Fair Value (Tables)

12 Months Ended

Dec. 31, 2011

Fair Value

Schedule of 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
	December 31, 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:
States & political subdivisions	$	221	$	0	$	221	$	0
Corporate debt securities	303		0		303		0
Commercial mortgage-backed securities (CMBS)	13		0		13		0
Collateralized debt obligations (CDO)	4		0		0		4
Other debt securities	7		0		7		0
Total fixed maturities	548		0		544		4
Nonredeemable preferred stock	25		10		15		0
Total available-for-sale securities	573		10		559		4
Trading securities:
Common stock	27		27		0		0
Total trading securities	27		27		0		0
Total – Indemnity	$	600	$	37	$	559	$	4
Exchange
Available-for-sale securities:
U.S. government & agencies	$	17	$	6	$	11	$	0
States & political subdivisions	1,379		0		1,375		4
Foreign government securities	15		0		15		0
Corporate debt securities	5,499		20		5,467		12
Residential mortgage-backed securities (RMBS)	189		0		189		0
Commercial mortgage-backed securities (CMBS)	66		0		66		0
Collateralized debt obligations (CDO)	65		0		36		29
Other debt securities	62		0		57		5
Total fixed maturities	7,292		26		7,216		50
Nonredeemable preferred stock	564		188		371		5
Total available-for-sale securities	7,856		214		7,587		55
Trading securities:
Common stock	2,308		2,296		0		12
Total trading securities	2,308		2,296		0		12
Total – Exchange	$	10,164	$	2,510	$	7,587	$	67
Total – Erie Insurance Group	$	10,764	$	2,547	$	8,146	$	71

	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
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
Other debt securities	57	0	47	10
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

Schedule of 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 September 30, 2011	Included in earnings (1)	Included in other comprehensive income	Purchases	Sales	Transfers in and (out) of Level 3 (2)	Ending balance at December 31, 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	12	0	0	0	0	0	12
Collateralized debt obligations (CDO)	29	0	0	0	0	0	29
Other debt securities	5	0	0	0	0	0	5
Total fixed maturities	50	0	0	0	0	0	50
Nonredeemable preferred stock	6	0	(1)	0	0	0	5
Total available-for-sale securities	56	0	(1)	0	0	0	55
Trading securities:
Common stock	13	(1)	0	0	0	0	12
Total trading securities	13	(1)	0	0	0	0	12
Total Level 3 assets – Exchange	$69	$(1)	$(1)	$0	$0	$0	$67
Total Level 3 assets – Erie Insurance Group	$73	$(1)	$(1)	$0	$0	$0	$71

(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 or losses included in earnings for the three months ended December 31, 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 December 31, 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	1	0	0	12
Collateralized debt obligations (CDO)	30	0	(1)	0	0	0	29
Other debt securities	10	0	0	0	(5)	0	5
Total fixed maturities	55	0	(1)	1	(5)	0	50
Nonredeemable preferred stock	7	0	(2)	0	0	0	5
Total available-for-sale securities	62	0	(3)	1	(5)	0	55
Trading securities:
Common stock	12	0	0	0	0	0	12
Total trading securities	12	0	0	0	0	0	12
Total Level 3 assets – Exchange	$74	$0	$(3)	$1	$(5)	$0	$67
Total Level 3 assets – Erie Insurance Group	$78	$0	$(3)	$1	$(5)	$0	$71

(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 or losses included in earnings for the year ended December 31, 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 September 30, 2010	Transfer(s) in and (out) (1)	Included in earnings (2)	Included in other comprehensive income	Purchases, sales and adjustments	Transfer(s) in and (out) of Level 3 (3)	Ending balance at December 31, 2010
Indemnity
Available-for-sale securities:
Corporate debt securities	$  2	$(2)	$ 0	$0	$  0	$  0	$  0
Collateralized debt obligations (CDO)	7	(4)	0	0	0	1	4
Total fixed maturities	9	(6)	0	0	0	1	4
Nonredeemable preferred stock	2	(1)	0	0	(1)	0	0
Total available-for-sale securities	11	(7)	0	0	(1)	1	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	$11	$(7)	$ 0	$0	$  (1)	$  1	$  4
Exchange
Available-for-sale securities:
States & political subdivisions	$  0	$ 0	$ 0	$0	$  0	$  4	$  4
Corporate debt securities	9	2	0	0	0	0	11
Collateralized debt obligations (CDO)	42	4	(1)	1	(16)	0	30
Other debt securities	5	0	0	0	0	5	10
Total fixed maturities	56	6	(1)	1	(16)	9	55
Nonredeemable preferred stock	5	1	0	1	0	0	7
Total available-for-sale securities	61	7	(1)	2	(16)	9	62
Trading securities:
Common stock	11	0	1	0	0	0	12
Total trading securities	11	0	1	0	0	0	12
Total Level 3 assets – Exchange	$72	$ 7	$ 0	$2	$(16)	$  9	$74
Total Level 3 assets – Erie Insurance Group	$83	$ 0	$ 0	$2	$(17)	$10	$78

(1)Transfers in and out are attributable to the sale of Indemnity’s wholly owned property and casualty insurance subsidiaries Erie Insurance Company, Erie Insurance Company of New York and Erie Insurance Property and Casualty Company, to the Exchange.  Level 3 securities previously held by the Indemnity are shown as transfer (out) while transfers to the Exchange are shown as transfer in.

(2)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 or losses included in earnings for the three months ended December 31, 2010 on Level 3 securities.

(3)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	Transfer(s) in and (out) (1)	Included in earnings (2)	Included in other comprehensive income	Purchases, sales and adjustments	Transfer(s) in and (out) of Level 3 (3)	Ending balance at December 31, 2010
Indemnity
Available-for-sale securities:
Corporate debt securities	$  2	$(2)	$ 0	$0	$   0	$  0	$  0
Collateralized debt obligations (CDO)	8	(4)	0	0	0	0	4
Total fixed maturities	10	(6)	0	0	0	0	4
Nonredeemable preferred stock	1	(1)	0	0	0	0	0
Total available-for-sale securities	11	(7)	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	$  11	$(7)	$ 0	$0	$   0	$  0	$  4
Exchange
Available-for-sale securities:
States & political subdivisions	$  0	$ 0	$ 0	$0	$   0	$  4	$  4
Corporate debt securities	17	2	0	0	0	(8)	11
Collateralized debt obligations (CDO)	49	4	(1)	5	(19)	(8)	30
Other debt securities	5	0	0	0	0	5	10
Total fixed maturities	71	6	(1)	5	(19)	(7)	55
Nonredeemable preferred stock	4	1	0	2	0	0	7
Total available-for-sale securities	75	7	(1)	7	(19)	(7)	62
Trading securities:
Common stock	9	0	3	0	0	0	12
Total trading securities	9	0	3	0	0	0	12
Total Level 3 assets – Exchange	$84	$ 7	$ 2	$7	$(19)	$(7)	$74
Total Level 3 assets – Erie Insurance Group	$95	$ 0	$ 2	$7	$(19)	$(7)	$78

(1)Transfers in and out are attributable to the sale of Indemnity’s wholly owned property and casualty insurance subsidiaries Erie Insurance Company, Erie Insurance Company of New York and Erie Insurance Property and Casualty Company, to the Exchange.  Level 3 securities previously held by the Indemnity are shown as transfer (out) while transfers to the Exchange are shown as transfer in.

(2)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 or losses included in earnings for the year ended December 31, 2010 on Level 3 securities.

(3)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 end of the period.

Schedule of fair value of the consolidated available-for-sale and trading securities by pricing source

	Erie Insurance Group
(in millions)	December 31, 2011
	Total		Level 1		Level 2		Level 3
Indemnity
Fixed maturities:
Priced via pricing services	$	542	$	0	$	542	$	0
Priced via market comparables/non-binding broker quote (1)	2		0		2		0
Priced via internal modeling (2)	4		0		0		4
Total fixed maturities	548		0		544		4
Nonredeemable preferred stock:
Priced via pricing services	23		10		13		0
Priced via market comparables/non-binding broker quote (1)	2		0		2		0
Priced via internal modeling (2)	0		0		0		0
Total nonredeemable preferred stock	25		10		15		0
Common stock:
Priced via pricing services	27		27		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	27		27		0		0
Total available-for-sale and trading securities – Indemnity	$	600	$	37	$	559	$	4
Exchange
Fixed maturities:
Priced via pricing services	$	7,158	$	26	$	7,132	$	0
Priced via market comparables/non-binding broker quote (1)	84		0		84		0
Priced via internal modeling (2)	50		0		0		50
Total fixed maturities	7,292		26		7,216		50
Nonredeemable preferred stock:
Priced via pricing services	528		188		340		0
Priced via market comparables/non-binding broker quote (1)	36		0		31		5
Priced via internal modeling (2)	0		0		0		0
Total nonredeemable preferred stock	564		188		371		5
Common stock:
Priced via pricing services	2,296		2,296		0		0
Priced via market comparables/non-binding broker quote (1)	0		0		0		0
Priced via internal modeling (2)	12		0		0		12
Total common stock	2,308		2,296		0		12
Total available-for-sale and trading securities – Exchange	$	10,164	$	2,510	$	7,587	$	67
Total available-for-sale and trading securities – Erie Insurance Group	$	10,764	$	2,547	$	8,146	$	71

(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 0.6% of the total portfolio of the Erie Insurance Group.