1

Investment Portfolio

Public

72%

Private

28%

Bonds $10,699

75%

Policy Loans $2,490

18%

Cash & Short-Term

$312

2%

Venture Capital

$202

1%

Stock

$166

1%

Mortgages & Real Estate

$12

0%

Other Invested Assets

$475

3%

Invested Assets:  $14.4 Billion

$ in millions

Market value as of  September 30, 2008

Exhibit 99.2

2

Financial Sector Holdings

40.2%

0.4%

51.6

64.2

Consumer Finance

53.5%

11.1%

$1,590.9

$1,845.5

Total

-

-

4.3

4.2

Project Finance

54.5%

1.5%

216.9

240.1

REITS

52.9%

0.6%

88.4

93.0

Leasing/Rental

60.9%

2.4%

344.7

385.6

Insurance

33.2%

1.9%

272.4

322.6

Diversified Financial

45.5%

0.6%

83.6

98.2

Commercial Finance

58.9%

1.0%

146.8

158.5

Broker-Dealer

63.1%

2.7%

$382.2

$479.1

Bank

Book

Value

Market

Value

% General

Account

% in Closed

Block

Sector

As of September 30, 2008

Percentages based on market value

$ in millions

3

CMBS Holdings

>

$1.372 billion in book value

>

80% AAA and only 1% BBB or below

>

85% 2005 and prior origination

>

No CMBX exposure

>

5% in CMBS CDO

$ in millions

As of September 30, 2008

$0

$200

$400

$600

$800

$1,000

$1,200

2007

2006

2005

2004 and Prior

AAA

AA

A

BBB

Below BBB

$79.5

$123.8

$93.8 

$1,075.1

AAA

$58.2

$93.4

$77.9

$872.3

$1,101.8

AA

14.8

19.3

11.8

126.8

172.7

A

6.5

11.1

0.0

69.8

87.5

BBB

0.0

0.0

4.1

6.2

10.3

Below BBB

0.0

0.0

0.0

0.0

0.0

Total

$79.5

$123.8

$93.8

$1,075.1

$1,372.2

2007

2006

2005

2004 and Prior

Total

4

CMBS by Year of Origination

Year of Issue

5.2%

-

3.9%

8.1%

4.9%

2007

8.1%

-

10.0%

10.8%

7.5%

2006

5.9%

32.5%

-

6.5%

6.1%

2005

80.8%

67.5%

86.1%

74.6%

81.5%

2004

& Prior

70.2%

9.0%

$1,285.3

$1,372.2

Total

-

0.1%

7.9

10.3

BBB

52.0%

0.5%

74.5

87.4

A

61.3%

1.1%

151.7

172.8

AA

73.3%

7.3%

$1,051.2

$1,101.7

AAA

% in Closed

Block

% General

Account

Market

Value

Book

Value

Rating

As of September 30, 2008

Percentages based on market value

$ in millions

5

CMBS Portfolio

As of September 30, 2008

Sources: Barclays CMBS Index, Trepp

Weighted average credit enhancement

27%

25%

Weighted average credit enhancement

(U.S. Treasury defeasance adjusted)

36%

28%

Interest Only (I/O) loans

29%

65%

Weighted average coupon

6.89

5.93

Weighted average LTV

68.8%

68.5%

Weighted average DSC

1.81x

1.53x

Weighted average loan age

81 months

40 months

Phoenix

Market

6

Residential MBS by Rating

As of September 30, 2008

Percentages based on market value

$ in millions

0.5%

0.8%

3.0%

0.2%

-

BB &

Below

53.1%

5.0%

34.7%

39.6%

76.6%

% in

Closed

Block

1.5%

0.5%

3.7%

93.8%

12.8%

$1,839.9

$2,043.7

Total

4.7%

1.3%

6.4%

86.8%

1.4%

201.9

247.9

Subprime

1.3%

2.6%

12.9%

80.2%

1.6%

231.5

302.0

Alt-A

3.0%

-

4.9%

91.9%

3.6%

513.4

594.7

Prime

-

-

-

100.0%

6.2%

$893.1

$899.1

Agency

BBB

A

AA

AAA

%

General

Account

Market

Value

Book

Value

Rating

7

Non-Agency Prime RMBS Holdings

>

$594.7 million book value

>

91% AAA rated

>

83% 2005 and prior origination

>

88% fixed rate

>

82% 2006-2007 originations are

super senior classes

$ in millions

As of September 30, 2008

$0

$50

$100

$150

$200

$250

$300

$350

$400

2007

2006

2005

2004 and Prior

AAA

AA

A

BBB

Below BBB

$17.6

$86.2

$112.2

2007

2006

2005

2004 and Prior

Total

AAA

$17.6

$86.2

$106.1

$331.7

$541.6

AA

0.0

0.0

0.8

31.4

32.2

A

0.0

0.0

4.2

15.5

19.8

BBB

0.0

0.0

0.0

0.0

0.0

Below BBB

0.0

0.0

1.1

0.0

1.1

Total

$17.6

$86.2

$112.2

$378.6

$594.7

$378.6

8

Non-Agency Prime RMBS Holdings

As of September 30, 2008

Source:

JP

Morgan

MBS

Research

–

November

2008

Phoenix

Market

Weighted average credit enhancement

9.05%

4.50%

Weighted average 60+ day delinquent loan

1.76%

2.59%

Phoenix prime portfolio loss coverage: using 25% loss severity

20.6x

6.9x

9

AAA

$12.3

$92.5

$72.8

$62.5

$240.1

AA

0.0

0.0

0.0

43.6

43.6

A

0.0

0.0

2.7

5.7

8.4

BBB

0.0

0.0

3.0

0.0

3.0

Below BBB

0.0

7.0

0.0

0.0

7.0

Total

$12.3

$99.5

$78.5

$111.8

$302.1

Non-Agency Alt-A RMBS Holdings

>

$302 million book value

>

94% AAA or AA rated

>

63% 2005 and prior originations

>

Below AAA ratings are concentrated

in 2004 and prior vintages

$0

$20

$40

$60

$80

$100

$120

2007

2006

2005

2004 and Prior

AAA

AA

A

BBB

Below BBB

$ in millions

As of September 30, 2008

$12.3

$99.5

$78.5

$111.6

2007

2006

2005

2004 and Prior

Total

10

Residential MBS ALT-A Collateral

As of September 30, 2008

Percentages based on market value

$ in millions

-

-

-

100.0%

-

-

7.0

7.0

BB & Below

Year of Issue

8.5%

27.1%

25.9%

34.4%

4.1%

1.6%

$231.5

$302.0

Total

-

-

100.0%

-

-

-

3.0

3.0

BBB

53.2%

12.0%

34.8%

-

-

0.1%

5.9

8.3

A

47.5%

52.5%

-

-

-

0.2%

29.9

43.6

AA

1.3%

25.0%

29.6%

39.0%

5.1%

1.3%

$185.7

$240.1

AAA

2003 &

Prior

2004

2005

2006

2007

% General

Account

Market

Value

Book

Value

Rating

11

Non-Agency Alt-A RMBS Holdings

>

97% fixed versus 30% market

>

1% in option ARM exposure

As of September 30, 2008

Sources:

JP

Morgan

MBS

Research

–

November

2008

Merrill

Lynch

Loan

Performance

–

October

2008

Option ARM

1%

32%

Alt-A ARM

2%

38%

Alt-A Fixed

97%

30%

60+ Delinquent

10%

16.6%

Phoenix

Alt-A Market

12

Residential MBS Subprime

Collateral

As of September 30, 2008

Percentages based on market value

$ in millions

-

-

29.2%

70.8%

-

-

1.6

2.4

BB & Below

Year of Issue

8.5%

22.6%

29.8%

17.0%

22.1%

1.4%

$201.9

$247.9

Total

7.0%

43.4%

9.3%

40.3%

-

0.1%

9.6

21.2

BBB

-

-

-

100.0%

-

-

2.7

6.3

A

46.4%

-

1.0%

-

52.6%

0.1%

12.8

19.8

AA

6.1%

23.7%

33.5%

15.1%

21.6%

1.2%

$175.2

$198.2

AAA

2003 &

Prior

2004

2005

2006

2007

% General

Account

Market

Value

Book

Value

Rating

13

AAA

$44.1

$31.2

$65.0

$57.9

$198.2

AA

11.1

0.0

0.2

8.5

19.8

A

0.0

6.2

0.0

0.0

6.2

BBB

0.0

9.0

4.0

8.2

21.2

Below BBB

0.0

2.5

0.0

0.0

2.5

Total

$55.2

$48.9

$69.2

$74.6

$247.9

Non-Agency Subprime

RMBS Holdings

>

$247.9 million book value

>

88% rated AAA or AA

>

81% fixed rate vs. 24.2% for

ABX

index

>

Phoenix 60+ day delinquent

16.3% vs. 38.9% for the ABX index

$0

$10

$20

$30

$40

$50

$60

$70

$80

2007

2006

2005

2004 and Prior

AAA

AA

A

BBB

Below BBB

$ in millions

As of September 30, 2008

1

ABX=2007-2, 2007-1, 2006-2 and 2006-1 subprime Index

$55.2

$48.9

$69.2  

$74.6

2007

2006

2005

2004 and Prior

Total

1

14

Non-Agency Subprime

RMBS Holdings

>

Phoenix fixed rate loan

60+ day delinquent equals 10.5%

>

Phoenix weighted average credit

enhancement 38.7%

>

81% of Phoenix subprime

mortgages collateralized by

fixed rate loans

60+ Day Delinquent Fixed Rate vs. ARM

Loan Performance

Source:

JP

Morgan

HEL

ABS

Performance

–

November

2008

12.0%

10.5%

35.6%

31.0%

Market ARM

Phoenix ARM

Market Fixed

Phoenix Fixed

15

CDO Holdings

As of September 30, 2008

Percentages based on market value

$ in millions

11.3%

100.0%

-

-

-

13.7%

BB &

Below

41.3%

-

55.3%

100.0%

51.1%

36.9%

% in Closed

Block

15.7%

22.8%

34.9%

26.6%

0.3%

50.2

72.9

CMBS

36.6%

28.7%

19.5%

3.9%

2.3%

$340.7

$389.6

Total

-

-

-

-

-

4.6

4.6

RMBS

-

-

100.0%

-

-

3.7

3.9

High-Yield Debt

10.2%

3.9%

85.9%

-

0.3%

36.4

36.5

Inv Grade Debt

46.1%

34.5%

5.7%

-

1.7%

$245.8

$271.7

Bank Loans

BBB

A

AA

AAA

% General

Account

Market

Value

Book

Value

Collateral

-

-

BB &

Below

-

-

% in Closed

Block

100.0%

-

-

-

0.1%

$8.1

$16.9

Total

100.0%

-

-

-

0.1%

$8.1

$16.9

Bank Loans

BBB

A

AA

AAA

% General

Account

Market

Value

Book

Value

Collateral