Additional increases to the amount related to credit loss for which an OTTI was previously recognized

 

207

530 

Accretion of credit loss impairments previously recognized due to an increase in cash flows expected

 

 

 

  to be collected

 

-

Balance, end of period

$

14,231

17,811

 
       

 

 

Nine Months ended September 30,

($ in thousands)

 

2011

2010

Balance, beginning of period

$

17,723

22,189 

Addition for the amount related to credit loss for which an OTTI was not previously recognized

 

2,326 

Reductions for securities sold during the period

 

(2,990)

Reductions for securities for which the amount previously recognized in OCI was recognized in

 

 

 

  earnings because of intention or potential requirement to sell before recovery of amortized cost

 

Reductions for securities for which the entire amount previously recognized in OCI was recognized in

 

 

 

  earnings due to a decrease in cash flows expected

 

(3,954)

(7,906)

Additional increases to the amount related to credit loss for which an OTTI was previously recognized

 

462

4,192 

Accretion of credit loss impairments previously recognized due to an increase in cash flows expected

 

 

 

  to be collected

 

Balance, end of period

$

14,231

17,811

 
Components of Net Realized Gains Excluding OTTI Charges  
                     

 

 

Quarter ended

 

Nine Months ended

 

 

September 30,

 

September 30,

($ in thousands)

 

2011

 

2010

 

 

2011

 

2010

HTM fixed maturity securities

 

 

 

 

 

 

 

 

 

  Gains

$

 

123 

 

 

 

535 

  Losses

 

(200)

 

(296)

 

 

(522)

 

(746)

AFS fixed maturity securities

 

 

 

 

 

 

 

 

 

  Gains

 

698 

 

2,961 

 

 

3,052 

 

7,743 

  Losses

 

(5)

 

(15)

 

 

(12)

 

(7,604)

AFS equity securities

 

 

 

 

 

 

 

 

 

  Gains

 

 

912 

 

 

6,676 

 

15,086 

  Losses

 

 

(821)

 

 

 

(1,054)

Total other net realized investment gains

 

498 

 

2,864 

 

 

9,203 

 

13,960 

Total OTTI charges recognized in earnings

 

(2,543)

 

(2,807)

 

 

(3,342)

 

(17,231)

Total net realized gains (losses)

$

(2,045)

 

57 

 

 

5,861 

 

(3,271)