![]() ![]() As of December 31, 2008 The Phoenix Companies, Inc. Invested Assets Exhibit 99.1 |
![]() ![]() 2 Important Disclosures This presentation may contain forward-looking statements within the meaning of the Private Securities Litigation Reform Act of 1995 which, by their nature, are subject to risks and uncertainties. We intend for these forward-looking statements to be covered by the safe harbor provisions of the federal securities laws relating to forward-looking statements. These include statements relating to trends in, or representing management’s beliefs about, our future transactions, strategies, operations and financial results, as well as other statements including words such as “anticipate,” “believe,” “plan,” “estimate,” “expect,” “intend,” “may,” “should” and other similar expressions. Forward- looking statements are made based upon our current expectations and beliefs concerning trends and future developments and their potential effects on the company. They are not guarantees of future performance. Our actual business, financial condition and results of operations may differ materially from those suggested by forward-looking statements as a result of risks and uncertainties, which include, among others: (i) unfavorable general economic developments including, but not limited to, specific related factors such as the performance of the debt and equity markets and changes in interest rates; (ii) the effect of continuing adverse capital and credit market conditions on our ability to meet our liquidity needs, our access to capital and our cost of capital; (iii) the possibility of losses due to defaults by others including, but not limited to, issuers of fixed income securities; (iv) changes in our investment valuations based on changes in our valuation methodologies, estimations and assumptions; (v) the effect of guaranteed benefits within our products; (vi) the consequences related to variations in the amount of our statutory capital due to factors beyond our control; (vii) downgrades in our debt or financial strength ratings; (viii) the possibility that mortality rates, persistency rates, funding levels or other factors may differ significantly from our pricing expectations; (ix) the availability, pricing and terms of reinsurance coverage generally and the inability or unwillingness of our reinsurers to meet their obligations to us specifically; (x) our dependence on non-affiliated distributors for our product sales; (xi) our dependence on third parties to maintain critical business and administrative functions; (xii) our ability to attract and retain key personnel in a competitive environment; (xiii) the strong competition we face in our business from banks, insurance companies and other financial services firms; (xiv) our reliance, as a holding company, on dividends and other payments from our subsidiaries to meet our financial obligations and pay future dividends, particularly since our insurance subsidiaries’ ability to pay dividends is subject to regulatory restrictions; (xv) the potential need to fund deficiencies in our Closed Block; (xvi) tax developments that may affect us directly, or indirectly through the cost of, the demand for or profitability of our products or services; (xvii) the possibility that the actions and initiatives of the U.S. Government, including those that we elect to participate in, may not improve adverse economic and market conditions generally or our business, financial condition and results of operations specifically (xviii) other legislative or regulatory developments; (xix) legal or regulatory actions; (xx) changes in accounting standards; (xxi) the potential effects of the spin-off of our former asset management subsidiary; and (xxii) other risks and uncertainties described herein or in any of our filings with the SEC. This information is provided as of December 31, 2008. We undertake no obligation to update or revise publicly any forward-looking statement, whether as a result of new information, future events or otherwise. |
![]() ![]() 3 Table of Contents Summary 4 Invested Assets 5 Historical Portfolio Ratings 6 Bond Portfolio 7 Financial Sector Holdings 8 Structured Securities Portfolio 9 Realized Credit Impairment Losses 10 Unrealized Losses 11 CMBS 13 RMBS 16 CDO Holdings 26 Page |
![]() ![]() 4 Summary > Well diversified and liquid general account investment portfolio, managed by a team with a successful track record of investing over a variety of market cycles, following a disciplined monitoring process > 91.8% of bond investments are investment grade. Emphasis is on liquidity with 70.4% of bonds invested in public securities > 84.3% of gross unrealized losses are rated investment grade > Residential mortgage-backed securities exposure is high quality and diversified. Exposure is concentrated in agency and prime-rated securities with only 2.6% of invested assets in Alt-A and subprime investments of which 90.4% is rated AAA and AA > Commercial mortgage-backed securities exposure is in highly rated public securities with minimal direct loan or real estate holdings > No subprime collateralized debt obligations (CDO) exposure. CDO holdings are backed by bank loans, investment grade bonds and commercial mortgage-backed securities > No credit default swap (CDS) exposure > Strict limits on individual financial exposures that mitigate our loss potential to any one particular entity. As a result, we have limited exposure to the financial institutions that have been in the news. |
![]() ![]() 5 Invested Assets Public 70.4% Private 29.6% Bonds $9,831 73% Policy Loans $2,536 19% Cash & Cash Equivalents $381 3% Venture Capital $201 1% Stock $25 0% Mortgages & Real Estate $54 0% Other Invested Assets $563 4% Invested Assets: $13.6 Billion $ in millions Market value as of December 31, 2008 |
![]() ![]() 6 Historical Portfolio Quality Ratings Percentages based on GAAP Value As of December 31, 2008 29.6 27.5 25.6 22.9 Private Bonds 70.4 72.5 74.4 77.1 Public Bonds 41.0 35.3 27.5 23.5 Percentage of BIG in NAIC 4-6 59.0 64.7 72.5 76.5 Percentage of BIG in NAIC 3 8.2 7.7 8.3 7.3 Below Investment Grade (BIG) Bonds 91.8% 92.3% 91.7% 92.7% Investment Grade Bonds 2006 2005 2007 2008 |
![]() ![]() 7 Bond Portfolio U.S. Corporates 64% Foreign Corporates 10% ABS 16% Emerging Markets 9% $ in millions Market value as of December 31, 2008 Below Investment Grade Bonds RMBS 1% Bond Portfolio 100.0% $9,831 Total 1.3 125 Emerging Markets 1.8 178 Taxable Municipals 4.3 424 Utilities 6.1 602 Asset Backed Securities As of December 31, 2008 7.0 688 U.S. Treasuries / Agencies 11.1 1,095 Commercial MBS 15.7 1,543 Residential MBS 14.7 1,442 Financials 14.1 1,386 Foreign Corporates $2,348 23.9% Industrials Bonds by Rating AAA/AA/A 62.3% BBB 29.5% BB & Lower 8.2% |
![]() ![]() 8 Financial Sector Holdings 38.8% 0.4% 49.7 63.9 Consumer Finance 56.1% 10.6% $1,441.6 $1,852.4 Total - - 4.3 4.3 Project Finance 52.2% 1.3% 171.5 237.9 REITS 56.4% 0.7% 89.4 96.8 Leasing/Rental 61.9% 2.3% 313.2 384.5 Insurance 44.5% 1.8% 243.3 358.5 Diversified Financial 50.1% 0.5% 75.2 96.2 Commercial Finance 55.3% 0.9% 123.7 147.8 Broker-Dealer 65.0% 2.7% $371.3 $462.5 Bank Book Value Market Value % General Account % in Closed Block Sector As of December 31, 2008 Percentages based on market value $ in millions |
![]() ![]() 9 Structured Securities Portfolio > Structured portfolio is 96% investment grade > RMBS (48%) and CMBS (34%) dominate the structured portfolio AAA 79.3% B or less - 3.3% BBB – 5.1% AA - 6.1% A - 5.3% BB - 0.9% Market value as of December 31, 2008 $ in millions 0.9 29.9 Collateralized Bond Obligations 0.9 29.6 Aircraft Equipment Trust Structured Securities Portfolio 100.0% $3,240 Total 0.7 22.7 Auto Loans As of December 31, 2008 1.4 44.9 Manufactured Housing 3.5 112.6 CLOs 33.8 1,095.0 Commercial MBS 6.6 211.1 Home Equity 4.6 151.0 Other ABS $1,543.2 47.6% Residential MBS |
![]() ![]() 10 Realized Credit Impairments 2.7 1.0 4.3 Common Stock $60.2 $65.2 $70.1 $22.8 $5.7 $224.0 $129.5 $151.3 Total Debt 16.0 7.2 7.4 Schedule BA Year of Issue² - 0.1 - 5.6 - - - 2008 $242.7 $137.7 $163.0 Total 9.9 - - - 9.9 5.7 17.9 Other ABS/MBS 42.2 11.7 25.8 19.3 99.1 75.7 34.8 Corporate - 3.4 - - 3.4 1.7 1.0 CMBS 0.8 3.4 17.1 1.6 28.5 19.0 32.5 CLO/CDO 1.0 9.0 13.9 1.0 24.9 17.5 5.1 Subprime RMBS - 18.1 13.3 0.9 32.3 8.2 30.5 Alt-A RMBS $6.3 $19.6 - - $25.9 $1.7 $29.5 Prime RMBS 2004 & Prior 2005 2006 2007 FY 2008 Impairment 4Q08 Impairment Book Value¹ 1 GAAP Book value after impairments on identified assets 2 Year of issue for full year 2008 impairments As of December 31, 2008 $ in millions |
![]() ![]() 11 Unrealized Losses by NAIC Rating Market value as of December 31, 2008 $ in millions $915.9 $563.0 $143.2 $91.3 $39.1 $1.0 NAIC 1 NAIC 2 NAIC 3 NAIC 4 NAIC 5 NAIC 6 |
![]() ![]() 12 Net Unrealized Losses by Sector 1 All Other – Corporates, RMBS Prime/Agency, Other ABS, Foreign As of December 31, 2008 $ in millions $(651.1) $(994.2) $(1,645.2) Total (97.1) (291.8) (388.9) All Other¹ (65.3) (127.0) (192.3) All Other HY (155.2) (255.5) (410.6) Financial (96.7) (64.2) (160.9) CMBS (156.6) (57.8) (214.4) CDO/CLO (38.8) (116.6) (155.4) Subprime/Alt-A $ (41.4) $ (81.3) $ (122.7) RMBS Prime 4Q08 Change September 30, 2008 Unrealized December 31, 2008 Unrealized |
![]() ![]() 13 CMBS Portfolio Phoenix CMBS Portfolio > High levels of credit enhancement > Excellent credit characteristics vs. market > Strategically avoided 2006 and 2007 aggressive underwriting 1 Sources: Barclays CMBS Index, Trepp As of December 31, 2008 5.94% 6.75% Weighted average coupon 68.5% 68.9% Weighted average LTV 26% 30% Weighted average credit enhancement 1.5x 1.6x Weighted average DSC 43 months 79 months Weighted average loan age 63% 33% Interest Only (I/O) loans 29% 38% Weighted average credit enhancement (U.S. Treasury defeasance adjusted) Market¹ Phoenix |
![]() ![]() 14 CMBS Portfolio > $1.1 billion in market value > $175 million Government guaranteed > 84% AAA and less than 1% BBB or below > 88% 2005 and prior origination > 3% in CMBS CDO Market value as of December 31, 2008 $ in millions $0 $200 $400 $600 $800 $1,000 2007 2006 2005 2004 & Prior AAA AA A BBB Below BBB $54.9 $77.9 $53.0 $909.2 AAA $45.1 $63.1 $30.8 $785.2 $924.2 AA 3.0 8.3 9.8 63.9 85.0 A 6.8 6.5 10.6 56.2 80.1 BBB 0.0 0.0 0.8 3.9 4.7 Below BBB 0.0 0.0 1.0 0.0 1.0 Total $54.9 $77.9 $53.0 $909.2 $1,095.0 2007 2006 2005 2004 and Prior Total |
![]() ![]() 15 CMBS by Year of Origination Year of Issue 5.0% - - 8.4% 3.6% 4.9% 2007 7.1% - - 8.1% 9.8% 6.8% 2006 4.8% 16.5% 100.0% 13.3% 11.5% 3.3% 2005 83.1% 83.5% - 70.2% 75.1% 85.0% 2004 & Prior 73.4% 8.0% $1,095.0 $1,291.6 Total - 33.3% - - 4.7 1.0 6.7 1.0 BBB BB and Below 53.4% 0.6% 80.1 119.8 A 61.9% 0.6% 85.0 131.1 AA 76.6% 6.8% $924.2 $1,033.0 AAA % in Closed Block % General Account Market Value Book Value Rating As of December 31, 2008 Percentages based on market value $ in millions |
![]() ![]() 16 Residential MBS by Rating As of December 31, 2008 Percentages based on market value $ in millions 0.8% 0.8% 6.2% 0.2% - BB & Below 56.6% 5.1% 36.5% 41.2% 77.3% % in Closed Block 1.5% 1.0% 5.1% 91.6% 12.9% $1,754.3 $2,012.0 Total 5.7% 0.1% 7.4% 86.0% 1.2% 165.2 224.2 Subprime 3.4% 2.6% 20.3% 67.5% 1.4% 192.2 288.6 Alt-A 2.4% 2.6% 8.3% 86.5% 3.4% 458.8 581.6 Prime - - - 100.0% 6.9% $938.1 $917.6 Agency BBB A AA AAA % General Account Market Value Book Value Rating |
![]() ![]() 17 Residential MBS Exposure 16.3 80.0 61.8 93.4 1.2 Subprime 30.0 98.0 64.0 87.8 1.4 Alt-A 3.4% % of General Account Non-Agency Prime 84.1% % of Portfolio Originated in 2005 & Prior 94.8% % Rated AAA & AA 91.0% % of Portfolio Backed by Fixed Rate Collateral 41.0% % of Market Backed by Fixed Rate Collateral Market value as of December 31, 2008 Source: JP Morgan MBS Research, Merrill Lynch Mortgage Credit Round-up |
![]() ![]() 18 Residential MBS Delinquencies As of December 31, 2008 Source: JP Morgan MBS Research 1.9% 11.0% 17.1% 3.4% 18.9% 40.0% 0% 5% 10% 15% 20% 25% 30% 35% 40% 45% 50% Non-Agency Prime Alt-A Subprime Phoenix Market |
![]() ![]() 19 Non-Agency Prime RMBS Holdings > $458.8 million market value > 87% AAA rated > 84% 2005 and prior origination > 91% fixed rate > 82% 2006-2007 originations are super senior classes As of December 31, 2008 $ in millions $0 $50 $100 $150 $200 $250 $300 $350 2007 2006 2005 2004 and Prior AAA AA A BBB Below BBB $13.6 $59.6 $82.1 2007 2006 2005 2004 and Prior Total AAA $13.6 $33.1 $78.6 $271.6 $396.9 AA 0.0 15.7 0.5 22.1 38.3 A 0.0 10.8 0.0 0.9 11.7 BBB 0.0 0.0 2.3 8.9 11.2 Below BBB 0.0 0.0 0.7 0.0 0.7 Total $13.6 $59.6 $82.1 $303.5 $458.8 $303.5 |
![]() ![]() 20 Non-Agency Prime RMBS Holdings As of December 31, 2008 Source: JP Morgan MBS Research – January 2009, Bloomberg Phoenix Market Weighted average credit enhancement 9.37% 4.38% Weighted average 60+ day delinquent loan 1.90% 3.37% Phoenix prime portfolio loss coverage: using 25% loss severity 19.7x 5.2x |
![]() ![]() 21 AAA $7.1 $37.6 $39.0 $46.0 $129.7 AA 0.0 8.3 0.2 30.5 39.0 A 0.0 0.0 1.3 3.8 5.1 BBB 0.0 4.2 2.3 0.0 6.5 BB & Below 3.6 8.3 0.0 0.0 11.9 Total $10.7 $58.4 $42.8 $80.3 $192.2 Non-Agency Alt-A RMBS Holdings > $192 million market value > 88% AAA or AA rated > 64% 2005 and prior originations $0 $10 $20 $30 $40 $50 $60 $70 $80 $90 2007 2006 2005 2004 and Prior AAA AA A BBB Below BBB Market value as of December 31, 2008 $ in millions $10.7 $58.4 $42.8 $80.3 2007 2006 2005 2004 and Prior Total |
![]() ![]() 22 Residential MBS ALT-A Collateral As of December 31, 2008 Percentages based on market value $ in millions - - - 69.2% 30.8% 0.1% 11.9 17.3 BB & Below Year of Issue 10.4% 31.4% 22.2% 30.4% 5.6% 1.4% $192.2 $288.6 Total - - 35.0% 65.0% - - 6.5 8.1 BBB 62.0% 12.3% 25.7% - - - 5.1 7.3 A 37.3% 41.1% 0.4% 21.2% - 0.3% 39.0 53.1 AA 1.7% 33.7% 30.1% 29.0% 5.5% 1.0% $129.7 $202.8 AAA 2003 & Prior 2004 2005 2006 2007 % General Account Market Value Book Value Rating |
![]() ![]() 23 Non-Agency Alt-A RMBS Holdings As of December 31, 2008 Sources: JP Morgan MBS Research – January 2009 Merrill Lynch Loan Performance – October 2008 Option ARM 1.8% 32% Alt-A ARM 0.1% 38% Alt-A Fixed 98.0% 30% 60+ Delinquent 11% 18.9% Phoenix Alt-A Market |
![]() ![]() 24 AAA $31.7 $20.7 $49.2 $40.6 $142.2 AA 5.7 0.0 1.6 5.0 12.3 A 0.0 0.0 0.0 0.0 0.0 BBB 0.0 4.3 0.6 4.6 9.5 Below BBB 0.0 0.6 0.4 0.2 1.2 Total $37.4 $25.6 $51.8 $50.4 $165.2 Non-Agency Subprime RMBS Holdings > $165.2 million market value > 93.4% rated AAA or AA > Phoenix 60+ day delinquent 17.1% vs. 40.0% for the ABX index > Phoenix weighted average credit support is 38.6% $0 $10 $20 $30 $40 $50 $60 2007 2006 2005 2004 and Prior AAA AA A BBB Below BBB $ in millions As of December 31, 2008 ABX=2007-2, 2007-1, 2006-2 and 2006-1 subprime Index $37.4 $25.6 $51.8 $50.4 2007 2006 2005 2004 and Prior Total |
![]() ![]() 25 Residential MBS Subprime Collateral As of December 31, 2008 Percentages based on market value $ in millions - 16.3% 28.4% 55.3% - - 1.2 1.2 BB & Below Year of Issue 8.8% 21.7% 31.3% 15.6% 22.6% 1.2% $165.2 $224.2 Total 3.6% 45.1% 6.4% 44.9% - 0.1% 9.5 13.1 BBB - - - - 100% - - - A 40.5% - 13.2% - 46.3% 0.1% 12.3 24.4 AA 6.5% 22.0% 34.6% 14.6% 22.3% 1.0% $142.2 $185.5 AAA 2003 & Prior 2004 2005 2006 2007 % General Account Market Value Book Value Rating |
![]() ![]() 26 CDO Holdings As of December 31, 2008 Percentages based on market value $ in millions 14.4% 100.0% - - 56.2% 11.5% BB & Below 41.6% - 53.0% 100.0% 59.7% 36.4% % in Closed Block 17.2% 21.1% 37.0% 24.7% 0.2% 27.1 62.8 CMBS 36.8% 26.2% 15.1% 7.5% 1.2% $165.1 $372.1 Total - - - - - 2.0 2.0 RMBS - - 100.0% - - 2.4 3.9 High-Yield Debt 10.6% - 33.2% - 0.1% 14.3 36.3 Inv Grade Debt 45.7% 31.5% 6.5% 4.8% 0.9% $119.3 $267.1 Bank Loans BBB A AA AAA % General Account Market Value Book Value Collateral - - BB & Below - - % in Closed Block 100.0% - - - - $6.5 $13.8 Total 100.0% - - - - $6.5 $13.8 Bank Loans BBB A AA AAA % General Account Market Value Book Value Collateral |
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