Selective Insurance Group, Inc. · NASDAQ:SIGI
Selective Insurance — Q2 2009 Earnings Presentation
17 slides from Selective Insurance's earnings presentation, Jul 29, 2009
Slide 1: Municipal bond portfolio by sector
129 ‘General Obligation SWater& Sewer Hospital
Slide 2: Muni Bond Portfolio
•Market Value = $1,679,353 ; Unrealized/Unrecognized Gain/(Loss) = $40,690 •Held to Maturity (HTM) 75%; Available For Sale (AFS) 25% •Muni Portfolio S&P Average Rating = AA+ •Muni Portfolio = 46.6% of the Total Portfolio Selective Insurance Group Inc. and Consolidated Subsidiaries Muni Bond Portfoli
Slide 3: Repayment Source
Repayment Source 4% 3% ~~ 9% 20% 64% wRevenue mGO-Local mGO-State a Pre-refunded 0 TX-PSF
Slide 4: Repayment Source Composition by State
100% 80% 60% 40% 20% 0% Repayment Source Composition by State (ex Pre-refunded & TX-Permanent School Fund (PSF)) eter ts Fv & Revenue mGO-Local mGO-State Cog é =
Slide 5: Repayment Source Composition by State
Repayment Source Composition by State % Market Values State Revenue % of State General Obligation (GO)-Local % of State General Obligation (GO)-State % of State Pre-refunded % of State TX - Permanent School Fund (PSF) % of State Total % of State TX 88,576 % 59,235 % 6,383 % - % - % 154,195 % TX-PSF
Slide 6: Structured securities portfolio composition
03% 41% 82% 5.2% 54.4%. CMBS (Non-Agency) mCMBS-Agency RMBS-Agency RMBS-Non-Agency IA, GABSOther GRABS
Slide 7: Structured Securities Ratings Migration
•Market Value = $664,377 ; Unrealized/Unrecognized Gain/(Loss) = ($65,154) •Held to Maturity (HTM) 46%; Available for Sale (AFS) 54% •Structured Security Portfolio Average Rating = AA+ •Structured Securities = 18.5% of the Total Portfolio Selective Insurance Group Inc. and Consolidated Subsidiaries
Slide 8: RMBS and RABS Securities composition
8.2% 0.4% 85.0% Agency MNon-Agency BAILA Home Equity ABS
Slide 9: RMBS and RABS Securities Ratings Migration
•Market Value = $425,348; Unrealized/Unrecognized Gain/(Loss) = ($26,545) •Held to Maturity (HTM) 41%; Available for Sale (AFS) 59% •RMBS & RABS Portfolio Average Rating = AA+ •RMBS & RABS Securities = 11.8% of the Total Portfolio Selective Insurance Group Inc. and Consolidated Subsidiaries Resident
Slide 10: Alt-A portfolio by loan type
33h 17.9% 24.3% 5% Fixed 30 Hybrid ARM Gi Fixed 15 @cDoO
Slide 11: Alt-A by Vintage Year
· Market Value = $27,130; Unrealized/Unrecognized Gain/(Loss) = ($10,656) · Held to Maturity (HTM) 3% ; Available for Sale (AFS) 97% · Alt-A Portfolio S&P Average Rating = AA+ · Alt-A Securities = 0.8% of the Total Portfolio –Fixed-30 Loan-to-Value Ratio = 72.7% –Hybrid ARM Loan-to-Value Ratio = 71.
Slide 12: CMBS portfolio composition
41.0% 59.0% Private Label Gl Agency Multi- Family
Slide 13: CMBS Ratings Migration
· Market Value = $184,628; Unrealized/Unrecognized Gain/(Loss) = ($32,805) · Held to Maturity (HTM) 53%; Available for Sale (AFS) 47% · CMBS Portfolio Average Rating = AA+ · CMBS Securities = 5.1% of the Total Portfolio Selective Insurance Group Inc. and Consolidated Subsidiaries Commercial Mortgage
Slide 14: 2007 vintage CMBS composition
25.2% 748% Agency Multi-Family ™ Private Label
Slide 15: 2007 Vintage Commercial Mortgage Backed Securities
•Market Value = $40,064; Unrealized/Unrecognized Gain/(Loss) = ($10,787) •Held to Maturity (HTM) 53%; Available for Sale (AFS) 47% •2007 Vintage CMBS Portfolio Average Rating = AA+ •2007 Vintage CMBS Securities = 1.3% of the Fixed Income Portfolio •2007 Vintage CMBS Securities = 1.1% of the Total Po
Slide 16: 2005 and 2006 vintage CMBS composition
31.8% 68.2% Agency Multi-Family ™ Private Label
Slide 17: 2005 & 2006 Vintage Commercial Mortgage Backed Securities
•Market Value = $48,025; Unrealized/Unrecognized Gain/(Loss) = ($23,101) •Held to Maturity (HTM) 32%; Available for Sale (AFS) 68% •2005 & 2006 Vintage CMBS Portfolio Average Rating = AA+ •2005 & 2006 Vintage CMBS Securities = 1.5% of the Fixed Income Portfolio •2005 & 2006 Vintage CMBS Securities =
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