XML 41 R32.htm IDEA: XBRL DOCUMENT

Investments (Tables)

6 Months Ended

Jun. 30, 2011

Investments

Net investment income

		Second Quarter						Six Months
		2011			2010			2011			2010
		(in millions)
		(restated)
Income from fixed maturity securities		$	103.1		$	92.6		$	201.6		$	179.8
Income from short-term investments		0.3			—			0.6			(0.4		)
Gross investment income		103.4			92.6			202.2			179.4
Investment expenses		(2.3		)	(1.7		)	(5.0		)	(4.2		)
Net investment income		$	101.1		$	90.9		$	197.2		$	175.2

Net realized investment gains (losses)

		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

(1) OTTI recorded in the consolidated statement of operations includes only the credit component of unrealized fair value adjustments of impaired securities. The full unrealized loss was $26.8 million in Second Quarter 2011, $17.4 million in Second Quarter 2010, $33.8 million in Six Months 2011 and $18.5 million in 2010 prior to impairment, as shown on the consolidated statement of operations.

Roll Forward of Credit Losses in the Investment Portfolio

		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

Fixed Maturity Securities and Short Term Investments by Security Type

		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)
				(restated)						(restated)			(restated)
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		1,105.6			—			—			1,105.6			—			AAA
Total investment portfolio		100	%	$	10,701.7		$	352.1		$	(84.0	)	$	10,969.8		$	0.9		AA

		As of December 31, 2010 (restated)
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		1,158.9			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) 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.

Fair Value of available for sale municipal bond portfolio by state

		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		AA
New York		11.7			54.5			565.6			631.8			616.0			AA
California		17.8			61.6			285.2			364.6			352.9			AA
Florida		44.5			53.6			235.8			333.9			323.8			AA
Illinois		15.6			90.8			200.3			306.7			300.9			AA
Washington		63.0			37.8			105.4			206.2			201.1			AA
Massachusetts		39.8			8.9			154.3			203.0			198.5			AA
Arizona		—			7.2			154.7			161.9			158.8			AA
Michigan		—			39.7			81.4			121.1			117.6			AA
Georgia		19.5			38.7			61.6			119.8			119.5			AA
All others		320.9			263.2			1,092.6			1,676.7			1,631.7			AA
Total		$	605.8		$	987.6		$	3,221.0		$	4,814.4		$	4,690.9		AA

		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		AA
New York		11.4			40.0			496.2			547.6			545.1			AA
California		17.2			56.0			330.2			403.4			401.0			AA
Florida		45.2			45.1			213.6			303.9			300.5			AA
Illinois		10.5			91.0			195.6			297.1			300.9			AA
Washington		80.0			37.2			89.2			206.4			204.6			AA
Massachusetts		38.0			8.6			137.3			183.9			185.8			AA
Arizona		—			0.6			144.5			145.1			145.5			AA
Michigan		—			39.5			93.1			132.6			131.4			A
Georgia		19.3			38.4			67.1			124.8			125.4			AA
All others		220.8			220.8			1,072.1			1,513.7			1,504.4			AA
Total		$	519.2		$	871.6		$	3,090.8		$	4,481.6		$	4,465.3		AA

Revenue Sources

		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

Fixed Maturity Securities Gross Unrealized Loss by Length of Time

		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						13						277
Number of securities with OTTI					5						3						8

		As of December 31, 2010 (restated)
		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						18						423
Number of securities with OTTI					10						3						13

Distribution of Fixed Maturity Securities by Contractual Maturity

		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

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

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