Fair Value (Tables)

6 Months Ended

Jun. 30, 2011

Fair Value

Fair value measurements on a recurring basis for consolidated available-for-sale and trading securities by asset class and level of input

	Erie Insurance Group
	June 30, 2011
	Fair value measurements using:
(in millions)	Total	Quoted prices in active markets for identical assets Level 1	Significant observable inputs Level 2	Significant unobservable inputs Level 3
Indemnity
Available-for-sale securities:
U.S. government & agencies	$        8	$        0	$       8	$ 0
States & political subdivisions	222	0	222	0
Corporate debt securities	257	0	257	0
Other debt securities	10	0	10	0
Commercial mortgage-backed securities (CMBS)	24	0	24	0
Collateralized debt obligations (CDO)	4	0	0	4
Total fixed maturities	525	0	521	4
Nonredeemable preferred stock	20	9	11	0
Total available-for-sale securities	545	9	532	4
Trading securities:
Common stock	30	30	0	0
Total trading securities	30	30	0	0
Total – Indemnity	$    575	$     39	$   532	$ 4
Exchange
Available-for-sale securities:
U.S. government & agencies	$      67	$     11	$    56	$ 0
States & political subdivisions	1,438	0	1,434	4
Foreign government securities	21	0	21	0
Corporate debt securities	5,428	12	5,405	11
Other debt securities	61	0	56	5
Residential mortgage-backed securities (RMBS)	222	0	222	0
Commercial mortgage-backed securities (CMBS)	72	0	72	0
Collateralized debt obligations (CDO)	71	0	41	30
Total fixed maturities	7,380	23	7,307	50
Nonredeemable preferred stock	610	195	408	7
Total available-for-sale securities	7,990	218	7,715	57
Trading securities:
Common stock	2,513	2,500	0	13
Total trading securities	2,513	2,500	0	13
Total – Exchange	$10,503	$2,718	$7,715	$70
Total – Erie Insurance Group	$11,078	$2,757	$8,247	$74

	Erie Insurance Group
	December 31, 2010
	Fair value measurements using:
(in millions)	Total		Quoted prices in active markets for identical assets Level 1		Significant observable inputs Level 2		Significant unobservable inputs Level 3
Indemnity
Available-for-sale securities:
U.S. government & agencies	$	25	$	25	$	0	$0
States & political subdivisions	197		0		197		0
Corporate debt securities	38		0		38		0
Collateralized debt obligations (CDO)	4		0		0		4
Total fixed maturities	264		25		235		4
Nonredeemable preferred stock	24		11		13		0
Total available-for-sale securities	288		36		248		4
Trading securities:
Common stock	28		28		0		0
Total trading securities	28		28		0		0
Total – Indemnity	$	316	$	64	$	248	$4
Exchange
Available-for-sale securities:
U.S. government & agencies	$	87	$	12	$	75	$0
States & political subdivisions	1,471		0		1,467		4
Foreign government securities	21		0		21		0
Corporate debt securities	5,263		12		5,240		11
Other debt securities	57		0		47		10
Residential mortgage-backed securities (RMBS)	224		0		224		0
Commercial mortgage-backed securities (CMBS)	86		0		86		0
Collateralized debt obligations (CDO)	70		0		40		30
Total fixed maturities	7,279		24		7,200		55
Nonredeemable preferred stock	570		166		397		7
Total available-for-sale securities	7,849		190		7,597		62
Trading securities:
Common stock	2,306		2,294		0		12
Total trading securities	2,306		2,294		0		12
Total – Exchange	$	10,155	$	2,484	$	7,597	$74
Total – Erie Insurance Group	$	10,471	$	2,548	$	7,845	$78

Roll forward of Level 3 fair value measurements on a recurring basis for consolidated available-for-sale and trading securities

	Erie Insurance Group
(in millions)	Beginning balance at March 31, 2011	Included in earnings (1)	Included in other comprehensive income		Purchases	Sales	Transfers in and (out) of Level 3 (2)	Ending balance at June 30, 2011
Indemnity
Available-for-sale securities:
Collateralized debt obligations (CDO)	$  4	$0	$ 0		$0	$0	$0	$  4
Total fixed maturities	4	0	0		0	0	0	4
Total available-for-sale securities	4	0	0		0	0	0	4
Trading securities:
Common stock	0	0	0		0	0	0	0
Total trading securities	0	0	0		0	0	0	0
Total Level 3 assets – Indemnity	$  4	$0	$ 0		$0	$0	$0	$  4
Exchange
Available-for-sale securities:
States & political subdivisions	$  4	$0	$ 0		$0	$0	$0	$  4
Corporate debt securities	11	0	0		0	0	0	11
Other debt securities	5	0	0		0	0	0	5
Collateralized debt obligations (CDO)	30	0	0		0	0	0	30
Total fixed maturities	50	0	0		0	0	0	50
Nonredeemable preferred stock	8	0	(1	)	0	0	0	7
Total available-for-sale securities	58	0	(1	)	0	0	0	57
Trading securities:
Common stock	13	0	0		0	0	0	13
Total trading securities	13	0	0		0	0	0	13
Total Level 3 assets – Exchange	$71	$0	$(1	)	$0	$0	$0	$70
Total Level 3 assets – Erie Insurance Group	$75	$0	$(1	)	$0	$0	$0	$74

(1) Includes losses as a result of other-than-temporary impairments and accrual of discount and amortization of premium.  These amounts are reported in the Consolidated Statements of Operations. There were no unrealized gains included in earnings for the three months ended June 30, 2011 on Level 3 securities.

(2) Transfers in and out of Level 3 are attributable to changes in the availability of market observable information for individual securities within the respective categories. Transfers in and out of levels are recognized at the start of the period.

	Erie Insurance Group
(in millions)	Beginning balance at December 31, 2010	Included in earnings (1)	Included in other comprehensive income	Purchases	Sales	Transfers in and (out) of Level 3 (2)	Ending balance at June 30, 2011
Indemnity
Available-for-sale securities:
Collateralized debt obligations (CDO)	$  4	$0	$ 0	$0	$0	$0	$  4
Total fixed maturities	4	0	0	0	0	0	4
Total available-for-sale securities	4	0	0	0	0	0	4
Trading securities:
Common stock	0	0	0	0	0	0	0
Total trading securities	0	0	0	0	0	0	0
Total Level 3 assets – Indemnity	$  4	$0	$ 0	$0	$0	$0	$  4
Exchange
Available-for-sale securities:
States & political subdivisions	$  4	$0	$ 0	$0	$0	$0	$  4
Corporate debt securities	11	0	0	0	0	0	11
Other debt securities	10	0	0	0	5	0	5
Collateralized debt obligations (CDO)	30	0	0	0	0	0	30
Total fixed maturities	55	0	0	0	5	0	50
Nonredeemable preferred stock	7	0	0	0	0	0	7
Total available-for-sale securities	62	0	0	0	5	0	57
Trading securities:
Common stock	12	1	0	0	0	0	13
Total trading securities	12	1	0	0	0	0	13
Total Level 3 assets – Exchange	$74	$1	$0	$0	$5	$0	$70
Total Level 3 assets – Erie Insurance Group	$78	$1	$0	$0	$5	$0	$74

(1) Includes losses as a result of other-than-temporary impairments and accrual of discount and amortization of premium.  These amounts are reported in the Consolidated Statements of Operations. There was $1 million in unrealized gains included in earnings for the six months ended June 30, 2011 on Level 3 securities.

(2) Transfers in and out of Level 3 are attributable to changes in the availability of market observable information for individual securities within the respective categories.  Transfers in and out of levels are recognized at the start of the period.

	Erie Insurance Group
(in millions)	Beginning balance at March 31, 2010		Included in earnings (1)	Included in other comprehensive income		Purchases, sales and adjustments	Transfers in and (out) of Level 3 (2)			Ending balance at June 30, 2010
Indemnity
Available-for-sale securities:
Corporate debt securities	$	2	$0	$0		$0	$	0		$ 2
Collateralized debt obligations (CDO)	9		0	1		0	(2		)	8
Total fixed maturities	11		0	1		0	(2		)	10
Nonredeemable preferred stock	2		0	(1	)	0	0			1
Total available-for-sale securities	13		0	0		0	(2		)	11
Trading securities:
Common stock	0		0	0		0	0			0
Total trading securities	0		0	0		0	0			0
Total Level 3 assets – Indemnity	$	13	$0	$0		$0	$	(2	)	$11
Exchange
Available-for-sale securities:
Corporate debt securities	$	9	$0	$0		$0	$	0		$ 9
Other debt securities	5		0	0		0	0			5
Collateralized debt obligations (CDO)	70		1	3		0	(21		)	53
Total fixed maturities	84		1	3		0	(21		)	67
Nonredeemable preferred stock	5		0	(1	)	0	0			4
Total available-for-sale securities	89		1	2		0	(21		)	71
Trading securities:
Common stock	10		0	0		0	0			10
Total trading securities	10		0	0		0	0			10
Total Level 3 assets – Exchange	$	99	$1	$2		$0	$	(21	)	$81
Total Level 3 assets – Erie Insurance Group	$	112	$1	$2		$0	$	(23	)	$92

(1) Includes losses as a result of other-than-temporary impairments and accrual of discount and amortization of premium.  These amounts are reported in the Consolidated Statements of Operations. There were no unrealized gains included in earnings for the three months ended June 30, 2010 on Level 3 securities.

(2) Transfers in and out of Level 3 are attributable to changes in the availability of market observable information for individual securities within the respective categories. Transfers in and out of levels are recognized at the start of the period.

	Erie Insurance Group
(in millions)	Beginning balance at December 31, 2009	Included in earnings (1)	Included in other comprehensive income	Purchases, sales and adjustments	Transfers in and (out) of Level 3 (2)	Ending balance at June 30, 2010
Indemnity
Available-for-sale securities:
Corporate debt securities	$ 2	$0	$0	$0	$  0	$ 2
Collateralized debt obligations (CDO)	8	0	1	0	(1)	8
Total fixed maturities	10	0	1	0	(1)	10
Nonredeemable preferred stock	1	0	0	0	0	1
Total available-for-sale securities	11	0	1	0	(1)	11
Trading securities:
Common Stock	0	0	0	0	0	0
Total trading securities	0	0	0	0	0	0
Total Level 3 assets – Indemnity	$11	$0	$1	$0	$ (1)	$11
Exchange
Available-for-sale securities:
Corporate debt securities	$17	$0	$0	$0	$ (8)	$ 9
Other debt securities	5	0	0	0	0	5
Collateralized debt obligations (CDO)	49	1	6	0	(3)	53
Total fixed maturities	71	1	6	0	(11)	67
Nonredeemable preferred stock	4	0	0	0	0	4
Total available-for-sale securities	75	1	6	0	(11)	71
Trading securities:
Common Stock	9	1	0	0	0	10
Total trading securities	9	1	0	0	0	10
Total Level 3 assets – Exchange	$84	$2	$6	$0	$(11)	$81
Total Level 3 assets – Erie Insurance Group	$95	$2	$7	$0	$(12)	$92

(1) Includes losses as a result of other-than-temporary impairments and accrual of discount and amortization of premium.  These amounts are reported in the Consolidated Statements of Operations. There was $1 million in unrealized gains included in earnings for the six months ended June 30, 2010 on Level 3 securities.

(2) Transfers in and out of Level 3 are attributable to changes in the availability of market observable information for individual securities within the respective categories.  Transfers in and out of levels are recognized at the start of the period.

Number and values of securities adjusted based on pricing service valuations

The following table displays the number and values of these adjustments at June 30, 2011:

	Erie Insurance Group
(dollars in millions)	Number of holdings	Value of securities using pricing service	Value of securities used in the financial statements
Exchange	2	$4.7	$4.8
Total – Erie Insurance Group		$4.7	$4.8

Fair value of the consolidated fixed maturity and preferred and common stock securities by pricing source

	Erie Insurance Group
(in millions)	June 30, 2011
	Total	Level 1	Level 2	Level 3
Indemnity
Fixed maturity securities:
Priced via pricing services	$    521	$      0	$   521	$ 0
Priced via market comparables/non-binding broker quote (1)	0	0	0	0
Priced via internal modeling (2)	4	0	0	4
Total fixed maturity securities	525	0	521	4
Preferred stock securities:
Priced via pricing services	18	9	9	0
Priced via market comparables/non-binding broker quote (1)	2	0	2	0
Priced via internal modeling (2)	0	0	0	0
Total preferred stock securities	20	9	11	0
Common stock securities:
Priced via pricing services	30	30	0	0
Priced via market comparables/non-binding broker quote (1)	0	0	0	0
Priced via internal modeling (2)	0	0	0	0
Total common stock securities	30	30	0	0
Total available-for-sale/trading securities – Indemnity	$    575	$    39	$   532	$ 4
Exchange
Fixed maturity securities:
Priced via pricing services	$ 7,232	$    23	$7,209	$ 0
Priced via market comparables/non-binding broker quote (1)	98	0	98	0
Priced via internal modeling (2)	50	0	0	50
Total fixed maturity securities	7,380	23	7,307	50
Preferred stock securities:
Priced via pricing services	577	188	389	0
Priced via market comparables/non-binding broker quote (1)	33	7	19	7
Priced via internal modeling (2)	0	0	0	0
Total preferred stock securities	610	195	408	7
Common stock securities:
Priced via pricing services	2,500	2,500	0	0
Priced via market comparables/non-binding broker quote (1)	0	0	0	0
Priced via internal modeling (2)	13	0	0	13
Total common stock securities	2,513	2,500	0	13
Total available-for-sale/trading securities – Exchange	$10,503	$2,718	$7,715	$70
Total available-for-sale/trading securities – Erie Insurance Group	$11,078	$2,757	$8,247	$74

(1)All broker quotes obtained for securities were non-binding. When a non-binding broker quote was the only price available, the security was classified as Level 3.

(2)Internal modeling using a discounted cash flow model was performed on 11 fixed maturities and 3 common equity securities representing 0.5% of the total portfolio of the Erie Insurance Group.