EXHIBIT 99.1
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As of September 30, 2011
The Phoenix Companies, Inc.
Investment Portfolio Supplement
Investment Portfolio Supplement
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Important disclosures
This presentation may contain “forward-looking statements” within the meaning of the Private Securities Litigation Reform Act of 1995. We intend these
forward-looking statements to be covered by the safe harbor provisions of the federal securities laws relating to forward-looking statements. These forward-
looking statements include statements relating to trends in, or representing management’s beliefs about, our future transactions, strategies, operations and
financial results, and often contain words such as “will,” “anticipate,” “believe,” “plan,” “estimate,” “expect,” “intend,” “is targeting,” “may,” “should” and other
similar words or expressions. Forward-looking statements are made based upon management’s current expectations and beliefs concerning trends and future
developments and their potential effects on us. They are not guarantees of future performance. Our actual business, financial condition or 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 potential adverse affect of interest rate fluctuations on our business and results of operations; (iii) the effect of adverse capital and credit
market conditions on our ability to meet our liquidity needs, our access to capital and our cost of capital; (iv) the effect of guaranteed benefits within our
products; (v) potential exposure to unidentified or unanticipated risk that could adversely affect our businesses or result in losses; (vi) the consequences
related to variations in the amount of our statutory capital due to factors beyond our control; (vii) the possibility that we not be successful in our efforts to
implement a new business plan; (viii) the impact on our results of operations and financial condition of any required increase in our reserves for future
policyholder benefits and claims if such reserves prove to be inadequate; (ix) changes in our investment valuations based on changes in our valuation
methodologies, estimations and assumptions; (x) further downgrades in our debt or financial strength ratings; (xi) the possibility that mortality rates, persistency
rates, funding levels or other factors may differ significantly from our assumptions used in pricing products; (xii) the availability, pricing and terms of
reinsurance coverage generally and the inability or unwillingness of our reinsurers to meet their obligations to us specifically; (xiii) our ability to attract and
retain key personnel in a competitive environment; (xiv) our dependence on third parties to maintain critical business and administrative functions; (xv) the
strong competition we face in our business from banks, insurance companies and other financial services firms; (xvi) 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; (xvii) the potential need to fund deficiencies in our closed block; (xviii) tax developments that may
affect us directly, or indirectly through the cost of, the demand for or profitability of our products or services; (xix) 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; (xx) legislative or regulatory developments; (xxi) regulatory or legal actions; (xxii) potential future
material losses from our discontinued reinsurance business; (xxiii) changes in accounting standards; (xxiv) the potential effect of a material weakness in our
internal control over financial reporting on the accuracy of our reported financial results; and (xxv) other risks and uncertainties described herein or in any of
our filings with the SEC.
forward-looking statements to be covered by the safe harbor provisions of the federal securities laws relating to forward-looking statements. These forward-
looking statements include statements relating to trends in, or representing management’s beliefs about, our future transactions, strategies, operations and
financial results, and often contain words such as “will,” “anticipate,” “believe,” “plan,” “estimate,” “expect,” “intend,” “is targeting,” “may,” “should” and other
similar words or expressions. Forward-looking statements are made based upon management’s current expectations and beliefs concerning trends and future
developments and their potential effects on us. They are not guarantees of future performance. Our actual business, financial condition or 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 potential adverse affect of interest rate fluctuations on our business and results of operations; (iii) the effect of adverse capital and credit
market conditions on our ability to meet our liquidity needs, our access to capital and our cost of capital; (iv) the effect of guaranteed benefits within our
products; (v) potential exposure to unidentified or unanticipated risk that could adversely affect our businesses or result in losses; (vi) the consequences
related to variations in the amount of our statutory capital due to factors beyond our control; (vii) the possibility that we not be successful in our efforts to
implement a new business plan; (viii) the impact on our results of operations and financial condition of any required increase in our reserves for future
policyholder benefits and claims if such reserves prove to be inadequate; (ix) changes in our investment valuations based on changes in our valuation
methodologies, estimations and assumptions; (x) further downgrades in our debt or financial strength ratings; (xi) the possibility that mortality rates, persistency
rates, funding levels or other factors may differ significantly from our assumptions used in pricing products; (xii) the availability, pricing and terms of
reinsurance coverage generally and the inability or unwillingness of our reinsurers to meet their obligations to us specifically; (xiii) our ability to attract and
retain key personnel in a competitive environment; (xiv) our dependence on third parties to maintain critical business and administrative functions; (xv) the
strong competition we face in our business from banks, insurance companies and other financial services firms; (xvi) 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; (xvii) the potential need to fund deficiencies in our closed block; (xviii) tax developments that may
affect us directly, or indirectly through the cost of, the demand for or profitability of our products or services; (xix) 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; (xx) legislative or regulatory developments; (xxi) regulatory or legal actions; (xxii) potential future
material losses from our discontinued reinsurance business; (xxiii) changes in accounting standards; (xxiv) the potential effect of a material weakness in our
internal control over financial reporting on the accuracy of our reported financial results; and (xxv) other risks and uncertainties described herein or in any of
our filings with the SEC.
This information is provided as of September 30, 2011. Certain other factors which may impact our business, financial condition or results of operations or
which may cause actual results to differ from such forward-looking statements are discussed or included in our periodic reports filed with the SEC and are
available on our Web site, www.phoenixwm.com in the Investor Relations section. You are urged to carefully consider all such factors. We do not undertake or
plan to update or revise forward-looking statements to reflect actual results, changes in plans, assumptions, estimates or projections, or other circumstances
occurring after the date of this presentation, even if such results, changes or circumstances make it clear that any forward-looking information will not be
realized. If we make any future public statements or disclosures which modify or impact any of the forward-looking statements contained in or accompanying
this presentation, such statements or disclosures will be deemed to modify or supersede such statements in this presentation.
which may cause actual results to differ from such forward-looking statements are discussed or included in our periodic reports filed with the SEC and are
available on our Web site, www.phoenixwm.com in the Investor Relations section. You are urged to carefully consider all such factors. We do not undertake or
plan to update or revise forward-looking statements to reflect actual results, changes in plans, assumptions, estimates or projections, or other circumstances
occurring after the date of this presentation, even if such results, changes or circumstances make it clear that any forward-looking information will not be
realized. If we make any future public statements or disclosures which modify or impact any of the forward-looking statements contained in or accompanying
this presentation, such statements or disclosures will be deemed to modify or supersede such statements in this presentation.
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Table of contents
Summary
Total Invested Assets
Historical Portfolio Ratings
Bond Portfolio Detail
Exposure to Sensitive Countries
Alternative Asset Detail
Realized Credit Impairment Losses
Unrealized Gains/Losses
Structured Securities Portfolio
Residential Mortgage-Backed Securities (RMBS)
Commercial Mortgage-Backed Securities (CMBS)
Collateralized Debt Obligations (CDO) Holdings
Appendix:
Phoenix Life Insurance Company (PLIC) Closed Block
Page(s)
4
5
6
7 - 8
9
10
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14 - 17
18 - 19
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21 - 24
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Summary
> General account investment portfolio is well diversified and liquid; managed by a team with a
successful track record of investing over a variety of market cycles, following a disciplined monitoring
process
successful track record of investing over a variety of market cycles, following a disciplined monitoring
process
> 92% of bond investments are investment grade. Emphasis is on liquidity with 71% of bonds invested
in public securities
in public securities
> Strict limits on individual financial exposures that mitigate loss potential to any one particular entity; as
a result, there is limited exposure to the financial institutions that have been in the news
a result, there is limited exposure to the financial institutions that have been in the news
> Net unrealized gains of $513 million versus $266 million at year-end 2010
> Residential mortgage-backed securities (RMBS) exposure is high quality and diversified. Exposure is
concentrated in agency and non agency prime-rated securities
concentrated in agency and non agency prime-rated securities
> Commercial mortgage exposure is in highly rated commercial mortgage-backed securities with
minimal direct loan or real estate holdings
minimal direct loan or real estate holdings
> No credit default swap (CDS) exposure
> Limited exposure to European Union countries experiencing financial problems
As of September 30, 2011
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Portfolio comprised
primarily of fixed income securities
primarily of fixed income securities
Bonds $11,676
77%
Policy Loans $2,352
16%
Cash & Cash Equivalents $149 1%
Private Equity $232 2%
Stock $48 0%
Mezzanine Funds $182 1%
Other Invested Assets $456 3%
Total Invested Assets: $15.1 Billion
$ in millions
Market value as of September 30, 2011
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Portfolio quality improved
Percentages based on GAAP Value
As of September 30, 2011
3Q10 | 4Q10 | 1Q11 | 2Q11 | 3Q11 | |
Investment Grade Bonds | 91.0% | 91.3% | 91.8% | 91.5% | 92.4% |
Below Investment Grade (BIG) Bonds | 9.0 | 8.7 | 8.2 | 8.5 | 7.6 |
Percentage of BIG in NAIC 3 | 59.0 | 49.5 | 51.1 | 54.4 | 59.1 |
Percentage of BIG in NAIC 4-6 | 41.0 | 50.5 | 48.9 | 45.6 | 40.9 |
Corporate | |||||
Investment Grade | 91.1 | 91.2 | 91.9 | 91.6 | 92.3 |
Below Investment Grade | 8.9 | 8.8 | 8.1 | 8.4 | 7.7 |
Structured | |||||
Investment Grade | 91.0 | 91.3 | 91.5 | 91.4 | 92.6 |
Below Investment Grade | 9.0 | 8.7 | 8.5 | 8.6 | 7.4 |
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RMBS
6%
CMBS 5%
$ in millions
Market value as of September 30, 2011
1 Includes $219.0 million of Home Equity Asset Backed Securities also included in the RMBS exhibits
2 Includes $35.9 million of CMBS CDO’s also included in the CMBS exhibits
Bond portfolio diversified by sector
U.S. Corporates
61%
Foreign Corporates
5%
ABS 8%
Emerging Markets 3%
Below Investment Grade (BIG) Bonds
by Sector
As of September 30, 2011 | Market Value | % of Total |
Industrials | $2,656.7 | 22.8% |
Residential MBS1 | 2,099.3 | 18.0 |
Foreign Corporates | 1,675.0 | 14.3 |
Financials | 1,546.2 | 13.2 |
Commercial MBS | 1,165.2 | 10.0 |
U.S. Treasuries / Agencies | 849.4 | 7.3 |
Utilities | 589.9 | 5.0 |
Asset Backed Securities | 535.5 | 4.6 |
CBO/CDO/CLO2 | 223.4 | 1.9 |
Municipals | 219.5 | 1.9 |
Emerging Markets | 116.2 | 1.0 |
Total | $11,676.3 |
Bonds by Rating
NAIC 1
59.9%
NAIC 2
32.5%
NAIC 3 & Lower
(BIG)
(BIG)
7.6%
CDO/CLO
12%
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Top 10 debt securities
Issuer | Market Value | % of AFS Debt Securities | Issuer Rating |
Bank of America Corp | $54.4 | 0.5% | Baa1/A |
Wells Fargo | 42.9 | 0.4 | A2/AA- |
General Electric | 42.4 | 0.4 | Aa2/AA+ |
Berkshire Hathaway Inc. | 42.1 | 0.4 | Aa2/AA+ |
Riverside Health System | 39.3 | 0.3 | Aa3/AA- |
AT&T Corporation | 39.2 | 0.3 | A2/A- |
Walgreens | 36.3 | 0.3 | A2/A |
Citigroup | 33.1 | 0.3 | A3/A |
Reed Elsevier Inc. | 31.6 | 0.3 | Baa1/BBB+ |
BB&T Corporation | 30.9 | 0.3 | A2/A |
$ in millions
As of September 30, 2011
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Exposure to sensitive countries
Country | Financial Institution Exposure | All Other Exposure | Total Exposure | % of AFS Debt Securities |
Spain | $11.8 | $50.1 | $61.9 | 0.5% |
Ireland | 5.0 | 43.3 | 48.3 | 0.4 |
Italy | - | 17.2 | 17.2 | 0.2 |
Portugal | - | 15.0 | 15.0 | 0.1 |
Greece | - | - | - | - |
Total | $16.8 | $125.6 | $142.4 | 1.2% |
$ in millions
Market value as of September 30, 2011
> No sovereign exposure
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Alternative asset returns
9/30/2011 Asset Balance | 3Q11 Net Investment Income | |
Private Equity | $231.8 | $1.2 |
Mezzanine Funds | 182.3 | 4.7 |
Infrastructure Funds | 38.7 | 0.8 |
Hedge Fund of Funds | 29.9 | (0.3) |
Leveraged Lease | 26.4 | 0.2 |
Mortgage & Real Estate Funds | 16.0 | (0.5) |
Direct Equity | 22.9 | 0.2 |
Other Alternative Assets | 38.5 | (1.2) |
$586.5 | $5.1 |
$ in millions
As of September 30, 2011
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Credit impairments
GAAP Credit Impairments
3Q10 | 4Q10 | 1Q11 | 2Q11 | 3Q11 | YTD Sept 2010 | YTD Sept 2011 | |
Prime RMBS | - | $1.6 | - | $0.6 | $0.8 | $2.6 | $1.4 |
Alt-A RMBS | 0.4 | 2.5 | 1.0 | 0.2 | 0.4 | 7.5 | 1.6 |
Subprime RMBS | - | 1.5 | 0.3 | 1.9 | 0.9 | 0.1 | 3.1 |
CLO/CDO | 3.6 | 3.5 | - | - | 1.2 | 12.5 | 1.2 |
CMBS | 2.9 | 1.7 | - | - | 2.5 | 4.9 | 2.5 |
Corporate | 3.2 | - | 4.4 | 0.2 | 2.6 | 6.9 | 7.2 |
Other ABS/MBS | 1.7 | - | - | 0.1 | - | 3.7 | 0.1 |
Total Debt | $11.8 | $10.8 | $5.7 | $3.0 | $8.4 | $38.2 | $17.1 |
Schedule BA | - | - | - | - | - | - | - |
Equity | 0.1 | - | - | - | - | 0.6 | - |
Total Credit Impairments | $11.9 | $10.8 | $5.7 | $3.0 | $8.4 | $38.8 | $17.1 |
$ in millions
As of September 30, 2011
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Portfolio in a gain position
$ in millions
1 Market value of $223.4 million includes $35.9 million of CMBS CDO’s
2 All Other - Corporates, RMBS Agency, Other ABS, Foreign, US Government
12/31/10 Unrealized | 9/30/11 Unrealized | 9/30/11 Invested Assets | |
RMBS Prime | $(21.2) | $(8.8) | $511.1 |
Subprime/Alt-A | (58.5) | (66.0) | 487.2 |
CDO/CLO1 | (47.9) | (47.7) | 223.4 |
CMBS | 24.5 | 23.8 | 1,165.2 |
Financial | (25.2) | (14.3) | 1,546.2 |
All Other High Yield | 0.9 | (6.8) | 507.9 |
All Other2 | 393.5 | 632.5 | 7,235.3 |
Total | $266.1 | $512.7 | $11,676.3 |
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High quality
structured securities portfolio
structured securities portfolio
> Structured portfolio is 92.7% investment grade
> RMBS (46.7%) and CMBS (29.0%) dominate the structured portfolio
AAA
64.7%
B or less - 3.0%
BBB - 7.5%
AA - 7.5%
A - 13.0%
BB - 4.3%
$ in millions
Market value as of September 30, 2011, Quality rating breakdown based on NAIC ratings
1 Includes $35.9 million of CMBS CDOs
As of September 30, 2011 | Market Value | % of Total |
Residential MBS | $1,880.3 | 46.7% |
Commercial MBS | 1,165.2 | 29.0 |
Other ABS | 270.4 | 6.7 |
CBO/CDO/CLO1 | 223.4 | 5.6 |
Home Equity | 219.0 | 5.4 |
Auto Loans | 158.7 | 3.9 |
Aircraft Equipment Trust | 63.2 | 1.6 |
Manufactured Housing | 43.2 | 1.1 |
Total | $4,023.4 |
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High quality, diversified RMBS portfolio
$ in millions
Market value as of September 30, 2011
Rating | Book Value | Market Value | % General Account | NAIC 1 | NAIC 2 | NAIC 3 | NAIC 4 | NAIC 5 | NAIC 6 |
Agency | $1,020.6 | $1,101.1 | 7.3% | 100.0% | - | - | - | - | - |
Prime | 519.9 | 511.1 | 3.4 | 78.5 | 16.0% | 5.3% | - | - | 0.2% |
Alt-A | 350.2 | 310.8 | 2.1 | 77.2 | 4.9 | 6.9 | 1.0% | - | - |
Subprime | 203.0 | 176.3 | 1.2 | 82.6 | 3.5 | 6.2 | 6.0 | 1.5% | 0.3 |
Total | $2,093.7 | $2,099.3 | 14.0% | 89.9% | 6.4% | 2.8% | 0.6% | 0.1% | 0.1% |
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High quality, seasoned
non-agency prime RMBS holdings
non-agency prime RMBS holdings
> $511.1 million market value
> 78% NAIC 1 rated
> 82% 2005 and prior origination
> 94% fixed rate vs. 47% for the market
> Phoenix 60+ day delinquent 8.2% vs.
13.5% for the prime RMBS market
13.5% for the prime RMBS market
$ in millions
As of September 30, 2011
Source: JPM MBS Research
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Well constructed
non-agency prime RMBS portfolio
non-agency prime RMBS portfolio
As of September 30, 2011
Source: JP Morgan MBS Research - September 2011, Bloomberg
Market Phoenix
Weighted average credit enhancement 3.6% 9.9%
Weighted average 60+ day delinquent loan 13.53% 8.2%
Phoenix prime portfolio loss coverage: using 40% loss severity 0.67x 3.0x
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Seasoned
non-agency Alt-A RMBS holdings
non-agency Alt-A RMBS holdings
> $310.8 million market value
> 77% NAIC 1 rated
> 84% 2005 and prior originations
> 100% fixed rate collateral vs. 34% for market
> Phoenix 60+ day delinquent 14.9% vs.
27.2% for Alt-A market
27.2% for Alt-A market
$ in millions
Market value as of September 30, 2011
Source: JPM MBS Research
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Highly rated, seasoned
CMBS portfolio
CMBS portfolio
> $1.2 billion in market value
> $126.2 million or 10.5% Government
guaranteed
guaranteed
> 93.4% rated NAIC 1 and 4.7% rated
NAIC 3 and below
NAIC 3 and below
> 63.7% 2005 and prior origination
> Only 3.0% in CMBS CDO’s
Market value as of September 30, 2011
Percentages based on market value
$ in millions
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Well constructed CMBS portfolio
Phoenix CMBS Portfolio
> High levels of credit enhancement
> Excellent credit characteristics vs.
market
market
> Avoided 2006 and 2007 aggressive
underwriting
underwriting
Market1 | Phoenix | |
Weighted average credit enhancement | 27% | 28% |
Weighted average credit enhancement (U.S. Treasury defeasance adjusted) | 28% | 32% |
Interest Only (I/O) loans | 69% | 36% |
Weighted average coupon | 5.72% | 6.15% |
Weighted average loan age | 70 months | 82 months |
60+ Delinquency Rate | 8.3% | 5.3% |
As of September 30, 2011
1Sources: Barclays CMBS Index, Trepp, Bloomberg
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Diversified CDO holdings
$ in millions
No affiliated CDO holdings as of September 30, 2011
Percentages based on market value
Collateral | Book Value | Market Value | % General Account | NAIC 1 | NAIC 2 | NAIC 3 | NAIC 4 | NAIC 5 | NAIC 6 |
Bank Loans | $215.5 | $184.2 | 1.2% | 25.7% | 24.3% | 26.2% | 4.2% | 5.0% | 14.7% |
Inv Grade Debt | 4.0 | 3.3 | - | - | 100.0 | - | - | - | - |
CMBS | 51.6 | 35.9 | 0.3 | 41.5 | 18.7 | 13.0 | - | 26.8 | - |
Total | $271.1 | $223.4 | 1.5% | 27.8% | 24.5% | 23.7% | 3.4% | 8.4% | 12.1% |
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Appendix
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PLIC Closed Block investments
primarily fixed income
primarily fixed income
Bonds $6,396
79%
Policy Loans $1,289
16%
Cash & Cash Equivalents $14 0%
Private Equity $222 3%
Stock $19 0%
Mezzanine Funds $83 1%
Other Invested Assets $61 1%
Invested Assets: $8.1 Billion
$ in millions
Market value as of September 30, 2011
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PLIC Closed Block
portfolio high quality
portfolio high quality
Percentages based on GAAP Value
As of September 30, 2011
3Q10 | 4Q10 | 1Q11 | 2Q11 | 3Q11 | |
Investment Grade Bonds | 92.6% | 92.9% | 93.1% | 92.9% | 93.3% |
Below Investment Grade (BIG) Bonds | 7.4 | 7.1 | 6.9 | 7.1 | 6.7 |
Percentage of BIG in NAIC 3 | 67.3 | 59.4 | 59.8 | 62.1 | 64.3 |
Percentage of BIG in NAIC 4-6 | 32.7 | 40.6 | 40.2 | 37.9 | 35.7 |
Public Bonds | 66.5 | 67.0 | 67.3 | 66.5 | 65.6 |
Private Bonds | 33.5 | 33.0 | 32.7 | 33.5 | 34.4 |
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PLIC Closed Block
portfolio diversified
portfolio diversified
U.S. Corporates
70%
Foreign Corporates
6%
ABS - 5%
$ in millions
Market value as of September 30, 2011
1 Includes $35.0 million of Home Equity Asset Backed Securities
2 Includes $22.0 million of CMBS CDO’s
Below Investment Grade (BIG) Bonds
by Sector
Phoenix Closed Block Bond Portfolio | ||
As of September 30, 2011 | Market Value | % of Total |
Industrials | 1,741.5 | 27.2% |
Foreign Corporates | 1,013.5 | 15.8 |
Financials | 916.2 | 14.3 |
Residential MBS1 | 906.2 | 14.2 |
Commercial MBS | 624.9 | 9.8 |
U.S. Treasuries / Agencies | 392.5 | 6.1 |
Utilities | 372.5 | 5.8 |
Municipals | 131.5 | 2.1 |
Asset Backed Securities | 127.3 | 2.0 |
CBO/CDO/CLO’s2 | 87.0 | 1.4 |
Emerging Markets | 82.5 | 1.3 |
Total | $6,395.6 |
Bonds by Rating
NAIC 1
57.5%
NAIC 2
35.8%
NAIC 3 & Lower
6.7%
RMBS - 5%
CLO/CDO - 7%
CMBS - 3%
Emerging Markets -
4%
4%
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