8. Investing Activities (Tables)

9 Months Ended

Sep. 30, 2012

Notes to Financial Statements

Fair Value and Cost of Securities

Fair Value and Cost of Securities:	September 30, 2012
($ in millions)			Gross		Gross					OTTI
	Amortized		Unrealized		Unrealized			Fair		Recognized
	Cost		Gains(1)		Losses(1)			Value		in AOCI(2)
U.S. government and agency	$	872.8	$	65.3	$	(5.4	)	$	932.7	$	—
State and political subdivision		309.1		38.5		(3.1	)		344.5		—
Foreign government		180.2		34.4		—			214.6		—
Corporate		6,736.1		757.2		(86.9	)		7,406.4		(5.8	)
Commercial mortgage-backed (“CMBS”)		905.9		75.7		(8.3	)		973.3		(21.8	)
Residential mortgage-backed (“RMBS”)		1,808.5		102.4		(29.3	)		1,881.6		(98.5	)
CDO/CLO		242.9		4.0		(30.4	)		216.5		(28.5	)
Other asset-backed		453.0		27.1		(13.0	)		467.1		5.9
Available-for-sale debt securities	$	11,508.5	$	1,104.6	$	(176.4	)	$	12,436.7	$	(148.7	)
Amounts applicable to the closed block	$	5,810.7	$	665.7	$	(52.3	)	$	6,424.1	$	(49.4	)
Available-for-sale equity securities	$	28.2	$	9.4	$	(6.7	)	$	30.9	$	—
											—
Amounts applicable to the closed block	$	11.2	$	1.7	$	(3.5	)	$	9.4	$	—

Fair Value and Cost of Securities:	December 31, 2011
($ in millions)	As restated and amended
			Gross		Gross					OTTI
	Amortized		Unrealized		Unrealized			Fair		Recognized
	Cost		Gains(1)		Losses(1)			Value		in AOCI(2)
U.S. government and agency	$	678.0	$	71.6	$	(7.8	)	$	741.8	$	—
State and political subdivision		259.3		25.4		(2.9	)		281.8		—
Foreign government		185.7		21.2		(1.7	)		205.2		—
Corporate		6,127.9		601.7		(171.4	)		6,558.2		(5.8	)
Commercial mortgage-backed (“CMBS”)		1,098.9		50.4		(20.0	)		1,129.3		(29.2	)
Residential mortgage-backed (“RMBS”)		2,094.7		82.9		(70.6	)		2,107.0		(92.2	)
CDO/CLO		283.8		2.5		(53.9	)		232.4		(36.2	)
Other asset-backed		538.7		18.9		(16.3	)		541.3		2.8
Available-for-sale debt securities	$	11,267.0	$	874.6	$	(344.6	)	$	11,797.0	$	(160.6	)
Amounts applicable to the closed block	$	5,884.0	$	565.7	$	(126.2	)	$	6,323.5	$	(53.1	)
Available-for-sale equity securities	$	32.6	$	10.9	$	(7.8	)	$	35.7	$	—
Amounts applicable to the closed block	$	13.4	$	3.2	$	(4.0	)	$	12.6	$	—

Maturities of debt securities

Maturities of Debt Securities:	September 30, 2012
($ in millions)	Amortized		Fair
	Cost		Value
Due in one year or less	$	930.5	$	942.0
Due after one year through five years		2,048.2		2,224.5
Due after five years through ten years		2,621.4		2,917.6
Due after ten years		2,498.1		2,814.2
CMBS/RMBS/ABS/CDO/CLO(1)		3,410.3		3,538.4
Total	$	11,508.5	$	12,436.7

Sales of Available-for-Sale Securities

Sales of Available-for-Sale Securities:	Sept 30,			Dec 31,
($ in millions)	2012			2011
				As restated and amended
Fixed maturities, available-for-sale
Proceeds from sales	$	998.9		$	1,087.2
Proceeds from maturities/repayments		1,252.3			1,264.0
Gross investment gains from sales, prepayments and maturities		41.4			13.6
Gross investment losses from sales and maturities		(4.9	)		(6.0	)
Equity securities, available-for-sale
Proceeds from sales	$	8.1		$	9.4
Gross investment gains from sales		5.0			3.8
Gross investment losses from sales		(0.3	)		(0.1	)

Aging of Temporarily Impaired Securities

Aging of Temporarily Impaired Securities:	As of September 30, 2012
($ in millions)	Less than 12 months					Greater than 12 months					Total
	Fair		Unrealized			Fair		Unrealized			Fair		Unrealized
	Value		Losses			Value		Losses			Value		Losses
Debt Securities
U.S. government and agency	$	0.9	$	—		$	35.5	$	(5.4	)	$	36.4	$	(5.4	)
State and political subdivision		12.8		(0.8	)		6.7		(2.3	)		19.5		(3.1	)
Foreign government		—		—			—		—			—		—
Corporate		152.5		(7.5	)		362.3		(79.4	)		514.8		(86.9	)
CMBS		10.7		—			51.3		(8.3	)		62.0		(8.3	)
RMBS		37.7		(0.3	)		274.7		(29.0	)		312.4		(29.3	)
CDO/CLO		22.9		(2.9	)		145.1		(27.5	)		168.0		(30.4	)
Other asset-backed		21.1		(1.3	)		36.8		(11.7	)		57.9		(13.0	)
Debt securities		258.6		(12.8	)		912.4		(163.6	)		1,171.0		(176.4	)
Equity securities		1.1		(0.2	)		6.3		(6.5	)		7.4		(6.7	)
Total temporarily impaired securities	$	259.7	$	(13.0	)	$	918.7	$	(170.1	)	$	1,178.4	$	(183.1	)
Amounts inside the closed block	$	106.6	$	(5.1	)	$	394.6	$	(50.7	)	$	501.2	$	(55.8	)
Amounts outside the closed block	$	153.1	$	(7.9	)	$	524.1	$	(119.4	)	$	677.2	$	(127.3	)
Amounts outside the closed block that are below investment grade	$	46.6	$	(4.2	)	$	177.8	$	(75.0	)	$	224.4	$	(79.2	)
Number of securities				70					230					300

Aging of Temporarily Impaired Securities:	As of December 31, 2011
($ in millions)	As restated and amended
	Less than 12 months					Greater than 12 months					Total
	Fair		Unrealized			Fair		Unrealized			Fair		Unrealized
	Value		Losses			Value		Losses			Value		Losses
Debt Securities
U.S. government and agency	$	—	$	(2.4	)	$	41.2	$	(5.4	)	$	41.2	$	(7.8	)
State and political subdivision		26.1		(0.1	)		6.2		(2.8	)		32.3		(2.9	)
Foreign government		25.6		(1.7	)		—		—			25.6		(1.7	)
Corporate		367.0		(29.4	)		501.2		(142.0	)		868.2		(171.4	)
CMBS		132.4		(4.1	)		52.1		(15.9	)		184.5		(20.0	)
RMBS		178.1		(7.8	)		392.4		(62.8	)		570.5		(70.6	)
CDO/CLO		15.4		(0.8	)		167.6		(53.1	)		183.0		(53.9	)
Other asset-backed		101.3		(2.1	)		57.8		(14.2	)		159.1		(16.3	)
Debt securities		845.9		(48.4	)		1,218.5		(296.2	)		2,064.4		(344.6	)
Equity securities		12.1		(7.0	)		0.4		(0.8	)		12.5		(7.8	)
Total temporarily impaired securities	$	858.0	$	(55.4	)	$	1,218.9	$	(297.0	)	$	2,076.9	$	(352.4	)
Amounts inside the closed block	$	308.5	$	(23.6	)	$	552.7	$	(106.6	)	$	861.2	$	(130.2	)
Amounts outside the closed block	$	549.5	$	(31.8	)	$	666.2	$	(190.4	)	$	1,215.7	$	(222.2	)
Amounts outside the closed block   that are below investment grade	$	68.8	$	(13.9	)	$	248.5	$	(125.2	)	$	317.3	$	(139.1	)
Number of securities				255					304					559

Credit Losses Recognized in Earnings on Debt Securities

The following table presents a roll-forward of pre-tax credit losses recognized in earnings related to debt securities for which a portion of the OTTI was recognized in OCI.

Credit Losses Recognized in Earnings on Debt Securities for	Three Months Ended						Nine Months Ended
which a Portion of the OTTI Loss was Recognized in OCI:	September 30,						September 30,
($ in millions)	2012			2011			2012			2011
				As restated and amended						As restated and amended
Balance, beginning of period	$	(78.8	)	$	(70.8	)	$	(79.1	)	$	(65.8	)
Add: Credit losses on securities not previously impaired(1)		(1.5	)		(3.4	)		(3.8	)		(9.1	)
Add: Credit losses on securities previously impaired(1)		(5.6	)		(2.4	)		(11.8	)		(4.6	)
Less: Credit losses on securities impaired due to intent to sell		—			—			—			—
Less: Credit losses on securities sold		5.3			4.0			14.1			6.9
Less: Increases in cash flows expected on  previously impaired securities		—			—			—			—
Balance, end of period	$	(80.6	)	$	(72.6	)	$	(80.6	)	$	(72.6	)

Limited Partnerships and Other Investments

Limited Partnerships and Other Investments:	Sept 30,		Dec 31,
($ in millions)	2012		2011
			As restated and amended
Limited partnerships
Private equity funds	$	236.3	$	233.0
Mezzanine funds		195.6		191.9
Infrastructure funds		40.0		35.4
Hedge funds		13.5		14.9
Mortgage and real estate funds		7.9		12.4
Leverage leases		18.3		24.1
Direct equity investments		21.6		28.5
Life settlements		20.6		21.1
Other alternative assets		5.4		4.0
Limited partnerships and other investments	$	559.2	$	565.3
Amounts applicable to the closed block	$	342.3	$	338.0

Sources of Net Investment Income

Sources of Net Investment Income:	Three Months Ended						Nine Months Ended
($ in millions)	September 30,						September 30,
	2012			2011			2012		2011
				As restated and amended					As restated and amended
Debt securities	$	158.9		$	153.8		$	462.2	$	457.4
Equity securities		0.5			0.5			2.4		1.1
Limited partnerships and other investments		14.0			13.6			48.5		48.1
Policy loans		35.7			42.5			120.7		128.1
Fair value investments		(0.1	)		(4.4	)		1.5		0.1
Total investment income		209.0			206.0			635.3		634.8
Less: Discontinued operations		0.4			0.5			1.6		1.5
Less: Investment expenses		3.5			2.0			10.4		5.2
Net investment income	$	205.1		$	203.5		$	623.3	$	628.1
Amounts applicable to the closed block	$	115.7		$	113.2		$	343.5	$	358.2

Sources and Types of Net Realized Investment Gains (Losses)

Sources and Types of	Three Months Ended						Nine Months Ended
Net Realized Investment Gains (Losses):	September 30,						September 30,
($ in millions)	2012			2011			2012			2011
				As restated and amended						As restated and amended
Total other-than-temporary debt impairments	$	(6.9	)	$	(30.9	)	$	(28.8	)	$	(44.6	)
Portion of loss recognized in OCI		(0.2	)		21.2			11.3			26.1
Net debt impairment losses recognized in earnings	$	(7.1	)	$	(9.7	)	$	(17.5	)	$	(18.5	)
Debt security impairments:
U.S. government and agency	$	—		$	—		$	—		$	—
State and political subdivision		—			—			—			—
Foreign government		—			—			—			—
Corporate		—			(3.2	)		(0.6	)		(7.5	)
CMBS		(3.3	)		(2.5	)		(4.5	)		(2.5	)
RMBS		(2.6	)		(2.5	)		(10.4	)		(7.0	)
CDO/CLO		(0.7	)		(1.2	)		(0.7	)		(1.2	)
Other asset-backed		(0.5	)		(0.3	)		(1.3	)		(0.3	)
Net debt security impairments		(7.1	)		(9.7	)		(17.5	)		(18.5	)
Equity security impairments		—			—			(1.5	)		—
Limited partnerships and other investment impairments		(0.3	)		—			(0.3	)		—
Impairment losses		(7.4	)		(9.7	)		(19.3	)		(18.5	)
Debt security transaction gains		33.4			1.8			41.4			13.1
Debt security transaction losses		(1.3	)		(1.0	)		(4.9	)		(3.9	)
Equity security transaction gains		5.0			—			5.0			0.1
Equity security transaction losses		(0.2	)		(0.1	)		(0.3	)		(0.1	)
Limited partnerships and other investment transaction gains		5.5			0.2			6.8			2.6
Limited partnerships and other investment transaction losses		(1.5	)		(0.4	)		(2.5	)		(2.4	)
Net transaction gains		40.9			0.5			45.5			9.4
Derivative instruments		(14.2	)		52.3			(33.4	)		35.7
Embedded derivatives(1)		7.1			(50.5	)		6.9			(42.9	)
Fair value investments		1.1			(2.7	)		1.9			(1.7	)
Net realized investment gains (losses), excluding impairment losses		34.9			(0.4	)		20.9			0.5
Net realized investment gains (losses), including impairment losses	$	27.5		$	(10.1	)	$	1.6		$	(18.0	)

Sources of Changes in Net Unrealized Investment Gains (Losses)

Sources of Changes in	Three Months Ended						Nine Months Ended
Net Unrealized Investment Gains (Losses):	September 30,						September 30,
($ in millions)	2012			2011			2012			2011
				As restated and amended						As restated and amended
Debt securities	$	193.6		$	93.2		$	398.2		$	252.0
Equity securities		(3.3	)		(4.3	)		(0.4	)		(3.8	)
Other investments		—			(0.1	)		—			(0.1	)
Net unrealized investment gains	$	190.3		$	88.8		$	397.8		$	248.1
Net unrealized investment gains	$	190.3		$	88.8		$	397.8		$	248.1
Applicable closed block policyholder dividend obligation		84.7			73.5			171.5			155.4
Applicable deferred policy acquisition cost		15.1			17.1			66.4			43.5
Applicable other actuarial offsets		58.9			13.4			77.6			10.4
Applicable deferred income tax expense		38.6			(30.1	)		83.5			1.1
Offsets to net unrealized investment gains		197.3			73.9			399.0			210.4
Net unrealized investment gains (losses) included in OCI	$	(7.0	)	$	14.9		$	(1.2	)	$	37.7

Carrying Value of Assets and Liabilities

The following table presents the total assets and total liabilities relating to consolidated VIEs at September 30, 2012 and December 31, 2011.

Carrying Value of Assets and Liabilities for	September 30, 2012						December 31, 2011
Consolidated Variable Interest Entities:							As restated and amended
($ in millions)					Maximum						Maximum
					Exposure						Exposure
	Assets		Liabilities		to Loss(1)		Assets		Liabilities		to Loss(1)
Debt securities, at fair value(2)	$	3.6	$	—	$	3.5	$	0.3	$	—	$	0.2
Equity securities, at fair value(2)		22.7		—		18.5		27.8		—		26.5
Cash and cash equivalents		9.7		—		9.5		3.5		—		3.3
Investment in partnership interests		15.4		—		15.4		14.6		—		14.6
Investment in single asset LLCs		5.0		—		4.1		1.7		—		1.0
Other assets		0.2		—		0.2		0.1		—		—
Total assets of consolidated VIEs	$	56.6	$	—	$	51.2	$	48.0	$	—	$	45.6
Other liabilities		—		0.1		0.1		—		0.1		0.1
Total liabilities of consolidated VIEs	$	—	$	0.1	$	0.1	$	—	$	0.1	$	0.1

Carrying Value of Assets and Liabilities	September 30, 2012									December 31, 2011
and Maximum Exposure Loss Relating										As restated and amended
to Variable Interest Entities:							Maximum									Maximum
($ in millions)							Exposure									Exposure
	Assets			Liabilities			to Loss(1)			Assets			Liabilities			to Loss(1)
Limited partnerships		$	125.6		$	—		$	192.4		$	133.2		$	—		$	201.6
LLCs			3.3			—			3.3			8.5			—			8.5
Total		$	128.9		$	—		$	195.7		$	141.7		$	—		$	210.1