Second Quarter

Six Months

2011

2010

2011

2010

(in millions)

Income from fixed maturity securities

102.8

92.6

201.6

179.8

Income from short-term investments

0.3

—

0.6

(0.4

)

Gross investment income

103.1

92.6

202.2

179.4

Investment expenses

(2.3

)

(1.7

)

(5.0

)

(4.2

)

Net investment income

100.8

90.9

197.2

175.2

Second Quarter

Six Months

2011

2010

2011

2010

(in millions)

Realized gains on investment portfolio

10.8

12.1

20.8

25.3

Realized losses on investment portfolio

(4.3

)

(3.2

)

(6.9

)

(6.5

)

Other-than-temporary impairment ("OTTI"):

Intent to sell

(0.8

)

(1.3

)

(3.5

)

(1.7

)

Credit component of OTTI securities

(10.8

)

(16.0

)

(12.7

)

(16.1

)

OTTI(1)

(11.6

)

(17.3

)

(16.2

)

(17.8

)

Net realized investment gains (losses)

(5.1

)

(8.4

)

(2.3

)

1.0

Second Quarter

Six Months

2011

2010

2011

2010

(in millions)

Balance, beginning of period

29.2

20.0

27.3

19.9

Additions for credit losses on securities for which an OTTI was not previously recognized

9.1

—

10.5

—

Eliminations of securities issued by FG VIEs

(13.5

)

—

(13.5

)

—

Reductions for securities sold during the period

(5.0

)

—

(5.0

)

—

Additions for credit losses on securities for which an OTTI was previously recognized

1.8

—

2.3

0.1

Balance, end of period

21.6

20.0

21.6

20.0

			As of June 30, 2011

Investments Category			Percent of Total(1)			Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses			Estimated Fair Value		AOCI Gain (Loss) on Securities with OTTI(2)			Weighted Average Credit Quality(3)
			(dollars in millions)
Fixed maturity securities:
	U.S. government and agencies			9	%	$	926.1	$	49.4	$	(0.2	)	$	975.3	$	—		AAA
	Obligations of state and political subdivisions			47			5,038.7		162.3		(16.8	)		5,184.2		1.8		AA
	Corporate securities			10			1,045.7		28.7		(8.9	)		1,065.5		(0.2	)	AA-
	Mortgage-backed securities(4):
		RMBS		11			1,208.8		59.9		(51.2	)		1,217.5		(23.0	)	AA+
		CMBS		5			498.8		17.7		(0.4	)		516.1		2.7		AAA
	Asset-backed securities			5			540.4		26.0		(5.5	)		560.9		19.6		BBB
	Foreign government securities			3			337.6		8.1		(1.0	)		344.7		—		AAA

		Total fixed maturity securities		90			9,596.1		352.1		(84.0	)		9,864.2		0.9		AA
Short-term investments				10			1,070.4		—		—			1,070.4		—		AAA

		Total investment portfolio		100	%	$	10,666.5	$	352.1	$	(84.0	)	$	10,934.6	$	0.9		AA

			As of December 31, 2010

Investments Category			Percent of Total(1)			Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses			Estimated Fair Value		AOCI Gain (Loss) on Securities with OTTI(2)			Weighted Average Credit Quality(3)
			(dollars in millions)
Fixed maturity securities:
	U.S. government and agencies			10	%	$	1,000.3	$	48.3	$	(0.4	)	$	1,048.2	$	—		AAA
	Obligations of state and political subdivisions			48			4,922.0		99.9		(62.0	)		4,959.9		(1.4	)	AA
	Corporate securities			9			980.1		25.2		(12.8	)		992.5		0.2		AA-
	Mortgage-backed securities(4):
		RMBS		11			1,173.6		56.4		(45.9	)		1,184.1		(8.6	)	AA
		CMBS		4			365.7		14.8		(1.4	)		379.1		2.5		AAA
	Asset-backed securities			5			498.2		9.9		(5.2	)		502.9		(4.1	)	BBB+
	Foreign government securities			3			349.5		5.3		(6.2	)		348.6		—		AA+

		Total fixed maturity securities		90			9,289.4		259.8		(133.9	)		9,415.3		(11.4	)	AA
Short-term investments				10			1,031.3		0.3		—			1,031.6		—		AAA

		Total investment portfolio		100	%	$	10,320.7	$	260.1	$	(133.9	)	$	10,446.9	$	(11.4	)	AA

(1): Based on amortized cost.
(2): Accumulated OCI ("AOCI").
(3): Ratings in the tables above represent the lower of the Moody's and S&P classifications except for bonds purchased for loss mitigation or risk management strategies, which use internal ratings classifications. The Company's portfolio consists primarily of high-quality, liquid instruments.
(4): As of June 30, 2011 and December 31, 2010, respectively, approximately 63% and 64% of the Company's total mortgage-backed securities were government-agency obligations.

As of June 30, 2011

State

State
General
Obligation

Local
General
Obligation

Revenue

Fair
Value

Amortized
Cost

Average
Credit
Rating

(in millions)

Texas

73.0

331.6

284.1

688.7

670.1

New York

11.7

54.5

565.6

631.8

616.0

California

17.8

61.6

285.2

364.6

352.9

Florida

44.5

53.6

235.8

333.9

323.8

Illinois

15.6

90.8

200.3

306.7

300.9

Washington

63.0

37.8

105.4

206.2

201.1

Massachusetts

39.8

8.9

154.3

203.0

198.5

Arizona

—

7.2

154.7

161.9

158.8

Michigan

—

39.7

81.4

121.1

117.6

Georgia

19.5

38.7

61.6

119.8

119.5

All others

320.9

263.2

1,092.6

1,676.7

1,631.7

Total

605.8

987.6

3,221.0

4,814.4

4,690.9

As of December 31, 2010

State

State
General
Obligation

Local
General
Obligation

Revenue

Fair
Value

Amortized
Cost

Average
Credit
Rating

(in millions)

Texas

76.8

294.4

251.9

623.1

620.7

New York

11.4

40.0

496.2

547.6

545.1

California

17.2

56.0

330.2

403.4

401.0

Florida

45.2

45.1

213.6

303.9

300.5

Illinois

10.5

91.0

195.6

297.1

300.9

Washington

80.0

37.2

89.2

206.4

204.6

Massachusetts

38.0

8.6

137.3

183.9

185.8

Arizona

—

0.6

144.5

145.1

145.5

Michigan

—

39.5

93.1

132.6

131.4

Georgia

19.3

38.4

67.1

124.8

125.4

All others

220.8

1,072.1

1,513.7

1,504.4

Total

519.2

871.6

3,090.8

4,481.6

4,465.3

As of June 30, 2011

As of December 31, 2010

State

Fair
Value

Amortized
Cost

Fair
Value

Amortized
Cost

(in millions)

Transportation

760.7

742.2

725.5

718.9

Municipal utilities

502.9

487.8

457.8

456.8

Water and sewer

486.8

478.6

470.6

471.3

Higher education

299.3

293.1

298.2

302.1

Tax backed

634.4

616.6

609.0

607.2

Healthcare

241.1

234.9

207.3

206.5

All others

295.8

291.9

322.4

323.1

Total

3,221.0

3,145.1

3,090.8

3,085.9

As of June 30, 2011

Less than 12 months

12 months or more

Total

Fair
value

Unrealized
loss

Fair
value

Unrealized
loss

Fair
value

Unrealized
loss

(dollars in millions)

U.S. government and agencies

54.4

(0.2

)

—

54.4

(0.2

)

Obligations of state and political subdivisions

851.4

(16.0

)

9.5

(0.8

)

860.9

(16.8

)

Corporate securities

355.8

(8.9

)

—

355.8

(8.9

)

Mortgage-backed securities:

RMBS

218.4

(27.9

)

10.1

(23.3

)

228.5

(51.2

)

CMBS

72.3

(0.4

)

—

72.3

(0.4

)

Asset-backed securities

43.7

(5.5

)

2.2

(0.0

)

45.9

(5.5

)

Foreign government securities

80.1

(1.0

)

—

80.1

(1.0

)

Total

1,676.1

(59.9

)

21.8

(24.1

)

1,697.9

(84.0

)

Number of securities

264

277

Number of securities with OTTI

As of December 31, 2010

Less than 12 months

12 months or more

Total

Fair
value

Unrealized
loss

Fair
value

Unrealized
loss

Fair
value

Unrealized
loss

(dollars in millions)

U.S. government and agencies

20.5

(0.4

)

—

20.5

(0.4

)

Obligations of state and political subdivisions

1,694.5

(58.9

)

23.5

(3.1

)

1,718.0

(62.0

)

Corporate securities

403.6

(12.8

)

—

403.6

(12.8

)

Mortgage-backed securities:

RMBS

148.4

(32.8

)

45.3

(13.1

)

193.7

(45.9

)

CMBS

92.6

(1.4

)

—

92.6

(1.4

)

Asset-backed securities

228.3

(5.1

)

2.3

(0.1

)

230.6

(5.2

)

Foreign government securities

245.3

(6.2

)

—

245.3

(6.2

)

Total

2,833.2

(117.6

)

71.1

(16.3

)

2,904.3

(133.9

)

Number of securities

406

425

Number of securities with OTTI

As of June 30, 2011

Amortized
Cost

Estimated
Fair Value

(in millions)

Due within one year

279.4

281.2

Due after one year through five years

1,636.1

1,685.5

Due after five years through 10 years

2,515.4

2,626.0

Due after 10 years

3,457.6

3,537.9

Mortgage-backed securities:

RMBS

1,208.8

1,217.5

CMBS

498.8

516.1

Total

9,596.1

9,864.2

- Definition

Tabular disclosure of investment income derived from investments in debt and equity securities consisting of interest income earned from investments in debt securities and on cash and cash equivalents, dividend income from investments in equity securities, and income or expense derived from the amortization of investment related discounts or premiums, respectively. This item does not include realized or unrealized gains or losses on the sale or holding of investments in debt and equity securities required to be included in earnings for the period or for other than temporary losses related to investments in debt and equity securities which are included in realized losses in the period recognized.

+ References+ Details

- Definition

Tabular disclosure of the amount of other than temporary impairment (OTTI) related to credit losses recognized in earnings including: (a) the beginning balance of the amount related to credit losses on debt securities held by the investor at the beginning of the period for which a portion of an OTTI was recognized in other comprehensive income; (b) additions for the amount related to the credit loss for which an OTTI was not previously recognized; (c) reductions for securities sold during the period (realized); (d) reductions for securities for which the amount previously recognized in other comprehensive income was recognized in earnings because the investor intends to sell the security or more likely than not will be required to sell the security before recovery of its amortized cost basis; (e) additional increases to the amount related to the credit loss for which an OTTI was previously recognized when the investor does not intend to sell the security and it is not more likely than not that the investor will be required to sell the security before recovery of its amortized cost basis; (f) reductions for increases in cash flows expected to be collected that are recognized over the remaining life of the security; and (g) the ending balance of the amount related to credit losses on debt securities held by the entity at the end of the period for which a portion of an OTTI was recognized in other comprehensive income.

+ References+ Details