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ASSURANT, INC.2012 Form10-K58
PARTII
ITEM 7A Quantitative and Qualitative Disclosures About Market Risk
e following tables summarize the results of this analysis for bonds, mortgage-backed and asset-backed securities held in our investment portfolio
as of the dates indicated:
INTEREST RATE MOVEMENT ANALYSIS OF MARKET VALUE OF FIXED MATURITY SECURITIES INVESTMENT PORTFOLIO
As of December31, 2012
-100
-50
050
100
Total market value $ 13,029,953 $ 12,613,857 $ 12,171,638 $ 11,742,576 $ 11,337,344
% Change in market value from base case 7.05% 3.63% 0 (3.53)% (6.85)%
$ Change in market value from base case $ 858,315 $ 442,219 $ 0 $ (429,062) $ (834,294)
As of December31, 2011
-100
-50
050
100
Total market value $ 12,030,637 $ 11,609,913 $ 11,192,599 $ 10,784,614 $ 10,398,982
% Change in market value from base case 7.49% 3.73% 0 (3.65)% (7.09)%
$ Change in market value from base case $ 838,038 $ 417,314 $ 0 $ (407,985) $ (793,617)
e interest rate sensitivity relating to reinvestment risk of our xed maturity securities is assessed using hypothetical scenarios that assume
purchases in the primary market and considers the e ects of interest rates on sales. e e ects of embedded options including call or put features
are not considered. Our actual results may di er from the results noted below particularly due to assumptions utilized or if events occur that
were not included in the methodology.
e following tables summarize the results of this analysis on our reported portfolio yield as of the dates indicated:
INTEREST RATE MOVEMENT ANALYSIS OF PORTFOLIO YIELD OF FIXED MATURITY SECURITIES INVESTMENT PORTFOLIO
As of December31, 2012
-100
-50
0
50
100
Portfolio yield 5.20% 5.28% 5.36% 5.44% 5.52%
Basis point change in portfolio yield (0.16)% (0.08)% 0 0.08% 0.16%
As of December31, 2011
-100
-50
0
50
100
Portfolio yield 5.52% 5.58% 5.63% 5.68% 5.74%
Basis point change in portfolio yield (0.11)% (0.05)% 0 0.05% 0.11%
Credit Risk
We have exposure to credit risk primarily from customers, as a holder
of xed maturity securities and by entering into reinsurance cessions.
Our risk management strategy and investment policy is to invest in
debt instruments of high credit quality issuers and to limit the amount
of credit exposure with respect to any one issuer. We attempt to limit
our credit exposure by imposing xed maturity portfolio limits on
individual issuers based upon credit quality. Currently our portfolio
limits are 1.5% for issuers rated AA- and above, 1% for issuers rated
A- to A+, 0.75% for issuers rated BBB- to BBB+ and 0.38% for
issuers rated BB- to BB+. ese portfolio limits are further reduced
for certain issuers with whom we have credit exposure on reinsurance
agreements. We use the lower of Moody’s or S&P’s ratings to determine
an issuer’s rating.
e following table presents our xed maturity investment portfolio by ratings of the nationally recognized securities rating organizations as of
the dates indicated:
Rating
December31, 2012 December31, 2011
Fair Value Percentage of Total Fair Value Percentage of Total
Aaa/Aa/A $ 7,319,006 60% $ 6,620,808 59%
Baa 4,014,606 33% 3,692,709 33%
Ba 542,756 5% 648,817 6%
B and lower 295,270 2% 230,265 2%
TOTAL $ 12,171,638 100% $ 11,192,599 100%