Year Ended December 31,

2011

2010

2009

(in millions)

Income from fixed maturity securities

399.2

359.7

262.4

Income from short-term investments

0.9

3.5

3.2

Gross investment income

400.1

363.2

265.6

Investment expenses

(9.1

)

(8.5

)

(6.4

)

Net investment income

391.0

354.7

259.2

Year Ended December 31,

2011

2010

2009

(in millions)

Realized gains on investment portfolio

36.4

31.1

28.3

Realized losses on investment portfolio

(9.8

)

(5.7

)

(15.2

)

OTTI:

Intent to sell

(5.4

)

(4.0

)

(13.4

)

Credit component of OTTI securities

(39.2

)

(23.4

)

(32.4

)

OTTI

(44.6

)

(27.4

)

(45.8

)

Net realized investment gains (losses)

(18.0

)

(2.0

)

(32.7

)

Year Ended December 31,

2011

2010

2009

(in millions)

Balance, beginning of period

27.3

19.9

0.6

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

26.6

7.3

13.6

Eliminations of securities issued by FG VIEs

(13.5

)

—

Reductions for securities sold during the period

(6.4

)

—

(0.1

)

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

12.7

0.1

6.1

Reductions for credit losses now recognized in earnings due to intention to sell the security

—

(0.3

)

Balance, end of period

46.7

27.3

19.9

	As of December 31, 2011

Investment Category	Percent of Total(1)			Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses			Estimated Fair Value		AOCI Gain (Loss) on Securities with OTTI			Weighted Average Credit Quality(2)
	(dollars in millions)
Fixed maturity securities:
U.S. government and agencies		8	%	$	850.2	$	72.3	$	(0.1	)	$	922.4	$	—		AA+
Obligations of state and political subdivisions		49			5,097.3		358.6		(0.5	)		5,455.4		5.7		AA
Corporate securities		10			989.0		51.8		(2.4	)		1,038.4		(0.2	)	A+
Mortgage-backed securities(3):
RMBS		14			1,454.3		63.9		(90.3	)		1,427.9		(35.1	)	AA
CMBS		5			475.6		24.4		—			500.0		2.7		AAA
Asset-backed securities		4			439.5		37.7		(19.1	)		458.1		29.2		BBB-
Foreign government securities		3			332.6		13.3		(6.2	)		339.7		—		AAA

Total fixed maturity securities		93			9,638.5		622.0		(118.6	)		10,141.9		2.3		AA
Short-term investments		7			734.0		—		—			734.0		—		AAA

Total investment portfolio		100	%	$	10,372.5	$	622.0	$	(118.6	)	$	10,875.9	$	2.3		AA

	As of December 31, 2010

Investment Category	Percent of Total(1)			Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses			Estimated Fair Value		AOCI Gain (Loss) on Securities with OTTI			Weighted Average Credit Quality(2)
	(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(3):
RMBS		11			1,158.9		56.5		(44.3	)		1,171.1		(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			9,274.7		259.9		(132.3	)		9,402.3		(11.4	)	AA
Short-term investments		10			1,055.3		0.3		—			1,055.6		—		AAA

Total investment portfolio		100	%	$	10,330.0	$	260.2	$	(132.3	)	$	10,457.9	$	(11.4	)	AA

(1): Based on amortized cost.
(2): 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 (see below.) The Company's portfolio consists primarily of high-quality, liquid instruments.
(3): Government-agency obligations were approximately 66% of mortgage backed securities as of December 31, 2011 and 64% as of December 31, 2010 based on fair value. Excluding loss mitigation related purchases, government-agency obligations were 71% of mortgage backed securities as of December 31, 2011 and 69% as of December 31, 2010 based on fair value.

As of December 31, 2011

State

State
General
Obligation

Local
General
Obligation

Revenue

Fair
Value

Amortized
Cost

Average
Credit
Rating

(in millions)

Texas

86.3

342.0

345.6

773.9

724.0

New York

12.3

60.3

622.6

695.2

653.8

California

19.1

50.9

296.8

366.8

336.2

Florida

34.2

61.7

247.4

343.3

316.9

Illinois

16.2

86.9

197.1

300.2

281.5

Massachusetts

42.5

9.7

163.7

215.9

198.9

Washington

37.8

52.5

123.4

213.7

199.7

Arizona

—

7.7

164.6

172.3

163.0

Ohio

—

52.7

85.9

138.6

128.8

Michigan

—

37.2

99.0

136.2

128.5

All others

310.5

271.8

1,113.6

1,695.9

1,588.6

Total

558.9

1,033.4

3,459.7

5,052.0

4,719.9

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 December 31, 2011

As of December 31, 2010

Type

Fair
Value

Amortized
Cost

Fair
Value

Amortized
Cost

(in millions)

Tax backed

800.0

748.7

609.0

607.2

Transportation

717.4

669.7

725.5

718.9

Water and sewer

530.4

500.7

470.6

471.3

Municipal utilities

528.8

493.5

457.8

456.8

Higher education

332.1

307.2

298.2

302.1

Healthcare

273.4

257.6

207.3

206.5

All others

277.6

265.4

322.4

323.1

Total

3,459.7

3,242.8

3,090.8

3,085.9

As of December 31, 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

3.8

(0.1

)

—

3.8

(0.1

)

Obligations of state and political subdivisions

17.0

(0.0

)

20.6

(0.5

)

37.6

(0.5

)

Corporate securities

79.9

(2.3

)

3.1

(0.1

)

83.0

(2.4

)

Mortgage-backed securities:

RMBS

186.6

(68.2

)

36.5

(22.1

)

223.1

(90.3

)

CMBS

2.8

(0.0

)

—

2.8

(0.0

)

Asset-backed securities

—

25.7

(19.1

)

25.7

(19.1

)

Foreign government securities

141.4

(6.2

)

—

141.4

(6.2

)

Total

431.5

(76.8

)

85.9

(41.8

)

517.4

(118.6

)

Number of securities

126

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

143.4

(32.1

)

37.3

(12.2

)

180.7

(44.3

)

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

2,828.2

(116.9

)

63.1

(15.4

)

2,891.3

(132.3

)

Number of securities

405

423

Number of securities with OTTI

As of December 31, 2011

Amortized
Cost

Estimated
Fair Value

(in millions)

Due within one year

391.3

391.1

Due after one year through five years

1,543.0

1,599.6

Due after five years through 10 years

2,372.2

2,592.0

Due after 10 years

3,402.1

3,631.3

Mortgage-backed securities:

RMBS

1,454.3

1,427.9

CMBS

475.6

500.0

Total

9,638.5

10,141.9

- 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