Investments (Tables)

12 Months Ended

Dec. 31, 2011

Investments

Schedule of reconciliation of cost to fair value of available-for-sale securities

	Erie Insurance Group
	December 31, 2011
(in millions)	Amortized		Gross unrealized		Gross unrealized		Estimated
	cost		gains		losses		fair value
Indemnity
Available-for-sale securities:
States & political subdivisions	$	208	$	13	$	0	$	221
Corporate debt securities	303		1		1		303
Commercial mortgage-backed securities (CMBS)	13		0		0		13
Collateralized debt obligations (CDO)	4		0		0		4
Other debt securities	7		0		0		7
Total fixed maturities	535		14		1		548
Nonredeemable preferred stock	24		1		0		25
Total available-for-sale securities – Indemnity	$	559	$	15	$	1	$	573
Exchange
Available-for-sale securities:
U.S. government & agencies	$	16	$	1	$	0	$	17
States & political subdivisions	1,289		91		1		1,379
Foreign government securities	15		0		0		15
Corporate debt securities	5,144		386		31		5,499
Residential mortgage-backed securities (RMBS)	178		11		0		189
Commercial mortgage-backed securities (CMBS)	62		4		0		66
Collateralized debt obligations (CDO)	66		4		5		65
Other debt securities	59		3		0		62
Total fixed maturities	6,829		500		37		7,292
Nonredeemable preferred stock	531		45		12		564
Total available-for-sale securities – Exchange	$	7,360	$	545	$	49	$	7,856
Total available-for-sale securities – Erie Insurance Group	$	7,919	$	560	$	50	$	8,429

	Erie Insurance Group
	December 31, 2010
(in millions)	Amortized		Gross unrealized		Gross unrealized		Estimated
	cost		gains		losses		fair value
Indemnity
Available-for-sale securities:
U.S. government & agencies	$	25	$	0	$	0	$	25
States & political subdivisions	193		6		2		197
Corporate debt securities	36		2		0		38
Collateralized debt obligations (CDO)	3		1		0		4
Total fixed maturities	257		9		2		264
Nonredeemable preferred stock	20		4		0		24
Total available-for-sale securities – Indemnity	$	277	$	13	$	2	$	288
Exchange
Available-for-sale securities:
U.S. government & agencies	$	85	$	2	$	0	$	87
States & political subdivisions	1,437		43		9		1,471
Foreign government securities	20		1		0		21
Corporate debt securities	4,900		377		14		5,263
Residential mortgage-backed securities (RMBS)	216		9		1		224
Commercial mortgage-backed securities (CMBS)	82		5		1		86
Collateralized debt obligations (CDO)	69		6		5		70
Other debt securities	54		3		0		57
Total fixed maturities	6,863		446		30		7,279
Nonredeemable preferred stock	503		74		7		570
Total available-for-sale securities – Exchange	$	7,366	$	520	$	37	$	7,849
Total available-for-sale securities – Erie Insurance Group	$	7,643	$	533	$	39	$	8,137

Schedule of amortized cost and estimated fair value of fixed maturities by remaining contractual term to maturity

	Erie Insurance Group
(in millions)	Amortized	Estimated
	cost	fair value
Indemnity
Due in one year or less	$   152	$   152
Due after one year through five years	253	256
Due after five years through ten years	47	52
Due after ten years	83	88
Total fixed maturities – Indemnity	$   535	$   548
Exchange
Due in one year or less	$   506	$   513
Due after one year through five years	2,397	2,519
Due after five years through ten years	2,669	2,898
Due after ten years	1,257	1,362
Total fixed maturities – Exchange	$6,829	$7,292
Total fixed maturities – Erie Insurance Group	$7,364	$7,840

Schedule of available-for-sale securities in a gross unrealized loss position by length of time securities were in a gross unrealized loss position

	Erie Insurance Group
	December 31, 2011
(dollars in millions)	Less than 12 months		12 months or longer		Total
	Fair	Unrealized	Fair	Unrealized	Fair	Unrealized	No. of
Indemnity	value	losses	value	losses	Value	losses	holdings
Available-for-sale securities:
Corporate debt securities	$220	$ 1	$    0	$ 0	$220	$  1	41
Commercial mortgage-backed securities (CMBS)	4	0	9	0	13	0	3
Other debt securities	5	0	2	0	7	0	2
Total fixed maturities – Indemnity	229	1	11	0	240	1	46
Nonredeemable preferred stock	4	0	3	0	7	0	3
Total available-for-sale securities – Indemnity	$233	$ 1	$  14	$ 0	$247	$  1	49
Quality breakdown of fixed maturities:
Investment grade	$229	$ 1	$  11	$ 0	$240	$  1	46
Non-investment grade	0	0	0	0	0	0	0
Total fixed maturities – Indemnity	$229	$ 1	$  11	$ 0	$240	$  1	46
Exchange
Available-for-sale securities:
States & political subdivisions	$    7	$ 0	$    6	$ 1	$ 13	$ 1	3
Corporate debt securities	635	27	50	4	685	31	108
Residential mortgage-backed securities (RMBS)	7	0	0	0	7	0	4
Commercial mortgage-backed securities (CMBS)	5	0	0	0	5	0	1
Collateralized debt obligations (CDO)	0	0	32	5	32	5	6
Other debt securities	9	0	0	0	9	0	2
Total fixed maturities – Exchange	663	27	88	10	751	37	124
Nonredeemable preferred stock	168	11	34	1	202	12	27
Total available-for-sale securities – Exchange	$831	$38	$122	$11	$953	$49	151
Quality breakdown of fixed maturities:
Investment grade	$625	$26	$ 79	$ 9	$704	$35	109
Non-investment grade	38	1	9	1	47	2	15
Total fixed maturities – Exchange	$663	$27	$ 88	$10	$751	$37	124

	Erie Insurance Group
	December 31, 2010
(dollars in millions)	Less than 12 months		12 months or longer		Total
	Fair	Unrealized	Fair	Unrealized	Fair	Unrealized	No. of
Indemnity	value	losses	value	losses	Value	losses	holdings
Available-for-sale securities:
U.S. government & agencies	$  25	$ 0	$    0	$  0	$     25	$  0	1
States & political subdivisions	39	2	1	0	40	2	20
Corporate debt securities	31	0	0	0	31	0	3
Total fixed maturities – Indemnity	95	2	1	0	96	2	24
Nonredeemable preferred stock	3	0	0	0	3	0	1
Total available-for-sale securities – Indemnity	$  98	$ 2	$    1	$  0	$     99	$  2	25
Quality breakdown of fixed maturities:
Investment grade	$  95	$ 2	$    1	$  0	$     96	$  2	24
Non-investment grade	0	0	0	0	0	0	0
Total fixed maturities – Indemnity	$  95	$ 2	$    1	$  0	$     96	$  2	24
Exchange
Available-for-sale securities:
U.S. government & agencies	$  22	$ 0	$    0	$  0	$     22	$  0	3
States & political subdivisions	299	8	5	1	304	9	59
Foreign government securities	10	0	0	0	10	0	1
Corporate debt securities	398	8	144	6	542	14	101
Residential mortgage-backed securities (RMBS)	6	0	7	1	13	1	4
Commercial mortgage-backed securities (CMBS)	0	0	12	1	12	1	2
Collateralized debt obligations (CDO)	1	0	33	5	34	5	6
Total fixed maturities – Exchange	736	16	201	14	937	30	176
Nonredeemable preferred stock	45	2	59	5	104	7	15
Total available-for-sale securities – Exchange	$781	$18	$260	$19	$1,041	$37	191
Quality breakdown of fixed maturities:
Investment grade	$703	$16	$155	$11	$   858	$27	154
Non-investment grade	33	0	46	3	79	3	22
Total fixed maturities – Exchange	$736	$16	$201	$14	$   937	$30	176

Schedule of investment income, net of expenses, from portfolios

	Erie Insurance Group
(in millions)	Years ended December 31,
	2011	2010	2009
Indemnity
Fixed maturities	$  14	$  33	$  36
Equity securities	2	4	5
Cash equivalents and other	1	1	1
Total investment income	17	38	42
Less: investment expenses	1	1	0
Investment income, net of expenses – Indemnity	$  16	$  37	$  42
Exchange
Fixed maturities	$364	$350	$343
Equity securities	86	72	68
Cash equivalents and other	0	2	4
Total investment income	450	424	415
Less: investment expenses	33	28	24
Investment income, net of expenses – Exchange	$417	$396	$391
Investment income, net of expenses – Erie Insurance Group	$433	$433	$433

Schedule of realized gains (losses) on investments

(in millions)	Erie Insurance Group
	Years ended December 31,
Indemnity	2011		2010		2009
Available-for-sale securities:
Fixed maturities:
Gross realized gains	$	2	$	6	$	5
Gross realized losses	0		(1)		(4)
Net realized gains	2		5		1
Equity securities:
Gross realized gains	3		1		8
Gross realized losses	0		0		(7)
Net realized gains	3		1		1
Trading securities:
Common stock:
Gross realized gains	2		6		2
Gross realized losses	(1)		(1)		(5)
Valuation adjustments	(3)		0		11
Net realized (losses) gains	(2)		5		8
Limited partnerships:
Gross realized gains	0		0		0
Gross realized losses	0		(12)		0
Net realized gains (losses)	0		(12)		0
Net realized investment gains (losses) – Indemnity	$	3	$	(1)	$	10
Exchange
Available-for-sale securities:
Fixed maturities:
Gross realized gains	$	77	$	49	$	22
Gross realized losses	(29)		(24)		(37)
Net realized gains (losses)	48		25		(15)
Equity securities:
Gross realized gains	28		14		39
Gross realized losses	(1)		(3)		(26)
Net realized gains	27		11		13
Trading securities:
Common stock:
Gross realized gains	271		205		143
Gross realized losses	(106)		(135)		(203)
Valuation adjustments	(247)		254		464
Net realized (losses) gains	(82)		324		404
Limited partnerships:
Gross realized gains	0		0		0
Gross realized losses	0		(46)		0
Net realized losses	0		(46)		0
Net realized investment (losses) gains – Exchange	$	(7)	$	314	$	402
Net realized investment (losses) gains – Erie Insurance Group	$	(4)	$	313	$	412

Schedule of components of other-than-temporary impairments on investments

(in millions)	Erie Insurance Group
	Years ended December 31
	2011	2010	2009
Indemnity
Fixed maturities	$ 0	$(1)	$  (7)
Equity securities	0	0	(5)
Total other-than-temporary impairments	0	(1)	(12)
Portion recognized in other comprehensive income	0	0	0
Net impairment losses recognized in earnings – Indemnity	$ 0	$(1)	$ (12)
Exchange
Fixed maturities	$ 0	$(4)	$ (54)
Equity securities	(2)	(1)	(60)
Total other-than-temporary impairments	(2)	(5)	(114)
Portion recognized in other comprehensive income	0	0	0
Net impairment losses recognized in earnings – Exchange	$(2)	$(5)	$(114)
Net impairment losses recognized in earnings – Erie Insurance Group	$(2)	$(6)	$(126)

Schedule of limited partnership results, generally reported on a one-quarter lag

	Erie Insurance Group
	As of and for the year ended December 31, 2011
(dollars in millions) Investment percentage in limited partnerships	Number of partnerships	Asset recorded	Income (loss) recognized due to valuation adjustments by the partnerships	Income (1oss) recorded
Indemnity
Private equity:
Less than 10%	26	$   73	$  2	$  5
Greater than or equal to 10% but less than 50%	3	9	0	3
Greater than 50%	0	0	0	0
Total private equity	29	82	2	8
Mezzanine debt:
Less than 10%	11	22	0	6
Greater than or equal to 10% but less than 50%	3	12	1	1
Greater than 50%	1	1	(1)	0
Total mezzanine debt	15	35	0	7
Real estate:
Less than 10%	12	62	5	(1	)
Greater than or equal to 10% but less than 50%	3	18	1	0
Greater than 50%	3	11	3	1
Total real estate	18	91	9	0
Total limited partnerships – Indemnity	62	$  208	$11	$15
Exchange
Private equity:
Less than 10%	41	$  452	$13	$30
Greater than or equal to 10% but less than 50%	3	43	(1)	12
Greater than 50%	0	0	0	0
Total private equity	44	495	12	42
Mezzanine debt:
Less than 10%	17	133	(9)	26
Greater than or equal to 10% but less than 50%	3	33	3	3
Greater than 50%	3	35	(2)	3
Total mezzanine debt	23	201	(8)	32
Real estate:
Less than 10%	25	284	31	(1	)
Greater than or equal to 10% but less than 50%	5	59	3	0
Greater than 50%	3	43	2	10
Total real estate	33	386	36	9
Total limited partnerships – Exchange	100	$1,082	$40	$83
Total limited partnerships – Erie Insurance Group		$1,290	$51	$98

	Erie Insurance Group
	As of and for the year ended December 31, 2010
(dollars in millions) Investment percentage in limited partnerships	Number of partnerships	Asset recorded	Income (loss) recognized due to valuation adjustments by the partnerships	Income (1oss) recorded
Indemnity
Private equity:
Less than 10%	26	$  78	$   4	$  7
Greater than or equal to 10% but less than 50%	3	8	3	0
Greater than 50%	0	0	0	0
Total private equity	29	86	7	7
Mezzanine debt:
Less than 10%	11	30	4	3
Greater than or equal to 10% but less than 50%	3	15	2	(2	)
Greater than 50%	1	2	0	0
Total mezzanine debt	15	47	6	1
Real estate:
Less than 10%	12	59	30	(31	)
Greater than or equal to 10% but less than 50%	4	14	10	(10	)
Greater than 50%	4	10	4	(3	)
Total real estate	20	83	44	(44	)
Total limited partnerships – Indemnity	64	$  216	$  57	$(36	)
Exchange
Private equity:
Less than 10%	41	$  517	$  28	$ 40
Greater than or equal to 10% but less than 50%	3	38	10	0
Greater than 50%	0	0	0	(1	)
Total private equity	44	555	38	39
Mezzanine debt:
Less than 10%	14	142	12	13
Greater than or equal to 10% but less than 50%	3	41	2	(2	)
Greater than 50%	3	31	0	2
Total mezzanine debt	20	214	14	13
Real estate:
Less than 10%	25	250	(11)	10
Greater than or equal to 10% but less than 50%	6	52	7	(7	)
Greater than 50%	4	37	15	(11	)
Total real estate	35	339	11	(8	)
Total limited partnerships – Exchange	99	$1,108	$  63	$ 44
Total limited partnerships – Erie Insurance Group		$1,324	$120	$  8