Investments (Tables)

6 Months Ended

Jun. 30, 2012

Investments

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

	Erie Insurance Group
	June 30, 2012
(in millions)	Amortized	Gross unrealized	Gross unrealized	Estimated
	cost	gains	losses	fair value
Indemnity
Available-for-sale securities:
States & political subdivisions	$   190	$  13	$  0	$   203
Corporate debt securities	284	1	0	285
Commercial mortgage-backed securities (CMBS)	7	0	0	7
Collateralized debt obligations (CDO)	3	1	0	4
Other debt securities	11	0	0	11
Total fixed maturities	495	15	0	510
Nonredeemable preferred stock	24	2	0	26
Total available-for-sale securities – Indemnity	$   519	$  17	$  0	$   536
Exchange
Available-for-sale securities:
U.S. government & agencies	$     16	$   1	$  0	$     17
States & political subdivisions	1,297	98	1	1,394
Foreign government securities	15	1	0	16
Corporate debt securities	5,305	467	10	5,762
Residential mortgage-backed securities (RMBS)	182	9	0	191
Commercial mortgage-backed securities (CMBS)	73	3	0	76
Collateralized debt obligations (CDO)	61	5	1	65
Other debt securities	46	2	0	48
Total fixed maturities	6,995	586	12	7,569
Nonredeemable preferred stock	546	67	8	605
Total available-for-sale securities – Exchange	$7,541	$653	$20	$8,174
Total available-for-sale securities – Erie Insurance Group	$8,060	$670	$20	$8,710

	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

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

	Erie Insurance Group
	June 30, 2012
(in millions)	Amortized	Estimated
	cost	fair value
Indemnity
Due in one year or less	$  158	$  159
Due after one year through five years	222	227
Due after five years through ten years	45	48
Due after ten years	70	76
Total fixed maturities – Indemnity	$  495	$  510
Exchange
Due in one year or less	$  522	$  530
Due after one year through five years	2,366	2,517
Due after five years through ten years	2,779	3,073
Due after ten years	1,328	1,449
Total fixed maturities – Exchange	$6,995	$7,569
Total fixed maturities – Erie Insurance Group	$7,490	$8,079

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
	June 30, 2012
(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	$  68	$  0	$  15	$0	$  83	$  0	16
Commercial mortgage-backed securities (CMBS)	0	0	7	0	7	0	2
Collateralized debt obligations (CDO)	2	0	0	0	2	0	1
Other debt securities	11	0	0	0	11	0	2
Total fixed maturities – Indemnity	81	0	22	0	103	0	21
Nonredeemable preferred stock	0	0	3	0	3	0	1
Total available-for-sale securities – Indemnity	$  81	$  0	$  25	$0	$106	$  0	22
Quality breakdown of fixed maturities:
Investment grade	81	0	22	0	103	0	21
Non-investment grade	0	0	0	0	0	0	0
Total fixed maturities – Indemnity	$  81	$  0	$  22	$0	$103	$  0	21
Exchange
Available-for-sale securities:
U.S. governments & agencies	$    1	$  0	$    0	$0	$    1	$  0	1
States & political subdivisions	43	1	2	0	45	1	14
Corporate debt securities	283	6	76	4	359	10	59
Residential mortgage-backed securities (RMBS)	22	0	0	0	22	0	4
Commercial mortgage-backed securities (CMBS)	0	0	2	0	2	0	1
Collateralized debt obligations (CDO)	8	0	33	1	41	1	5
Other debt securities	5	0	3	0	8	0	2
Total fixed maturities – Exchange	362	7	116	5	478	12	86
Nonredeemable preferred stock	59	5	39	3	98	8	16
Total available-for-sale securities – Exchange	$421	$12	$155	$8	$576	$20	102
Quality breakdown of fixed maturities:
Investment grade	$321	$  6	$107	$3	$428	$  9	75
Non-investment grade	41	1	9	2	50	3	11
Total fixed maturities – Exchange	$362	$  7	$116	$5	$478	$12	86

	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

Schedule of investment income, net of expenses, from portfolios

	Erie Insurance Group
(in millions)	Three months ended June 30,		Six months ended June 30,
	2012	2011	2012	2011
Indemnity
Fixed maturities	$   3	$   4	$   6	$   7
Equity securities	1	0	2	1
Cash equivalents and other	0	1	0	1
Total investment income	4	5	8	9
Less: investment expenses	0	1	0	1
Investment income, net of expenses – Indemnity	$   4	$   4	$   8	$   8
Exchange
Fixed maturities	$ 89	$ 92	$179	$184
Equity securities	27	24	49	42
Cash equivalents and other	1	0	2	0
Total investment income	117	116	230	226
Less: investment expenses	8	7	17	16
Investment income, net of expenses – Exchange	$109	$109	$213	$210
Investment income, net of expenses – Erie Insurance Group	$113	$113	$221	$218

Schedule of realized gains (losses) on investments

	Erie Insurance Group
(in millions)	Three months ended June 30,		Six months ended June 30,
	2012	2011	2012	2011
Indemnity
Available-for-sale securities:
Fixed maturities:
Gross realized gains	$     0	$  2	$    0	$    2
Gross realized losses	0	0	0	0
Net realized gains	0	2	0	2
Equity securities:
Gross realized gains	0	2	0	3
Gross realized losses	0	0	0	0
Net realized gains	0	2	0	3
Trading securities:
Common stock:
Gross realized gains	0	1	1	2
Gross realized losses	0	0	0	0
Valuation adjustments	(1)	1	1	0
Net realized (losses) gains	(1)	2	2	2
Net realized investment (losses) gains – Indemnity	$    (1)	$  6	$    2	$    7
Exchange
Available-for-sale securities:
Fixed maturities:
Gross realized gains	$   16	$26	$ 25	$ 51
Gross realized losses	(3)	(5)	(6)	(17)
Net realized gains	13	21	19	34
Equity securities:
Gross realized gains	4	10	5	16
Gross realized losses	(2)	0	(2)	(1)
Net realized gains	2	10	3	15
Trading securities:
Common stock:
Gross realized gains	44	71	85	127
Gross realized losses	(21)	(16)	(33)	(24)
Valuation adjustments	(144)	(53)	113	29
Net realized (losses) gains	(121)	2	165	132
Net realized investment (losses) gains – Exchange	$(106)	$33	$187	$181
Net realized investment (losses) gains – Erie Insurance Group	$(107)	$39	$189	$188

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

	Erie Insurance Group
	As of and for the six months ended June 30, 2012
(dollars in millions)			Income (loss) recognized due to valuation		Income
Investment percentage in limited partnerships	Number of partnerships	Asset recorded	adjustments by the partnerships		(1oss) recorded
Indemnity
Private equity:
Less than 10%	26	$     71	$   0		$  2
Greater than or equal to 10% but less than 50%	3	9	0		0
Greater than 50%	0	0	0		0
Total private equity	29	80	0		2
Mezzanine debt:
Less than 10%	11	20	(2	)	4
Greater than or equal to 10% but less than 50%	3	10	0		1
Greater than 50%	1	1	0		0
Total mezzanine debt	15	31	(2	)	5
Real estate:
Less than 10%	12	60	(1	)	(1	)
Greater than or equal to 10% but less than 50%	3	18	0		0
Greater than 50%	3	10	1		0
Total real estate	18	88	0		(1	)
Total limited partnerships – Indemnity	62	$  199	$  (2	)	$   6
Exchange
Private equity:
Less than 10%	41	$  465	$14		$13
Greater than or equal to 10% but less than 50%	3	44	1		0
Greater than 50%	0	0	0		0
Total private equity	44	509	15		13
Mezzanine debt:
Less than 10%	17	128	(5	)	19
Greater than or equal to 10% but less than 50%	3	27	(1	)	3
Greater than 50%	3	35	(1	)	2
Total mezzanine debt	23	190	(7	)	24
Real estate:
Less than 10%	23	292	(3	)	13
Greater than or equal to 10% but less than 50%	5	56	(3	)	1
Greater than 50%	3	36	3		(2	)
Total real estate	31	384	(3	)	12
Total limited partnerships – Exchange	98	$1,083	$   5		$49
Total limited partnerships – Erie Insurance Group		$1,282	$   3		$55

	Erie Insurance Group
	As of and for the year ended December 31, 2011
(dollars in millions)			Income (loss) recognized due to valuation		Income
Investment percentage in limited partnerships	Number of partnerships	Asset recorded	adjustments by the partnerships		(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