Mercury Insurance 2015 Annual Report Download - page 58

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46
Another exposure related to the fixed maturity securities is credit risk, which is managed by maintaining a weighted-average
portfolio credit quality rating of A+, at fair value at December 31, 2015, consistent with the average rating at December 31, 2014.
The Company’s municipal bond holdings of which 98.4% were tax exempt, represented 85.6% of its fixed maturity portfolio at
December 31, 2015, at fair value, and are broadly diversified geographically.
To calculate the weighted-average credit quality ratings as disclosed throughout thisAnnual Report on Form 10-K, individual
securities were weighted based on fair value and a credit quality numeric score that was assigned to each security’s average of
ratings assigned by nationally recognized securities rating organizations.
Taxable holdings consist principally of investment grade issues. At December 31, 2015, fixed maturity holdings rated below
investment grade and non-rated bonds totaled $37.5 million and $6.2 million, respectively, at fair value, and represented 1.3% and
0.2%, respectively, of total fixed maturity securities. At December 31, 2014, fixed maturity holdings rated below investment grade
and non-rated bonds totaled $37.2 million and $10.8 million, respectively, at fair value, and represented 1.4% and 0.4%, respectively,
of total fixed maturity securities.
Credit ratings for the Company's fixed maturity portfolio were stable in 2015, with 91.2% of fixed maturity securities at
fair value experiencing no change in their overall rating. 2.7% and 6.1% of fixed maturity securities at fair value experienced
upgrades and downgrades, respectively, in 2015. The downgrades were slight and still within the investment grade portfolio in
2015.