Mercury Insurance 2011 Annual Report Download - page 73

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The following table presents the credit quality ratings of the Company’s fixed maturity portfolio by security
type at December 31, 2011 at fair value. The Company’s estimated credit quality ratings are based on the average
of ratings assigned by nationally recognized securities rating organizations. Credit ratings for the Company’s
fixed maturity portfolio were stable as compared to the prior year, with 77.6% of fixed maturity securities at fair
value experiencing no change in their overall rating. 15.9% of fixed maturity securities at fair value experienced
downgrades during the period, partially offset by 6.5% in credit upgrades. The majority of the downgrades were
due to continued downgrading of the monoline insurance carried on much of the municipal holdings. The
majority of the downgrades were slight and the affected securities remain in the investment grade portfolio,
except for $3.8 million of fixed maturity securities, at fair value, that were downgraded to below investment
grade during 2011.
December 31, 2011
AAA AA(1) A(1) BBB(1) Non-Rated/Other Total
(Amounts in thousands)
U.S. government bonds and agencies:
Treasuries ................. $ 6,851 $ — $ — $ — $ — $ 6,851
Government Agency ......... 7,447 — — — — 7,447
Total .................. 14,298 — — — — 14,298
100.0% 100.0%
Municipal securities:
Insured .................... 4,940 541,878 580,653 141,123 29,908 1,298,502
Uninsured ................. 190,554 313,966 314,549 141,718 11,986 972,773
Total .................. 195,494 855,844 895,202 282,841 41,894 2,271,275
8.6% 37.7% 39.4% 12.5% 1.8% 100.0%
Mortgage-backed securities:
Agencies .................. 17,734 — — — — 17,734
Non-agencies:
Prime ................. 3,686 660 1,196 395 3,942 9,879
Alt-A ................. 30 1,816 1,223 1,545 5,144 9,758
Total .................. 21,450 2,476 2,419 1,940 9,086 37,371
57.4% 6.6% 6.5% 5.2% 24.3% 100.0%
Corporate securities:
Communications ............ — — — 6,681 — 6,681
Consumer—cyclical ......... ———— 103 103
Energy .................... — — — 4,874 2,735 7,609
Basic materials ............. — — — 4,222 — 4,222
Financial .................. — 19,269 15,552 6,893 11,245 52,959
Utilities ................... — — — 3,134 434 3,568
Total .................. — 19,269 15,552 25,804 14,517 75,142
0.0% 25.7% 20.7% 34.3% 19.3% 100.0%
Collateralized debt obligations:
Corporate .................. ————47,503 47,503
Total .................. ————47,503 47,503
100.0% 100.0%
Total .................. $231,242 $877,589 $913,173 $310,585 $113,000 $2,445,589
9.5% 35.9% 37.3% 12.7% 4.6% 100.0%
(1) Intermediate ratings are offered at each level (e.g., AA includes AA+, AA and AA-).
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