Investments (Tables)

9 Months Ended

Sep. 30, 2012

Schedule of Amortized Cost, Gross Unrealized Gains, Gross Unrealized Losses and Fair Value of Investments


September 30, 2012 (in millions)	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Fair Value
Fixed maturities
USD denominated:
U.S. Governments⁽¹⁾	$	406.0	$	10.9	$	0.0	$	416.9
Non-U.S. Governments		56.6		3.5		0.1		60.0
Obligations of states and political subdivisions		560.7		49.4		0.3		609.8
Credit-Financial		366.4		24.6		0.7		390.3
Credit-Industrial		411.2		32.1		1.0		442.3
Credit-Utility		183.0		12.3		0.6		194.7
Structured securities:
CMO/MBS-agency ⁽²⁾		418.7		25.9		0.1		444.5
CMO/MBS-non agency		13.6		0.8		0.2		14.2
CMBS ⁽³⁾		104.9		6.3		0.2		111.0
ABS-residential ⁽⁴⁾		11.1		0.3		1.0		10.4
ABS-non residential		77.1		1.2		0.0		78.3
Foreign denominated:
Governments		250.3		10.5		5.3		255.5
Credit		125.9		6.4		2.7		129.6

Total fixed maturities		2,985.5		184.2		12.2		3,157.5
Equity securities		373.3		165.9		5.9		533.3
Other investments		282.7		3.1		2.2		283.6
Short-term investments		370.5		0.0		0.0		370.5

Total investments	$	4,012.0	$	353.2	$	20.3	$	4,344.9

⁽¹⁾	Includes corporate bonds backed by the Federal Deposit Insurance Corporation of $4.3 million amortized cost, $4.3 million fair value.

⁽²⁾	Collateralized mortgage obligations/mortgage-backed securities (“CMO/MBS”).

⁽³⁾	Commercial mortgage-backed securities (“CMBS”).

⁽⁴⁾	Asset-backed securities (“ABS”).


December 31, 2011			Gross		Gross
(in millions)	Amortized Cost		Unrealized Gains		Unrealized Losses		Fair Value
Fixed maturities
USD denominated:
U.S. Governments⁽¹⁾	$	482.8	$	12.5	$	0.0	$	495.3
Non-U.S. Governments		56.2		1.0		1.6		55.6
Obligations of states and politicalsubdivisions		589.3		47.4		0.3		636.4
Credit-Financial		378.3		10.4		5.2		383.5
Credit-Industrial		411.6		20.8		3.4		429.0
Credit-Utility		163.9		7.5		1.2		170.2
Structured securities:
CMO/MBS-agency ⁽²⁾		516.0		30.7		0.2		546.5
CMO/MBS-non agency		18.5		0.7		0.8		18.4
CMBS ⁽³⁾		100.7		5.2		0.3		105.6
ABS-residential ⁽⁴⁾		15.3		0.1		2.0		13.4
ABS-non residential		47.0		1.0		0.0		48.0
Foreign denominated:
Governments		224.7		9.1		8.8		225.0
Credit		91.1		2.2		4.7		88.6

Total fixed maturities		3,095.4		148.6		28.5		3,215.5
Equity securities		291.5		120.7		8.6		403.6
Other investments		232.3		0.7		1.0		232.0
Short-term investments		296.4		0.0		0.0		296.4

Total investments	$	3,915.6	$	270.0	$	38.1	$	4,147.5

⁽¹⁾	Includes corporate bonds backed by the Federal Deposit Insurance Corporation of $48.7 million amortized cost, $49.1 million fair value.

⁽²⁾	Collateralized mortgage obligations/mortgage-backed securities (“CMO/MBS”).

⁽³⁾	Commercial mortgage-backed securities (“CMBS”).

⁽⁴⁾	Asset-backed securities (“ABS”).

Schedule of Amortized Cost and Fair Values of Fixed Maturity Investments, by Contractual Maturity


(in millions)	Amortized Cost		Fair Value
Due in one year or less	$	240.1	$	242.7
Due after one year through five years		1,164.7		1,209.8
Due after five years through ten years		763.6		837.1
Thereafter		191.7		209.5
Structured securities		625.4		658.4

Total	$	2,985.5	$	3,157.5

Schedule of Aging of Unrealized Losses on Investments

Unrealized Losses and Other-Than-Temporary Impairments

An aging of unrealized losses on our investments at September 30, 2012 and December 31, 2011 is presented below:


September 30, 2012	Less Than One Year				One Year or Greater				Total
(in millions)	Fair Value		Unrealized Losses		Fair Value		Unrealized Losses		Fair Value		Unrealized Losses
Fixed maturities
USD denominated:
U.S. Governments ⁽¹⁾	$	2.2	$	0.0	$	0.0	$	0.0	$	2.2	$	0.0
Non-U.S. Governments ⁽²⁾		5.4		0.1		0.6		0.0		6.0		0.1
Obligations of states and political subdivisions		5.1		0.1		0.7		0.2		5.8		0.3
Credit-Financial		10.2		0.1		9.9		0.6		20.1		0.7
Credit-Industrial		21.6		0.4		6.2		0.6		27.8		1.0
Credit-Utility		4.4		0.2		1.3		0.4		5.7		0.6
Structured securities:
CMO/MBS-agency ⁽²⁾		8.4		0.1		0.3		0.0		8.7		0.1
CMO/MBS-non agency		2.0		0.1		2.5		0.1		4.5		0.2
CMBS⁽¹⁾		0.4		0.0		3.8		0.2		4.2		0.2
ABS-residential ⁽¹⁾		0.3		0.0		5.4		1.0		5.7		1.0
ABS-non residential ^(1) (2)		3.9		0.0		0.2		0.0		4.1		0.0
Foreign denominated:
Governments ⁽²⁾		118.9		5.3		0.3		0.0		119.2		5.3
Credit		49.3		2.7		0.0		0.0		49.3		2.7

Total fixed maturities		232.1		9.1		31.2		3.1		263.3		12.2
Equity securities		40.8		2.7		14.0		3.2		54.8		5.9
Other investments		14.3		2.2		0.0		0.0		14.3		2.2
Short-term investments ⁽¹⁾		1.1		0.0		0.0		0.0		1.1		0.0

Total	$	288.3	$	14.0	$	45.2	$	6.3	$	333.5	$	20.3

⁽¹⁾	Unrealized losses less than one year are less than $0.1 million.

⁽²⁾	Unrealized losses one year or greater are less than $0.1 million.


December 31, 2011	Less Than One Year					One Year or Greater				Total
(in millions)	Fair Value			Unrealized Losses		Fair Value		Unrealized Losses		Fair Value			Unrealized Losses
Fixed maturities
USD denominated:
U.S. Governments ⁽¹⁾	$	41.0		$	0.0	$	0.0	$	0.0	$	41.0		$	0.0
Non-U.S. Governments		22.4			1.6		0.0		0.0		22.4			1.6
Obligations of states and political subdivisions ⁽¹⁾		1.4			0.0		0.7		0.3		2.1			0.3
Credit-Financial		81.8			3.8		9.4		1.4		91.2			5.2
Credit-Industrial		67.4			3.4		0.0		0.0		67.4			3.4
Credit-Utility		21.7			1.2		0.0		0.0		21.7			1.2
Structured securities:
CMO/MBS-agency		28.9			0.1		3.2		0.1		32.1			0.2
CMO/MBS-non agency		6.7			0.2		4.2		0.6		10.9			0.8
CMBS⁽¹⁾		0.7			0.0		4.2		0.3		4.9			0.3
ABS-residential		1.2			0.1		9.6		1.9		10.8			2.0
ABS-non residential ^(1) (2)		4.0			0.0		0.3		0.0		4.3			0.0
Foreign denominated:
Governments		166.3			8.8		0.0		0.0		166.3			8.8
Credit		65.9			4.1		5.3		0.6		71.2			4.7

Total fixed maturities		509.4			23.3		36.9		5.2		546.3			28.5
Equity securities		84.3			8.5		0.2		0.1		84.5			8.6
Other investments ⁽³⁾		(1.0	)		1.0		0.0		0.0		(1.0	)		1.0
Short-term investments ⁽¹⁾		21.2			0.0		0.0		0.0		21.2			0.0

Total	$	613.9		$	32.8	$	37.1	$	5.3	$	651.0		$	38.1

⁽¹⁾	Unrealized losses less than one year are less than $0.1 million.

⁽²⁾	Unrealized losses one year or greater are less than $0.1 million.

⁽³⁾	Unrealized foreign currency exchange position at December 31, 2011.

Schedule of Company's Gross Realized Investment Gains (Losses)


	For the Three Months Ended September 30,						For the Nine Months Ended September 30,
(in millions)	2012			2011			2012			2011
Realized gains
Fixed maturities	$	5.5		$	8.4		$	21.0		$	25.5
Equity securities		0.2			0.9			0.4			15.7
Other investments		7.7			3.2			20.8			11.6
Short-term investments		0.2			0.7			0.5			1.0

Gross realized gains		13.6			13.2			42.7			53.8
Realized losses
Fixed maturities		(3.0	)		(2.5	)		(8.1	)		(6.8	)
Equity securities		(0.1	)		0.0			(0.4	)		(0.7	)
Other investments		(1.1	)		(5.6	)		(13.2	)		(6.9	)
Short-term investments		0.0			0.0			(0.3	)		(0.5	)
Other-than-temporary impairment losses on fixed maturities		(1.1	)		(0.1	)		(1.4	)		(0.1	)
Other-than-temporary impairment losses on equity securities		0.0			(1.1	)		(0.6	)		(1.1	)

Gross realized losses		(5.3	)		(9.3	)		(24.0	)		(16.1	)

Net realized investment gains	$	8.3		$	3.9		$	18.7		$	37.7

Securities and Letters of Credit Pledged to Lloyd's As Company's Corporate Member's Capital


(in millions)
Letters of credit	$	124.9
Fixed maturities, at fair value		174.2
Short-term investments, at fair value		9.0

Total securities and letters of credit pledged to Lloyd’s	$	308.1

Financial Assets Measured at Fair Value on Recurring Basis


			Fair Value Measurements at Reporting Date Using
(in millions)	September 30, 2012		Level 1 ^(a)		Level 2 ^(b)		Level 3 ^(c)
Fixed maturities
USD denominated:
U.S. Governments	$	416.9	$	219.2	$	197.7	$	0.0
Non-U.S. Governments		60.0		0.0		60.0		0.0
Obligations of states and political subdivisions		609.8		0.0		609.8		0.0
Credit-Financial		390.3		0.0		390.3		0.0
Credit-Industrial		442.3		0.0		442.3		0.0
Credit-Utility		194.7		0.0		194.7		0.0
Structured securities:
CMO/MBS-agency		444.5		0.0		444.5		0.0
CMO/MBS-non agency		14.2		0.0		14.2		0.0
CMBS		111.0		0.0		111.0		0.0
ABS-residential		10.4		0.0		10.4		0.0
ABS-non residential		78.3		0.0		78.3		0.0
Foreign denominated:
Governments		255.5		0.0		255.5		0.0
Credit		129.6		0.0		129.6		0.0

Total fixed maturities		3,157.5		219.2		2,938.3		0.0
Equity securities		533.3		480.7		50.8		1.8
Other investments		139.0		0.0		139.0		0.0
Short-term investments		370.5		321.5		49.0		0.0
Other assets		6.4		0.0		0.0		6.4

	$	4,206.7	$	1,021.4	$	3,177.1	$	8.2

^(a)	Quoted prices in active markets for identical assets

^(b)	Significant other observable inputs

^(c)	Significant unobservable inputs


			Fair Value Measurements at Reporting Date Using
(in millions)	December 31, 2011		Level 1 ^(a)		Level 2 ^(b)		Level 3 ^(c)
Fixed maturities
USD denominated:
U.S. Governments	$	495.3	$	214.9	$	280.4	$	0.0
Non-U.S. Governments		55.6		0.0		55.6		0.0
Obligations of states and political subdivisions		636.4		0.0		636.4		0.0
Credit-Financial		383.5		0.0		382.8		0.7
Credit-Industrial		429.0		0.0		429.0		0.0
Credit-Utility		170.2		0.0		170.2		0.0
Structured securities:
CMO/MBS-agency		546.5		0.0		546.5		0.0
CMO/MBS-non agency		18.4		0.0		18.4		0.0
CMBS		105.6		0.0		105.6		0.0
ABS-residential		13.4		0.0		13.4		0.0
ABS-non residential		48.0		0.0		48.0		0.0
Foreign denominated:
Governments		225.0		0.0		225.0		0.0
Credit		88.6		0.0		88.6		0.0

Total fixed maturities		3,215.5		214.9		2,999.9		0.7
Equity securities		403.6		352.2		49.0		2.4
Other investments		99.9		0.0		99.9		0.0
Short-term investments		296.4		260.7		35.7		0.0
Other assets		9.0		0.0		0.0		9.0

	$	4,024.4	$	827.8	$	3,184.5	$	12.1

^(a)	Quoted prices in active markets for identical assets

^(b)	Significant other observable inputs

Schedule of Reconciliation of Beginning and Ending Balances for Investments Categorized as Level 3

A reconciliation of the beginning and ending balances for the investments categorized as Level 3 at September 30, 2012 and December 31, 2011 are as follows:

Fair Value Measurements Using Unobservable Inputs (Level 3)


(in millions)	Credit Financial			Equity Securities			Other Assets			Total
Beginning balance, January 1, 2012	$	0.7		$	2.4		$	9.0		$	12.1
Transfers into Level 3		0.0			0.0			0.0			0.0
Transfers out of Level 3		0.0			0.0			0.0			0.0
Total gains or losses (realized/unrealized):
Included in net income		0.1			0.0			0.0			0.1
Included in other comprehensive income		0.0			0.0			0.0			0.0
Purchases, issuances, sales, and settlements
Purchases		0.0			0.0			0.0			0.0
Issuances		0.0			0.0			0.0			0.0
Sales		(0.8	)		(0.6	)		(2.6	)		(4.0	)
Settlements		0.0			0.0			0.0			0.0

Ending balance, September 30, 2012	$	(0.0	)	$	1.8		$	6.4		$	8.2

Amount of total gains or losses for the period included in net income attributable to the change in unrealized gains or losses relating to assets still held at September 30, 2012	$	0.0		$	0.0		$	0.0		$	0.0

Fair Value Measurements Using Unobservable Inputs (Level 3)


(in millions)	Credit Financial		Equity Securities			Other Assets		Total
Beginning balance, January 1, 2011	$	0.7	$	21.0		$	0.0	$	21.7
Transfers into Level 3		0.0		0.0			0.0		0.0
Transfers out of Level 3		0.0		0.0			0.0		0.0
Total gains or losses (realized/unrealized):
Included in net loss		0.0		20.5			0.0		20.5
Included in other comprehensive income		0.0		(15.5	)		0.0		(15.5	)
Purchases, issuances, sales, and settlements
Purchases		0.0		0.0			9.0		9.0
Issuances		0.0		0.0			0.0		0.0
Sales		0.0		(23.6	)		0.0		(23.6	)
Settlements		0.0		0.0			0.0		0.0

Ending balance, December 31, 2011	$	0.7	$	2.4		$	9.0	$	12.1

Amount of total gains or losses for the period included in net loss attributable to the change in unrealized gains or losses relating to assets still held at December 31, 2011	$	0.0	$	0.0		$	0.0	$	0.0

- Definition

Tabular disclosure of assets, including [financial] instruments measured at fair value that are classified in stockholders' equity, if any, by class that are measured at fair value on a recurring basis. The disclosures contemplated herein include the fair value measurements at the reporting date by the level within the fair value hierarchy in which the fair value measurements in their entirety fall, segregating fair value measurements using quoted prices in active markets for identical assets (Level 1), significant other observable inputs (Level 2), and significant unobservable inputs (Level 3).

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- Definition

Tabular disclosure of the fair value measurement of liabilities using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets), and gains or losses recognized in other comprehensive income (loss) and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs) by class of liability.

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