XML 41 R32.htm IDEA: XBRL DOCUMENT

Investments (Tables)

9 Months Ended

Sep. 30, 2011

	Third Quarter						Nine Months
	2011			2010			2011			2010
	(in millions)
Income from fixed maturity securities	$	95.9		$	87.5		$	297.5		$	267.3
Income from short-term investments	0.2			0.5			0.8			0.1
Gross investment income	96.1			88.0			298.3			267.4
Investment expenses	(2.6		)	(2.4		)	(7.6		)	(6.6		)
Net investment income	$	93.5		$	85.6		$	290.7		$	260.8

Net realized investment gains (losses)

	Third Quarter						Nine Months
	2011			2010			2011			2010
	(in millions)
Realized gains on investment portfolio	$	5.7		$	3.2		$	26.5		$	28.5
Realized losses on investment portfolio	(0.4		)	(1.0		)	(7.3		)	(7.5		)
Other-than-temporary impairment (“OTTI”):
Intent to sell	(1.4		)	(0.3		)	(4.9		)	(2.0		)
Credit component of OTTI securities	(15.0		)	(4.3		)	(27.7		)	(20.4		)
OTTI	(16.4		)	(4.6		)	(32.6		)	(22.4		)
Net realized investment gains (losses)	$	(11.1	)	$	(2.4	)	$	(13.4	)	$	(1.4	)

Roll Forward of Credit Losses in the Investment Portfolio

	Third Quarter				Nine Months
	2011		2010		2011			2010
	(in millions)
Balance, beginning of period	$	21.6	$	20.0	$	27.3		$	19.9
Additions for credit losses on securities for which an OTTI was not previously recognized	14.4		4.3		24.9			4.3
Eliminations of securities issued by FG VIEs	—		—		(13.5		)	—
Reductions for securities sold during the period	—		—		(5.0		)	—
Additions for credit losses on securities for which an OTTI was previously recognized	0.5		—		2.8			0.1
Balance, end of period	$	36.5	$	24.3	$	36.5		$	24.3

Fixed Maturity Securities and Short Term Investments by Security Type

	As of September 30, 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(2)			Weighted Average Credit Quality(3)
	(dollars in millions)
Fixed maturity securities:
U.S. government and agencies	8	%	$	862.6	$	73.9	$	(0.1	)	$	936.4	$	—		AA+
Obligations of state and political subdivisions	48		5,066.8		303.4		(1.8		)	5,368.4		5.6			AA
Corporate securities	10		1,064.7		48.3		(2.3		)	1,110.7		0.1			AA-
Mortgage-backed securities(4):
RMBS	13		1,341.9		68.3		(80.6		)	1,329.6		(46.3		)	AA
CMBS	5		490.8		17.6		(0.0		)	508.4		2.2			AAA
Asset-backed securities	5		492.5		28.0		(19.4		)	501.1		18.4			BBB-
Foreign government securities	3		331.0		10.9		(5.3		)	336.6		—			AAA
Total fixed maturity securities	92		9,650.3		550.4		(109.5		)	10,091.2		(20.0		)	AA
Short-term investments	8		873.3		—		—			873.3		—			AAA
Total investment portfolio	100	%	$	10,523.6	$	550.4	$	(109.5	)	$	10,964.5	$	(20.0	)	AA

	As of December 31, 2010 (restated)
Investment 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 September 30, 2011 and December 31, 2010, respectively, approximately 65% 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 September 30, 2011
State	State General Obligation		Local General Obligation		Revenue		Fair Value		Amortized Cost		Average Credit Rating
	(in millions)
Texas	$	91.7	$	335.8	$	317.4	$	744.9	$	703.0	AA
New York	12.1		55.1		594.5		661.7		627.5		AA
California	18.6		62.4		294.3		375.3		349.9		AA
Florida	45.9		55.4		251.3		352.6		329.8		AA
Illinois	23.2		72.1		202.8		298.1		282.9		AA
Washington	60.2		38.6		108.3		207.1		195.5		AA
Massachusetts	41.6		9.5		154.4		205.5		191.2		AA
Arizona	—		7.5		172.5		180.0		171.7		AA
Ohio	36.2		24.3		78.1		138.6		131.1		AA
Michigan	—		40.0		83.1		123.1		117.4		AA
All others	336.0		268.8		1,110.9		1,715.7		1,625.5		AA
Total	$	665.5	$	969.5	$	3,367.6	$	5,002.6	$	4,725.5	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 September 30, 2011				As of December 31, 2010
State	Fair Value		Amortized Cost		Fair Value		Amortized Cost
	(in millions)
Transportation	$	778.3	$	733.9	$	725.5	$	718.9
Tax backed	633.0		597.1		609.0		607.2
Water and sewer	533.7		509.3		470.6		471.3
Municipal utilities	510.2		480.9		457.8		456.8
Higher education	352.8		329.7		298.2		302.1
Healthcare	261.5		248.5		207.3		206.5
All others	298.1		287.4		322.4		323.1
Total	$	3,367.6	$	3,186.8	$	3,090.8	$	3,085.9

Fixed Maturity Securities Gross Unrealized Loss by Length of Time

	As of September 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	$	3.8	$	(0.1	)	$	—	$	—		$	3.8	$	(0.1	)
Obligations of state and political subdivisions	45.3		(0.9		)	49.7		(0.9		)	95.0		(1.8		)
Corporate securities	153.1		(2.3		)	—		—			153.1		(2.3		)
Mortgage-backed securities:
RMBS	121.4		(54.6		)	32.8		(26.0		)	154.2		(80.6		)
CMBS	9.9		(0.0		)	—		—			9.9		(0.0		)
Asset-backed securities	22.5		(19.3		)	2.2		(0.1		)	24.7		(19.4		)
Foreign government securities	143.0		(5.3		)	—		—			143.0		(5.3		)
Total	$	499.0	$	(82.5	)	$	84.7	$	(27.0	)	$	583.7	$	(109.5	)
Number of securities			81					23					104
Number of securities with OTTI			6					3					9

	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 September 30, 2011
	Amortized Cost		Estimated Fair Value
	(in millions)
Due within one year	$	285.2	$	283.9
Due after one year through five years	1,700.7		1,760.5
Due after five years through 10 years	2,425.9		2,605.8
Due after 10 years	3,405.8		3,603.0
Mortgage-backed securities:
RMBS	1,341.9		1,329.6
CMBS	490.8		508.4
Total	$	9,650.3	$	10,091.2

- 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