Selective Insurance (SIGI) 8-K Selective Insurance Group Reports

Supplemental Investor Package

First Quarter 2010

Investor Contact:

Jennifer DiBerardino

Vice President, Investor Relations

Tel:  973-948-1364

jennifer.diberardino@selective.com

SELECTIVE INSURANCE GROUP, INC.

FIRST QUARTER 2010 INVESTOR PACKET

TABLE OF CONTENTS

Earnings Press Release......................................................................................................................................		1
Selected Balance Sheet Data...............................................................................................................................................................................		6
Selected Income Statement Data...................................................................................................................		7
Quarterly Investment Income........................................................................................................................		8
Statutory Combined Ratio Summary by LOB YTD March.......................................................................................		9
Consolidated Balance Sheets.............................................................................................................................		10
Consolidated Statements of Income.....................................................................................................................		11
Consolidated Statements of Stockholder’s Equity.................................................................................................		12
Consolidated Statements of Cash Flow.............................................................................................................		13
Statutory Balance Sheets....................................................................................................................................		14
Statutory Statements of Income..........................................................................................................		15
Investment Portfolio – Appendix
	Alternative Investments Exhibit....................................................................................................	16
	Municipal Bond Portfolio Exhibit....................................................................................................	17
	Structured Securities Exhibit..............................................................................................................	18
	RMBS & RABS Exhibit.........................................................................................................................................	19
	RMBS & RABS by Vintage Year Exhibit........................................................................................	20
	RMBS and RABS by Type Exhibit....................................................................................................	21
	Alt-A by Vintage Year Exhibit.........................................................................................................	22
	CMBS Exhibit....................................................................................................................................	23
	CMBS by Vintage Year Exhibit........................................................................................................	24
	CMBS by Type Exhibit....................................................................................................................	25
	Credit Quality of AFS Securities Exhibit......................................................................................	26
	Credit Quality of HTM Securities Exhibit as of March 31, 2010......................................................................................	27

Selective Insurance Group, Inc.

Selected Balance Sheet Data (unaudited)

($ in thousands, except per share amounts)

	March 31,								March 31,								December 31,
	2010								2009								2009
						Unrealized/								Unrecognized/								Unrecognized/
	Balance			Market		Unrecognized			Balance			Market		Unrealized			Balance			Market		Unrealized
	Sheet			Value		Gain/(Loss)			Sheet			Value		Gain/(Loss)			Sheet			Value		Gain/(Loss)
Invested Assets:
Corporate bonds1	$	1,225,296			1,252,007		6,469		$	1,053,477			1,047,586		(97,934	)	$	1,144,692			1,163,973		(13,031	)
Gov't\ Municipal bonds		2,106,056			2,118,792		70,795			2,072,518			2,059,462		59,158			2,201,580			2,212,107		72,101
Total bonds		3,331,352			3,370,799		77,264			3,125,995			3,107,048		(38,776	)		3,346,272			3,376,080		59,070
Equities		82,240			82,240		16,644			94,472			94,472		(5,226	)		80,264			80,264		15,874
Short-term investments		282,131			282,131		-			271,277			271,277		-			213,848			213,848		-
Other investments		148,060			148,060		(24,032	)		153,337			153,337		(16,192	)		140,667			140,667		(25,774	)
Total invested assets		3,843,783			3,883,230		69,876			3,645,081			3,626,134		(60,194	)		3,781,051			3,810,859		49,170
Invested assets per $ of stockholders' equity		3.81								4.00								3.77
Total assets		5,288,321								5,001,933								5,114,827
Liabilities:
Reserve for losses		2,405,829								2,273,947								2,342,919
Reserve for loss expenses		406,402								390,890								402,880
Unearned premium reserve		857,349								856,823								844,847
Total liabilities		4,278,159								4,091,798								4,112,452
Stockholders' equity		1,010,162								910,135								1,002,375
Total debt to capitalization ratio		21.4	%							23.1	%							21.5	%
Adjusted total debt to capitalization ratio 2		15.5	%							16.7	%							15.6	%
Book value per share		18.97								17.23								18.83
Book value per share excluding unrealized gain or loss on bond portfolio		18.51								17.47								18.47
NPW per insurance segment employee		777								783								766
Statutory premiums to surplus ratio		1.4	x							1.8	x							1.5	x
Statutory surplus		993,981								849,985								981,955

1 Includes mortgage-backed and asset-backed securities.

2 The adjusted debt to capitalization ratio reflects a reduction in debt for amounts held in an irrevocable trust for the benefit of senior note holders as well as an estimated equity treatment of 75% applied to our $100 million Junior Subordinated Notes issued September 25, 2006.

Selective Insurance Group, Inc.
Selected Income Statement Data (unaudited)
March 2010	THREE MONTHS ENDED MARCH 31,
($ in thousands, except per share amounts)	2010						2009
				Per diluted share						Per diluted share
Consolidated
Revenue	$	393,112					$	356,846
Operating income		6,635			0.12			2,666			0.05
Net realized losses, after tax		(42	)		-			(15,616	)		(0.30	)
Income (loss) from continuing operations		6,593			0.12			(12,950	)		(0.25	)
(Loss) income on discontinued operations, after tax		(790	)		(0.01	)		73			-
Net income (loss)		5,803			0.11			(12,877	)		(0.25	)
Operating return on equity		2.6	%					1.2	%
Insurance Operations
Gross premiums written		433,078						436,441
Net premiums written		368,091						375,783
Net premiums earned		356,202						363,873
Underwriting loss                       - before tax		(14,605	)					(2,963	)
- after tax		(9,493	)		(0.18	)		(1,926	)		(0.04	)
GAAP combined ratio		104.1	%					100.8	%
Commercial lines
Net premiums earned		297,908						311,545
GAAP combined ratio		103.7	%					100.1	%
Personal lines
Net premiums earned		58,294						52,328
GAAP combined ratio		106.2	%					105.3	%
Investments
Net investment income              - before tax		34,706						15,717
- after tax		26,825			0.49			15,141			0.29
Effective tax rate		22.7	%					3.7	%
Annual after-tax yield on investment portfolio		2.8	%					1.7	%
Annual after-tax, after-interest expense yield		2.3	%					1.3	%
Invested assets per $ of stockholders' equity		3.81						4.00
Other expenses (net of other income)
Interest expense                          - before tax		(4,842	)					(5,024	)
- after tax		(3,147	)		(0.06	)		(3,266	)		(0.06	)
Other - after tax	$	(7,550	)		(0.13	)	$	(7,283	)		(0.14	)
Diluted weighted avg shares outstanding		54,217						52,352

Selective Insurance Group, Inc. and Consolidated Subsidiaries

GAAP Investment Income

(unaudited)

($ in thousands)

	Year to Date						%
	March			March			Increase
	2010			2009			(Decrease)
Investment Income:
Interest:
Fixed Maturity Securities	$	33,196			36,261			(8	)
Short-term		100			612			(84	)
Alternative Investments		3,895			(20,549	)		119
Dividends		452			515			(12	)
Changes in Fair Value		-			262			(100	)
Miscellaneous		37			172			(78	)
		37,680			17,273			118
Investment Expense		2,974			1,556			91
Net Investment Income Before Tax		34,706			15,717			121
Tax		7,881			576			1,268
Net Investment Income After Tax	$	26,825			15,141			77
Net Investment Income per Share		0.49			0.29			69
Effective Tax Rate		22.7	%		3.7	%
Average Yields:
Fixed Maturity Securities
Pre Tax		3.7	%		4.3	%
After Tax		2.9	%		3.4	%
Portfolio
Pre Tax		3.6	%		1.8	%
After Tax		2.8	%		1.7	%

	Year to Date
	March			March
	2010			2009
Net Realized Gains (Losses)
Fixed Maturities		(4,011	)		(23,835	)
Equity Securities		3,947			(190	)
Total		(64	)		(24,025	)
Net of Tax		(42	)		(15,616	)

Selective Insurance Group, Inc.

2010 Statutory Results by Line of Business

March 2010 YTD (unaudited)

($ in thousands)

	Net					Net											Underwriting			Dividends to
	Premiums		Percent			Premiums		Percent			Loss			LAE			Expense			Policyholders			Combined Ratio			Combined Ratio			Underwriting
	Written		Change			Earned		Change			Ratio			Ratio			Ratio			Ratio			2010			2009			Gain/(Loss)
Personal Lines:
Homeowners	$	18,280		19.1	%	$	20,493		19.8	%		71.6	%		7.4	%		35.8	%		0.0	%		114.8	%		130.2	%	$	(2,236	)
Auto		35,344		8.3	%		34,320		4.5	%		75.2	%		10.2	%		30.1	%		0.0	%		115.5	%		100.6	%	$	(5,640	)
Other (including flood)		2, 559		8.8	%		3, 481		46.8	%		35.2	%		(22.6	)%		(50.9	)%		0.0	%		(38.3	)%		33.4	%		4, 344
Total	$	56,182		11.6	%	$	58,294		11.4	%		71.5	%		7.3	%		28.3	%		0.0	%		107.1	%		107.0	%	$	(3,531	)
Commercial Lines:
Fire/IM	$	50,139		(0.2	)%	$	50,336		3.0	%		67.3	%		3.3	%		37.9	%		(0.1	)%		108.4	%		101.0	%	$	(4,156	)
Workers compensation		72,183		0.0	%		64,641		(8.1	)%		73.5	%		15.7	%		24.5	%		3.0	%		116.7	%		92.5	%		(12,647	)
General liability		89,534		(10.3	)%		85,221		(9.6	)%		42.5	%		17.1	%		33.5	%		(0.3	)%		92.8	%		104.4	%		4,670
Auto		75,485		(5.5	)%		74,316		(2.0	)%		54.7	%		7.4	%		29.0	%		(0.2	)%		90.9	%		96.1	%		6,442
BOP		17,144		4.7	%		16,286		7.1	%		86.7	%		13.5	%		33.8	%		0.0	%		134.0	%		117.8	%		(5,835	)
Bonds		4,696		8.2	%		4,603		(0.4	)%		22.2	%		8.1	%		62.2	%		0.0	%		92.5	%		87.4	%		288
Other		2, 727		2.8	%		2, 505		5.3	%		4.7	%		0.3	%		42.6	%		0.0	%		47.6	%		41.8	%		1, 217
Total	$	311,908		(4.2	)%	$	297,908		(4.4	)%		58.4	%		11.5	%		31.5	%		0.5	%		101.9	%		99.1	%	$	(10,022	)
Grand Total	$	368,091		(2.0	)%	$	356,202		(2.1	)%		60.4	%		10.9	%		31.1	%		0.4	%		102.8	%		100.2	%	$	(13,553	)
Note: Some amounts may not foot due to rounding.
				2010			2009
	Losses Paid		$	182,223		$	195,792
	LAE Paid			36,094			36,685
	Total Paid		$	218,317		$	232,477

ITEM 1.  FINANCIAL STATEMENTS
SELECTIVE INSURANCE GROUP, INC.	Unaudited
CONSOLIDATED BALANCE SHEETS	March 31,			December 31,
($ in thousands, except share amounts)	2010			2009
ASSETS
Investments:
Fixed maturity securities, held-to-maturity – at carry value (fair value:  $1,660,791 – 2010; $1,740,211 – 2009)	$	1,621,344			1,710,403
Fixed maturity securities, available-for-sale – at fair value (amortized cost:  $1,679,509 – 2010; $1,616,456 – 2009)		1,710,008			1,635,869
Equity securities, available-for-sale – at fair value  (cost of:  $65,596 – 2010; $64,390 – 2009)		82,240			80,264
Short-term investments (at cost which approximates fair value)		282,131			213,848
Other investments		148,060			140,667
Total investments		3,843,783			3,781,051
Cash		143			811
Interest and dividends due or accrued		35,378			34,651
Premiums receivable, net of allowance for uncollectible accounts of:  $5,803 – 2010; $5,880 – 2009		457,120			446,577
Reinsurance recoverable on paid losses and loss expenses		5,814			4,408
Reinsurance recoverable on unpaid losses and loss expenses		302,118			271,610
Prepaid reinsurance premiums		106,135			105,522
Current federal income tax		10,390			17,662
Deferred federal income tax		115,228			111,038
Property and Equipment – at cost, net of accumulated depreciation and amortization of:  $144,198 – 2010; $141,251 – 2009		44,153			46,287
Deferred policy acquisition costs		217,577			218,601
Goodwill		7,849			7,849
Other assets		142,633			68,760
Total assets	$	5,288,321			5,114,827
LIABILITIES AND STOCKHOLDERS’ EQUITY
Liabilities:
Reserve for losses	$	2,405,829			2,342,919
Reserve for loss expenses		406,402			402,880
Unearned premiums		857,349			844,847
Notes payable		274,612			274,606
Commissions payable		31,328			49,237
Accrued salaries and benefits		98,148			103,802
Other liabilities		204,491			94,161
Total liabilities	$	4,278,159			4,112,452
Stockholders’ Equity:
Preferred stock of $0 par value per share:
Authorized shares 5,000,000; no shares issued or outstanding	$	-			-
Common stock of $2 par value per share
Authorized shares:  360,000,000
Issued:  95,928,007 – 2010; 95,822,959 – 2009		191,856			191,646
Additional paid-in capital		235,610			231,933
Retained earnings		1,137,704			1,138,978
Accumulated other comprehensive loss		(5,773	)		(12,460	)
Treasury stock – at cost (shares:  42,676,272 – 2010; 42,578,779 – 2009)		(549,235	)		(547,722	)
Total stockholders’ equity		1,010,162			1,002,375
Commitments and contingencies
Total liabilities and stockholders’ equity	$	5,288,321			5,114,827

SELECTIVE INSURANCE GROUP, INC.
UNAUDITED CONSOLIDATED STATEMENTS OF INCOME	Quarters ended
	March 31,
($ in thousands, except per share amounts)	2010			2009
Revenues:
Net premiums written	$	368,091			375,783
Net increase in unearned premiums and prepaid reinsurance premiums		(11,889	)		(11,910	)
Net premiums earned		356,202			363,873
Net investment income earned		34,706			15,717
Net realized (losses) gains:
Net realized investment gains		8,176			3,075
Other-than-temporary impairments		(6,073	)		(27,100	)
Other-than-temporary impairments on fixed maturity securities recognized in other comprehensive income		(2,167	)		-
Total net realized losses		(64	)		(24,025	)
Other income		2,268			1,281
Total revenues		393,112			356,846
Expenses:
Losses incurred		215,570			209,089
Loss expenses incurred		38,573			43,105
Policy acquisition costs		116,002			113,106
Dividends to policyholders		1,495			465
Interest expense		4,842			5,024
Other expenses		8,983			7,040
Total expenses		385,465			377,829
Income (loss) from continuing operations, before federal income tax		7,647			(20,983	)
Federal income tax expense (benefit):
Current		8,844			5,875
Deferred		(7,790	)		(13,908	)
Total federal income tax expense (benefit)		1,054			(8,033	)
Net income (loss) from continuing operations		6,593			(12,950	)
Income from discontinued operations, net of tax of $(12) – 2009		-			73
Loss on disposal of discontinued operations, net of tax of $(426) – 2010		(790	)		-
Total discontinued operations, net of tax		(790	)		73
Net income (loss)	$	5,803			(12,877	)
Earnings per share:
Basic net income (loss) from continuing operations		0.12			(0.25	)
Basic net loss from disposal of discontinued operations		(0.01	)		-
Basic net income (loss)	$	0.11			(0.25	)
Diluted net income (loss) from continuing operations		0.12			(0.25	)
Diluted net loss from disposal of discontinued operations		(0.01	)		-
Diluted net income (loss)	$	0.11			(0.25	)
Dividends to stockholders	$	0.13			0.13

SELECTIVE INSURANCE GROUP, INC.
UNAUDITED CONSOLIDATED STATEMENTS OF
STOCKHOLDERS’ EQUITY
	Quarters ended March 31,
($ in thousands, except per share amounts)	2010				2009
Common stock:
Beginning of year	$	191,646				190,527
Dividend reinvestment plan (shares:  25,759 – 2010; 36,670 – 2009)		51				73
Stock purchase and compensation plans (shares:  79,289 – 2010; 75,867 – 2009)		159				152
End of period		191,856				190,752
Additional paid-in capital:
Beginning of year		231,933				217,195
Dividend reinvestment plan		368				373
Stock purchase and compensation plans		3,309				4,267
End of period		235,610				221,835
Retained earnings:
Beginning of year		1,138,978				1,128,149
Net income (loss)		5,803		5,803		(12,877	)	(12,877	)
Cash dividends to stockholders ($0.13 per share – 2010; $0.13 per share – 2009)		(7,077	)			(6,937	)
End of period		1,137,704				1,108,335
Accumulated other comprehensive loss:
Beginning of year		(12,460	)			(100,666	)
Other comprehensive income (loss), increase (decrease) in:
Unrealized gains on investment securities:
Non-credit portion of other-than-temporary impairment losses recognized in other comprehensive income, net of deferred income tax effect of $797		1,478				-
Other net unrealized gains on investment securities, net of deferred income tax effect of $2,467 – 2010; $20,152 – 2009		4,583				37,425
Total unrealized gains on investment securities		6,061		6,061		37,425		37,425
Defined benefit pension plans, net of deferred income tax effect of:  $337 – 2010; $(97) – 2009		626		626		(179	)	(179	)
End of period		(5,773	)			(63,420	)
Comprehensive income				12,490				24,369
Treasury stock:
Beginning of year		(547,722	)			(544,712	)
Acquisition of treasury stock (shares:  97,493 – 2010; 169,382 – 2009)		(1,513	)			(2,655	)
End of period		(549,235	)			(547,367	)
Total stockholders’ equity	$	1,010,162			$	910,135

SELECTIVE INSURANCE GROUP, INC.
UNAUDITED CONSOLIDATED STATEMENTS OF CASH FLOW	Quarters ended
	March 31,
($ in thousands)	2010			2009
Operating Activities
Net Income (Loss)	$	5,803			(12,877	)
Adjustments to reconcile net income (loss) to net cash provided by operating activities:
Depreciation and amortization		7,451			6,788
Loss on disposal of discontinued operations		790			-
Stock-based compensation expense		6,169			3,238
Undistributed (income) losses of equity method investments		(3,895	)		20,549
Net realized losses		64			24,025
Postretirement life curtailment benefit		-			(4,217	)
Unrealized gain on trading securities		-			(262	)
Deferred tax benefit		(7,790	)		(13,739	)
Changes in assets and liabilities:
Increase in reserves for losses and loss expenses, net of reinsurance recoverable
on unpaid losses and loss expenses		35,924			20,019
Increase in unearned premiums, net of prepaid reinsurance and advance premiums		11,647			11,497
Decrease in net federal income tax recoverable		7,698			23,844
Increase in premiums receivable		(10,543	)		(2,343	)
Decrease (increase) in deferred policy acquisition costs		1,024			(1,350	)
(Increase) decrease in interest and dividends due or accrued		(730	)		1,012
(Increase) decrease in reinsurance recoverable on paid losses and loss expenses		(1,406	)		1,251
Decrease in accrued salaries and benefits		(7,100	)		(16,211	)
Decrease in accrued insurance expenses		(17,187	)		(14,221	)
Sale of trading securities		-			2,831
Other-net		5,176			5,086
Net adjustments		27,292			67,797
Net cash provided by operating activities		33,095			54,920
Investing Activities
Purchase of fixed maturity securities, held-to-maturity		-			(50,408	)
Purchase of fixed maturity securities, available-for-sale		(142,067	)		(216,000	)
Purchase of equity securities, available-for-sale		(23,915	)		(60,100	)
Purchase of other investments		(7,714	)		(4,620	)
Purchase of short-term investments		(303,668	)		(601,637	)
Sale of subsidiary		844			-
Sale of fixed maturity securities, available-for-sale		39,632			168,019
Sale of short-term investments		235,386			528,471
Redemption and maturities of fixed maturity securities, held-to-maturity		80,963			34,097
Redemption and maturities of fixed maturity securities, available-for-sale		66,122			51,666
Sale of equity securities, available-for-sale		16,419			86,318
Proceeds from other investments		13,337			14,499
Purchase of property and equipment		(866	)		(1,360	)
Net cash used in investment activities		(25,527	)		(51,055	)
Financing Activities
Dividends to stockholders		(6,492	)		(6,955	)
Acquisition of treasury stock		(1,513	)		(2,655	)
Net proceeds from stock purchase and compensation plans		625			885
Excess tax benefits from share-based payment arrangements		(856	)		(1,152	)
Net cash used in financing activities		(8,236	)		(9,877	)
Net decrease in cash and cash equivalents		(668	)		(6,012	)
Net decrease in cash and cash equivalents from discontinued operations		-			(3,343	)
Net decrease in cash from continuing operations		(668	)		(2,669	)
Cash from continuing operations, beginning of year		811			3,606
Cash from continuing operations, end of period	$	143			937

Selective Insurance Group, Inc.

Combined Insurance Company Subsidiaries

Unaudited Statutory Balance Sheets

($ in thousands)

	Mar-31			Dec-31
	2010			2009
ASSETS
Bonds	$	3,274,435			3,289,336
Common stocks		82,240			80,264
Affiliated mortgage loan		39,255			39,408
Other investments		184,346			176,983
Short-term investments		233,639			165,957
Total investments		3,813,915			3,751,948
Cash on hand and in banks*		(33,944	)		(29,110	)
Interest and dividends due and accrued		35,538			34,808
Premiums receivable		454,016			443,223
Reinsurance recoverable on paid losses and expenses		5,814			4,408
Federal income tax recoverable		-			1,608
Deferred tax recoverable		122,627			119,377
EDP equipment		1,706			2,134
Equities and deposits in pools and associations		8,103			4,886
Receivable for sold securities		90,874			19,655
Other assets		29,538			29,747
Total assets	$	4,528,187			4,382,684
LIABILITIES
Reserve for losses	$	2,105,423			2,072,376
Reinsurance payable on paid loss and loss expense		868			1,011
Reserve for loss expenses		402,040			399,457
Unearned premiums		751,214			739,325
Reserve for commissions payable		31,328			49,237
Ceded balances payable		13,008			9,856
Federal income tax payable		7,889			-
Premium and other taxes payable		23,005			22,283
Borrowed money		13,018			13,016
Reserve for dividends to policyholders		3,522			3,718
Reserves for unauthorized reinsurance		1,013			1,013
Payable for securities		99,694			-
Funds withheld on account of others		5,263			6,261
Accrued salaries and benefits		60,424			66,847
Other liabilities		16,497			16,329
Total liabilities		3,534,206			3,400,729
POLICYHOLDERS' SURPLUS
Capital		28,325			28,325
Aggregate write-ins for special surplus funds		34,564			33,951
Paid in surplus		255,792			255,792
Unassigned surplus*		675,300			663,887
Total policyholders' surplus		993,981			981,955
Total liabilities and policyholders' surplus	$	4,528,187			4,382,684

* Prior year balances have been adjusted for $17K elimination entry

Selective Insurance Group, Inc.

Combined Insurance Company Subsidiaries

Unaudited Statutory Statements Of Income

($ in thousands)

	Three Months Ended March
	2010					2009
UNDERWRITING
Net premiums written	$	368,091					375,783
Net premiums earned		356,202					363,873
Net losses paid		182,223					195,792
Change in reserve for losses		33,047					13,062
Net losses incurred		215,270		60.4	%		208,854		57.4	%
Net loss expenses paid		36,094					36,685
Change in reserve for loss expenses		2,583					6,451
Net loss expenses incurred		38,677		10.9	%		43,136		11.9	%
Net underwriting expenses incurred		115,151		31.3	%		115,813		30.8	%
Total deductions		369,098					367,803
Statutory underwriting loss		(12,896	)				(3,930	)
Net loss from premium balances charged off		(1,521	)				(1,334	)
Finance charges and other income		2,359					1,266
Total other income (expense)		838		-0.2	%		(68	)	0.0	%
Policyholders' dividends incurred		(1,495	)	0.4	%		(465	)	0.1	%
Total underwriting loss		(13,553	)	102.8	%		(4,463	)	100.2	%
INVESTMENT
Net investment income earned		33,201					26,054
Net realized loss		(48	)				(24,978	)
Total income (loss) before income tax		19,600					(3,387	)
Federal income tax expense		11,498					9,584
Net income (loss)	$	8,102					(12,971	)
Policyholders' Surplus
Surplus, beginning of period	$	981,955					884,431
Net income (loss)		8,102					(12,971	)
Change in deferred tax		8,183					15,052
Change in unrealized gains (losses)		7,118					(22,061	)
Dividends to stockholders		(12,003	)				(12,003	)
Paid in surplus		-					20,000
Change in non-admitted assets		13					(22,463	)
Change in additional admitted deferred tax		613					-
Net change in surplus for period		12,026					(34,446	)
Surplus, end of period	$	993,981					849,985
Statutory underwriting loss:	$	(13,553	)				(4,463	)
Adjustments under GAAP:
Deferred policy acquisition costs		(1,024	)				1,351
Other, net		(28	)				149
GAAP underwriting loss	$	(14,605	)				(2,963	)

Note: Some amounts or ratios may not foot due to rounding

Selective Insurance Group, Inc. and Consolidated Subsidiaries

Alternative Investments

as of March 31, 2010

(unaudited)

	Inception	Current				YTD			Remaining
Fund	Year	Market Value		Cost		Income			Commitment
Real Estate
LEH RE II	2005	$	8,955,780	$	12,011,057	$	(425,571	)	$	4,020,851
GS Whitehall 2007	2007	$	2,815,059	$	14,250,000	$	(1,335,826	)	$	750,000
LEH RE III	2008	$	3,220,091	$	6,227,933	$	(103,434	)	$	8,772,067
Total - Real Estate		$	14,990,930	$	32,488,990	$	(1,864,831	)	$	13,542,918
Mezzanine Financing
GS Mezz III	2003	$	3,308,178	$	2,403,021	$	(217,374	)	$	5,637,326
LEH Euro Mezz	2004	$	3,210,766	$	1,597,522	$	(31,373	)	$	-
GS Mezz 2006	2006	$	6,712,809	$	9,224,574	$	978,460		$	5,228,783
GS Mezz V	2007	$	9,010,574	$	8,145,280	$	206,844		$	15,252,669
Total - Mezz. Financing		$	22,242,327	$	21,370,397	$	936,557		$	26,118,778
Distressed Debt
Varde LP	1997	$	-	$	-	$	-		$	-
Varde VIII	2006	$	11,890,778	$	10,000,000	$	113,653		$	-
GS Distressed Opp III	2007	$	8,074,255	$	10,000,056	$	650,389		$	4,610,862
Total - Distressed Debt		$	19,965,033	$	20,000,056	$	764,042		$	4,610,862
Private Equity
Prospector	1997	$	1,411,451	$	1,404,405	$	6,601		$	-
Trilantic Capital Partners III	2004	$	6,954,240	$	3,439,266	$	(90,914	)	$	1,036,212
NB Co-Invest	2006	$	7,914,089	$	8,080,716	$	391,858		$	4,285,602
GS PEP Asia	2007	$	1,551,237	$	1,863,306	$	17,749		$	5,133,767
Trilantic Capital Partners IV	2007	$	4,808,219	$	4,907,808	$	383,162		$	6,176,933
Total - Private Equity		$	22,639,236	$	19,695,501	$	708,456		$	16,632,514
Private Equity, Secondary Market
NB SOF	2005	$	7,503,504	$	6,382,035	$	363,612		$	899,494
GS Vintage IV	2007	$	11,565,290	$	14,057,667	$	299,971		$	5,585,550
NB SOF II	2008	$	2,978,451	$	2,401,264	$	305,224		$	9,323,752
GS Vintage V	2008	$	2,390,181	$	2,506,952	$	50,354		$	7,399,931
Total - Pvt. Eq. Sec. Mkt.		$	24,437,426	$	25,347,918	$	1,019,161		$	23,208,727
Energy/Power Generation
ArcLight I	2002	$	1,546,954	$	1,546,954	$	421,227		$	1,655,505
ArcLight II	2003	$	7,231,954	$	1,639,149	$	217,487		$	2,295,492
ArcLight III	2006	$	12,892,724	$	11,816,880	$	438,921		$	2,037,794
Quintana Energy	2006	$	6,705,221	$	7,558,234	$	181,360		$	2,441,766
ArcLight IV	2007	$	6,369,135	$	5,712,041	$	807,175		$	3,886,081
Total - Energy/Power Generation		$	34,745,988	$	28,273,258	$	2,066,170		$	12,316,638
Venture Capital
Venture V	2001	$	6,039,893	$	6,295,895	$	265,667		$	1,800,000
Total - Venture Capital		$	6,039,893	$	6,295,895	$	265,667		$	1,800,000
TOTAL - ALTERNATIVE INVESTMENTS		$	145,060,833	$	153,472,015	$	3,895,222		$	98,230,437

Selective Insurance Group Inc. and Consolidated Subsidiaries

Residential Mortgage Backed Securities (RMBS) and Residential ABS (RABS) - by Vintage Year

March 31, 2010

($ in thousands)

(unaudited)

Market Value

Vintage Yr	AAA			AA				A		BBB			Below Investment Grade			Total			% of Total RMBS & RABS			% of Total Fixed Income Portfolio			% of Total GAAP Equity
1983	$	7		$	-		$	-		$	-		$	-		$	7			0	%		0	%		0	%
2002		43,094			-			-			758			973			44,825			11	%		1	%		4	%
2003		37,617			-			-			-			606			38,223			9	%		1	%		4	%
2004		51,444			2,918			-			-			-			54,361			13	%		2	%		5	%
2005		28,153			8,892			1,302			-			673			39,020			10	%		1	%		4	%
2006		29,009			-			-			-			17,930			46,939			12	%		1	%		5	%
2007		5,225			-			-			-			1,715			6,940			2	%		0	%		1	%
2008		36,696			-			-			-			-			36,696			9	%		1	%		4	%
2009		137,424			-			-			-			-			137,424			34	%		5	%		13	%
Total RMBS & RABS-Market Value	$	368,668		$	11,809		$	1,302		$	758		$	21,898		$	404,435			100	%		12	%		40	%
% of Total RMBS & RABS		91	%		3	%		1	%		0	%		5	%		100	%
% of Total Fixed Income Portfolio		11	%		0	%		0	%		0	%		1	%		12	%
% of Total GAAP Equity		37	%		1	%		0	%		0	%		2	%		40	%
Weighted Average Market Price		103.2			86.1			46.8			64.8			49.6			96.5
Unrealized/Unrecognized Gain/(Loss)
Vintage Yr	AAA			AA				A		BBB			Below Investment Grade			Total
1983	$	-		$	-		$	-		$	-		$	-		$	-
2002		1,677			-			-			(418	)		(373	)		887
2003		1,049			-			-			-			(1,321	)		(272	)
2004		895			(321	)		-			-			-			574
2005		(1,011	)		(1,498	)		(1,469	)		-			(612	)		(4,591	)
2006		97			-			-			-			(2,536	)		(2,439	)
2007		81			-			-			-			(2,732	)		(2,652	)
2008		1,157			-			-			-			-			1,157
2009		2,398			-			-			-			-			2,398
Total RMBS & RABS - Unrealized/Unrecognized	$	6,343		$	(1,820	)	$	(1,469	)	$	(418	)	$	(7,574	)	$	(4,937	)

Note: Some amounts may not foot due to rounding.

Selective Insurance Group Inc. and Consolidated Subsidiaries

Residential Mortgage Backed Securities (RMBS) and Residential ABS (RABS) - by Type

March 31, 2010

($ in thousands)

(unaudited)

Market Value

RMBS Type	AAA			AA				A		BBB			Below Investment  Grade			Total			% of Total RMBS & RABS			% of Total Fixed Income Portfolio			% of Total GAAP Equity
Gov't Guaranteed Agency	$	99,763		$	-		$	-		$	-		$	-		$	99,763			25	%		3	%		10	%
Other Agency		243,346			-			-			-			-			243,346			60	%		7	%		24	%
Total Agency		343,110			-			-			-			-			343,110			85	%		10	%		34	%
Alt-A		13,098			1,216			-			-			9,048			23,362			6	%		1	%		2	%
Alt-A CDO		-			-			-			-			1,590			1,590			0	%		0	%		0	%
Home Equity ABS		-			-			-			664			973			1,637			0	%		0	%		0	%
Non-Agency & Other Prime		12,461			10,594			1,302			94			10,286			34,736			9	%		1	%		4	%
Total RMBS & RABS-Market Value	$	368,668		$	11,809		$	1,302		$	758		$	21,898		$	404,435			100	%		12	%		40	%
% of Total RMBS & RABS		91	%		3	%		1	%		0	%		5	%		100	%
% of Total Fixed Income Portfolio		11	%		0	%		0	%		0	%		1	%		12	%
% of Total GAAP Equity		37	%		1	%		0	%		0	%		2	%		40	%
Weighted Average Market Price		103.2			86.1			46.8			64.8			49.6			96.5
Unrealized/Unrecognized Gain/(Loss)
RMBS Type	AAA			AA				A		BBB			Below Investment Grade			Total
Gov't Guaranteed Agency	$	2,171		$	-		$	-		$	-		$	-		$	2,171
Other Agency		8,361			-			-			-			-			8,361
Total Agency		10,532			-			-			-			-			10,532
Alt-A		(1,857	)		(179	)		-			-			-			(2,036	)
Alt-A CDO		-			-			-			-			88			88
Home Equity ABS		-			-			-			(271	)		(373	)		(644	)
Non-Agency & Other Prime		(2,332	)		(1,640	)		(1,469	)		(146	)		(7,289	)		(12,877	)
Total RMBS & RABS - Unrealized/Unrecognized	$	6,343		$	(1,820	)	$	(1,469	)	$	(418	)	$	(7,574	)	$	(4,937	)

Note: Some amounts may not foot due to rounding.

Selective Insurance Group, Inc. and Consolidated Subsidiaries

ALT-A by Vintage Year

March 31, 2010

($ in thousands)

(unaudited)

Market Value

Vintage Yr	ALT-A Fixed-15			Alt-A Fixed-30			Alt-A Hybrid ARM			Alt-A CDO			Total			% of Total Alt-A			% of Total Fixed Income Portfolio			% of Total GAAP Equity
2002	$	4,171		$	-		$	-		$	-		$	4,171			17	%		0	%		0	%
2003		-			1,493			415			-			1,908			8	%		0	%		0	%
2004		-			1,144			1,342			-			2,486			10	%		0	%		0	%
2005		-			2,849			2,899			-			5,748			23	%		0	%		1	%
2006		-			6,522			2,526			1,590			10,638			42	%		1	%		1	%
Total ALT-A, Market Value	$	4,171		$	12,009		$	7,182		$	1,590		$	24,952			100	%		1	%		2	%
% of Total ALT-A		17	%		48	%		29	%		6	%		100	%
% of Total Fixed Income Portfolio		0	%		1	%		0	%		0	%		1	%
% of Total GAAP Equity		0	%		1	%		1	%		0	%		2	%
Weighted Average Market Price		97.4			74.3			69.9			18.0			63.1

Unrealized/Unrecognized Gain/(Loss)

Vintage Yr	ALT-A Fixed-15			Alt-A Fixed-30			Alt-A Hybrid ARM			Alt-A CDO			Total
2002	$	(110	)	$	-		$	-		$	-		$	(110	)
2003		-			(261	)		(44	)		-			(304	)
2004		-			9			(212	)		-			(204	)
2005		-			(394	)		(1,024	)		-			(1,418	)
2006		-			-			-			88			88
Total ALT-A, Unrealized/Unrecognized	$	(110	)	$	(646	)	$	(1,280	)	$	88		$	(1,948	)
% of Total ALT-A		6	%		33	%		66	%		-4	%		100	%

Note: Some amounts may not foot due to rounding.

Selective Insurance Group Inc. and Consolidated Subsidiaries

Commercial Mortgage Backed Securities (CMBS) - by Vintage Year

March 31, 2010

($ in thousands)

(unaudited)

Market Value

Vintage Yr	AAA			A			BBB			Below Investment Grade			Total			% of Total CMBS			% of Total Fixed Income Portfolio			% of Total GAAP Equity
1996	$	887		$	-		$	-		$	-		$	887			1	%		0	%		0	%
1999		3,182			-			-			-			3,182			2	%		0	%		0	%
2000		18,320			-			-			-			18,320			12	%		1	%		2	%
2001		8,866			-			-			-			8,866			6	%		0	%		1	%
2002		2,299			-			-			-			2,299			1	%		0	%		0	%
2003		1,957			-			-			-			1,957			1	%		0	%		0	%
2004		9,811			-			-			-			9,811			6	%		0	%		1	%
2005		14,018			3,752			-			1,514			19,284			12	%		1	%		2	%
2006		54,474			-			3,108			645			58,227			37	%		2	%		6	%
2007		15,902			3,369			-			6,003			25,274			16	%		1	%		3	%
2009		10,204			-			-			-			10,204			6	%		0	%		1	%
Total CMBS-Market Value	$	139,921		$	7,121		$	3,108		$	8,162		$	158,312			100	%		5	%		16	%
% of Total CMBS		88	%		5	%		2	%		5	%		100	%
% of Total Fixed Income Portfolio		4	%		0	%		1	%		0	%		5	%
% of Total GAAP Equity		14	%		1	%		0	%		1	%		16	%
Weighted Average Market Price		103.7			76.1			32.0			22.7			83.3

Unrealized/Unrecognized Gain/(Loss)

Vintage Yr	AAA			A			BBB			Below Investment Grade			Total
1996	$	(37	)	$	-		$	-		$	-		$	(37	)
1999		153			-			-			-			153
2000		335			-			-			-			335
2001		199			-			-			-			199
2002		67			-			-			-			67
2003		100			-			-			-			100
2004		312			-			-			-			312
2005		(72	)		(611	)		-			(3,340	)		(4,023	)
2006		938			-			(2,754	)		(877	)		(2,693	)
2007		97			(1,631	)		-			(2,179	)		(3,713	)
2009		204			-			-			-			204
Total CMBS-Unrealized/Unrecognized	$	2,296		$	(2,242	)	$	(2,754	)	$	(6,396	)	$	(9,095	)

Note: Some amounts may not foot due to rounding.

Selective Insurance Group Inc. and Consolidated Subsidiaries

Commercial Mortgage Backed Securities (CMBS) - by Type

March 31, 2010

($ in thousands)

(unaudited)

Market Value

CMBS Type	AAA			A			BBB			Below Investment Grade			Total			% of Total CMBS			% of Total Fixed Income Portfolio			% of Total GAAP Equity
Gov't Guaranteed Agency MultiFamily	$	81,736		$	-		$	-		$	-		$	81,736			52	%		2	%		8	%
Other Agency MultiFamily		3,736			-			-			-			3,736			2	%		1	%		1	%
Total Agency		85,472			-			-			-			85,472			54	%		3	%		9	%
Conduit		10,853			-			-			-			10,853			7	%		1	%		1	%
Fusion (1)		35,276			3,369			-			1,723			40,369			25	%		1	%		4	%
Lease-Backed		3,182			-			-			-			3,182			2	%		0	%		0	%
Re-Securitization		-			3,752			3,108			813			7,673			5	%		0	%		1	%
Single Borrower - Multiple Properties		5,137			-			-			5,626			10,763			7	%		0	%		1	%
Total CMBS-Market Value	$	139,921		$	7,121		$	3,108		$	8,162		$	158,312			100	%		5	%		16	%
% of Total CMBS		88	%		5	%		2	%		5	%		100	%
% of Total Fixed Income Portfolio		4	%		0	%		1	%		0	%		5	%
% of Total GAAP Equity		14	%		1	%		0	%		1	%		16	%
Weighted Average Market Price		103.7			76.1			32.0			22.7			83.3

Unrealized/Unrecognized Gain/(Loss)

CMBS Type	AAA		A			BBB			Below Investment Grade			Total
Gov't Guaranteed Agency MultiFamily	$	1,089	$	-		$	-		$	-		$	1,089
Other Agency MultiFamily		69		-			-			-			69
Total Agency		1,157		-			-			-			1,157
Conduit		296		-			-			-			296
Fusion (1)		558		(1,631	)		-			(1,513	)		(2,586	)
Lease-Backed		153		-			-			-			153
Re-Securitization		-		(611	)		(2,754	)		(3,509	)		(6,873	)
Single Borrower - Multiple Properties		132		-			-			(1,374	)		(1,243	)
Total CMBS-Unrealized/Unrecognized	$	2,296	$	(2,242	)	$	(2,754	)	$	(6,396	)	$	(9,095	)

(1) Fusion means a CMBS composed of large and small loans.

Note: Some amounts may not foot due to rounding.

Selective Insurance Group, Inc. and Consolidated Subsidiaries

Credit Quality of Available-for-Sale Securities

March 31, 2010

($ in millions)

(unaudited)

	March 31, 2010
	Fair Value		Unrealized Gain (Loss)			Credit Quality
AFS Portfolio:
U.S. government obligations1	$	416.8		3.7		AAA
State and municipal obligations		402.9		17.1		AA+
Corporate securities		525.1		16.6		A+
Mortgage-backed securities		337.8		(7.6	)	AA+
Asset-backed securities ("ABS")2		27.4		0.7		AA+
Total AFS portfolio	$	1,710.0		30.5		AA+
State and Municipal Obligations:
Government obligations	$	254.1		9.1		AAA
Special revenue obligations		148.8		8.0		AA+
Total state and municipal obligations	$	402.9		17.1		AA+
Corporate Securities:
Financial	$	94.7		3.2		AA-
Industrials		57.3		2.5		A
Utilities		22.0		1.0		BBB+
Consumer discretion		44.2		1.6		A
Consumer staples		63.6		1.9		A-
Health care		100.3		2.0		AA-
Materials		21.1		1.2		A-
Energy		50.6		1.5		AA-
Information technology		23.7		0.1		A+
Telecommunications services		20.1		0.6		A
Other		27.5		1.0		A
Total corporate securities	$	525.1		16.6		A+
Mortgage-backed securities:
Gov't Guaranteed Agency CMBS	$	70.6		0.8		AAA
Gov't Guaranteed Agency RMBS		95.5		1.9		AAA
Other Agency RMBS		118.9		3.3		AAA
Non-agency RMBS		29.4		(11.5	)	A-
Alternative-A ("Alt-A") RMBS		23.4		(2.1	)	A-
Total MBS	$	337.8		(7.6	)	AA+

1 U.S. Government includes coporate securities fully guaranteed by the FDIC.

2 Our ABS portfolio does not include Alt-A or Sub-prime securities.
 

Selective Insurance Group, Inc. and Consolidated Subsidiaries

Credit Quality of Held-to-Maturity Securities

March 31, 2010

($ in millions)

(unaudited)

	Fair Value		Carry Value		Unrecognized Holding Gain (Loss)1			Unrealized Gain (Loss) in Accumulated Other Comprehensive Income2			Total Unrealized / Unrecognized Gain (Loss)			Credit Quality
HTM Fixed Maturity Portfolio:
U.S. government obligations	$	127.0		124.7		2.3			5.4			7.7		AAA
State and municipal obligations		1,172.0		1,161.6		10.4			31.9			42.3		AA
Corporate securities		109.0		98.9		10.1			(5.8	)		4.3		A-
Mortgage-backed securities		221.8		209.1		12.7			(18.5	)		(5.8	)	AA+
Asset-backed securities		31.0		27.0		4.0			(5.7	)		(1.7	)	A+
Total HTM portfolio	$	1,660.8		1,621.3		39.5			7.3			46.8		AA+
State and Municipal Obligations:
Government obligations	$	300.3		299.2		1.1			13.7			14.8		AA+
Special revenue obligations		871.7		862.4		9.3			18.2			27.5		AA
Total state and municipal obligations	$	1,172.0		1,161.6		10.4			31.9			42.3		AA
Corporate Securities:
Financial	$	36.6		32.0		4.6			(3.8	)		0.8		A
Industrials		29.3		25.7		3.6			(1.9	)		1.7		A-
Utilities		16.6		16.3		0.3			(0.1	)		0.2		A-
Consumer discretion		6.3		6.0		0.3			-			0.3		BBB+
Consumer staples		14.6		13.8		0.8			0.4			1.2		AA-
Materials		2.1		1.9		0.2			(0.1	)		0.1		BBB-
Energy		3.5		3.2		0.3			(0.3	)		-		BB+
Total corporate securities	$	109.0		98.9		10.1			(5.8	)		4.3		A-
Mortgage-backed securities:
Gov't guaranteed agency CMBS	$	11.1		10.8		0.3			-			0.3		AAA
Other agency CMBS		3.7		3.7		-			-			-		AAA
Non-agency CMBS		72.8		63.5		9.3			(19.6	)		(10.3	)	AA+
Gov't guaranteed agency RMBS		4.3		4.0		0.3			-			0.3		AAA
Other agency RMBS		124.5		121.4		3.1			2.1			5.2		AAA
Non-agency RMBS		5.4		5.7		(0.3	)		(1.0	)		(1.3	)	AAA
Total mortgage-backed securities	$	221.8		209.1		12.7			(18.5	)		(5.8	)	AA+
Asset-backed securities:
ABS	$	28.5		25.1		3.4			(4.8	)		(1.4	)	AA
Alt-A ABS		1.6		1.0		0.6			(0.5	)		0.1		CC
Sub-prime ABS3		0.9		0.9		-			(0.4	)		(0.4	)	CC
Total ABS	$	31.0		27.0		4.0			(5.7	)		(1.7	)	A+

1 Unrecognized holding gains (losses) are equal to the fair value less the carry value of the security

2 Unrealized gains (losses) are equal to the fair value less the amortized costs of securities transferred from AFS to HTM at the date of transfer, adjusted for subsequent amortization into income

3 We define sub-prime exposure as exposure to direct and indirect investments in non-agency residential mortgages with average FICO® scores below 650.