Progressive 2012 Annual Report Download - page 63

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ASSET-BACKED SECURITIES
Included in the fixed-income portfolio are asset-backed securities, which were comprised of the following at December 31:
($ in millions)
Fair
Value
Net Unrealized
Gains
(Losses)
% of Asset-
Backed
Securities
Duration
(years)
Rating
(at period end)
2012
Residential mortgage-backed securities:
Prime collateralized mortgage obligations $ 190.4 $ 5.4 5.6% 1.8 A-
Alt-A collateralized mortgage obligations 40.7 2.8 1.2 1.4 BBB+
Collateralized mortgage obligations 231.1 8.2 6.8 1.8 A-
Home equity (sub-prime bonds) 197.1 6.6 5.8 <.1 BBB
Residential mortgage-backed securities 428.2 14.8 12.6 .7 BBB+
Commercial mortgage-backed obligations:
Commercial mortgage-backed obligations 1,865.3 74.1 54.4 3.1 AA+
Commercial mortgage-backed obligations: interest only 183.4 10.7 5.4 2.1 AAA-
Commercial mortgage-backed obligations 2,048.7 84.8 59.8 3.0 AA+
Other asset-backed securities:
Automobile 498.2 5.7 14.5 1.1 AAA
Credit card 56.0 3.0 1.6 2.2 AAA
Other1394.4 4.1 11.5 .8 AAA-
Other asset-backed securities 948.6 12.8 27.6 1.0 AAA-
Total asset-backed securities $3,425.5 $112.4 100.0% 2.2 AA+
2011
Residential mortgage-backed securities:
Prime collateralized mortgage obligations $ 228.6 $ (9.6) 6.5% 1.2 A
Alt-A collateralized mortgage obligations 43.2 .9 1.2 2.1 A-
Collateralized mortgage obligations 271.8 (8.7) 7.7 1.3 A-
Home equity (sub-prime bonds) 155.1 (17.3) 4.4 <.1 A-
Residential mortgage-backed securities 426.9 (26.0) 12.1 .8 A-
Commercial mortgage-backed obligations:
Commercial mortgage-backed obligations 1,595.7 39.8 45.3 2.4 AA+
Commercial mortgage-backed obligations: interest only 280.9 7.0 8.0 1.6 AAA-
Commercial mortgage-backed obligations 1,876.6 46.8 53.3 2.2 AA+
Other asset-backed securities:
Automobile 682.6 5.1 19.4 1.3 AAA
Credit card 157.2 4.0 4.4 1.4 AAA
Other1380.8 .9 10.8 1.1 AAA-
Other asset-backed securities 1,220.6 10.0 34.6 1.2 AAA-
Total asset-backed securities $3,524.1 $ 30.8 100.0% 1.7 AA+
1Includes equipment leases, manufactured housing, and other types of structured debt.
Substantially all of the asset-backed securities have widely available market quotes. As of December 31, 2012, 7% of our
asset-backed securities were exposed to non-prime mortgage loans (home equity and Alt-A). Consistent with our plan to
add high-quality, short-maturity, fixed-income securities, during 2012, we continued to purchase investment-grade
structured securities, primarily in the commercial mortgage-backed and consumer asset-backed markets. These
investments typically have a maturity profile of five years or less, and have substantial structural credit support (i.e., the
amount of underlying principal balance that is available to absorb losses before our position begins to recognize losses due
App.-A-63