Investments (Tables)

9 Months Ended

Sep. 30, 2012

Investments

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

	Erie Insurance Group
	September 30, 2012
(in millions)	Amortized	Gross unrealized	Gross unrealized	Estimated
	cost	gains	losses	fair value
Indemnity
Available-for-sale securities:
States & political subdivisions	$   181	$  14	$  0	$  195
Corporate debt securities	333	2	0	335
Commercial mortgage-backed securities (CMBS)	6	0	0	6
Collateralized debt obligations (CDO)	3	0	0	3
Other debt securities	8	0	0	8
Total fixed maturities	531	16	0	547
Nonredeemable preferred stock	27	2	0	29
Total available-for-sale securities – Indemnity	$   558	$  18	$  0	$  576
Exchange
Available-for-sale securities:
U.S. government & agencies	$     16	$    1	$  0	$    17
States & political subdivisions	1,238	111	1	1,348
Foreign government securities	15	1	0	16
Corporate debt securities	5,306	584	4	5,886
Residential mortgage-backed securities (RMBS)	166	8	0	174
Commercial mortgage-backed securities (CMBS)	67	5	0	72
Collateralized debt obligations (CDO)	57	5	0	62
Other debt securities	44	4	0	48
Total fixed maturities	6,909	719	5	7,623
Nonredeemable preferred stock	543	83	2	624
Total available-for-sale securities – Exchange	$7,452	$802	$ 7	$8,247
Total available-for-sale securities – Erie Insurance Group	$8,010	$820	$ 7	$8,823

	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
	September 30, 2012
(in millions)	Amortized	Estimated
	cost	fair value
Indemnity
Due in one year or less	$   168	$  169
Due after one year through five years	255	259
Due after five years through ten years	45	49
Due after ten years	63	70
Total fixed maturities – Indemnity	$  531	$  547
Exchange
Due in one year or less	527	537
Due after one year through five years	2,241	2,427
Due after five years through ten years	2,799	3,165
Due after ten years	1,342	1,494
Total fixed maturities – Exchange	$6,909	$7,623
Total fixed maturities – Erie Insurance Group	$7,440	$8,170

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
	September 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	$  54	$0	$ 5	$0	$  59	$0	12
Commercial mortgage-backed securities (CMBS)	0	0	5	0	5	0	1
Collateralized debt obligations (CDO)	1	0	0	0	1	0	1
Total fixed maturities – Indemnity	55	0	10	0	65	0	14
Nonredeemable preferred stock	3	0	3	0	6	0	2
Total available-for-sale securities – Indemnity	$  58	$0	$13	$0	$  71	$0	16
Quality breakdown of fixed maturities:
Investment grade	$  55	$0	$10	$0	$  65	$0	14
Non-investment grade	0	0	0	0	0	0	0
Total fixed maturities – Indemnity	$  55	$0	$10	$0	$  65	$0	14
Exchange
Available-for-sale securities:
States & political subdivisions	$   5	$1	$ 0	$0	$    5	$1	2
Corporate debt securities	90	2	23	2	113	4	24
Residential mortgage-backed securities (RMBS)	10	0	0	0	10	0	1
Collateralized debt obligations (CDO)	6	0	31	0	37	0	4
Other debt securities	5	0	0	0	5	0	1
Total fixed maturities – Exchange	116	3	54	2	170	5	32
Nonredeemable preferred stock	39	0	33	2	72	2	13
Total available-for-sale securities – Exchange	$155	$3	$87	$4	$242	$7	45
Quality breakdown of fixed maturities:
Investment grade	$  79	$2	$45	$1	$124	$3	24
Non-investment grade	37	1	9	1	46	2	8
Total fixed maturities – Exchange	$116	$3	$54	$2	$170	$5	32

	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 September 30,		Nine months ended September 30,
	2012	2011	2012	2011
Indemnity
Fixed maturities	$   4	$   3	$  10	$   10
Equity securities	0	1	2	2
Cash equivalents and other	1	0	1	1
Total investment income	5	4	13	13
Less: investment expenses	1	0	1	1
Investment income, net of expenses – Indemnity	$   4	$   4	$  12	$   12
Exchange
Fixed maturities	$ 87	$ 91	$266	$ 275
Equity securities	23	21	72	63
Cash equivalents and other	0	0	2	0
Total investment income	110	112	340	338
Less: investment expenses	9	8	26	24
Investment income, net of expenses – Exchange	$101	$104	$314	$ 314
Investment income, net of expenses – Erie Insurance Group	$105	$108	$326	$ 326

Schedule of realized gains (losses) on investments

	Erie Insurance Group
(in millions)	Three months ended September 30,				Nine months ended September 30,
	2012		2011		2012		2011
Indemnity
Available-for-sale securities:
Fixed maturities:
Gross realized gains	$   0		$     0		$   0		$     2
Gross realized losses	0		0		0		0
Net realized gains	0		0		0		2
Equity securities:
Gross realized gains	0		0		0		3
Gross realized losses	0		0		0		0
Net realized gains	0		0		0		3
Trading securities:
Common stock:
Gross realized gains	0		0		1		2
Gross realized losses	0		0		0		0
Valuation adjustments	2		(6	)	3		(6	)
Net realized gains (losses)	2		(6	)	4		(4	)
Net realized investment gains (losses) – Indemnity	$   2		$    (6	)	$   4		$     1
Exchange
Available-for-sale securities:
Fixed maturities:
Gross realized gains	$ 22		$   15		$ 47		$   66
Gross realized losses	(6	)	(5	)	(12	)	(22	)
Net realized gains	16		10		35		44
Equity securities:
Gross realized gains	5		3		10		19
Gross realized losses	(5	)	0		(7	)	(1	)
Net realized gains	0		3		3		18
Trading securities:
Common stock:
Gross realized gains	37		56		122		183
Gross realized losses	(24	)	(35	)	(57	)	(59	)
Valuation adjustments	138		(450	)	251		(421	)
Net realized gains (losses)	151		(429	)	316		(297	)
Net realized investment gains (losses) – Exchange	$167		$(416	)	$354		$(235	)
Net realized investment gains (losses) – Erie Insurance Group	$169		$(422	)	$358		$(234	)

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

	Erie Insurance Group
	As of and for the nine months ended September 30, 2012
(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	$     64	$ (2	)	$  3
Greater than or equal to 10% but less than 50%	3	12	3		0
Greater than 50%	0	0	0		0
Total private equity	29	76	1		3
Mezzanine debt:
Less than 10%	11	19	(2	)	5
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	30	(2	)	6
Real estate:
Less than 10%	12	61	0		0
Greater than or equal to 10% but less than 50%	3	18	1		0
Greater than 50%	3	10	1		0
Total real estate	18	89	2		0
Total limited partnerships – Indemnity	62	$   195	$  1		$  9
Exchange
Private equity:
Less than 10%	41	$   448	$14		$17
Greater than or equal to 10% but less than 50%	3	56	14		(1	)
Greater than 50%	0	0	0		0
Total private equity	44	504	28		16
Mezzanine debt:
Less than 10%	17	129	(6	)	23
Greater than or equal to 10% but less than 50%	3	26	1		4
Greater than 50%	3	38	(2	)	4
Total mezzanine debt	23	193	(7	)	31
Real estate:
Less than 10%	22	294	4		14
Greater than or equal to 10% but less than 50%	5	57	(1	)	0
Greater than 50%	3	35	6		(2	)
Total real estate	30	386	9		12
Total limited partnerships – Exchange	97	$1,083	$30		$59
Total limited partnerships – Erie Insurance Group		$1,278	$31		$68

	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