Fair Values of Financial Instruments (Tables)

9 Months Ended

Sep. 30, 2011

Notes to Financial Statements [Abstract]

Carrying Amount and Fair Value of Financial Instruments

Presented as follows are the carrying amounts and fair values of financial instruments. The carrying values of financial instruments such as short-term investments, cash and bank deposits, accounts and premiums receivable, and accrued investment income approximate fair value due to the short-term nature of the instruments. As such, these financial instruments are not included in the following chart.



	September 30, 2011				December 31, 2010
	Carrying Amount		Fair Value		Carrying Amount		Fair Value
	(in millions of dollars)
Assets
Fixed Maturity Securities	$	42,434.7	$	42,434.7	$	40,035.6	$	40,035.6
Mortgage Loans	1,606.9		1,789.9		1,516.8		1,685.4
Policy Loans	3,075.1		3,146.0		2,996.1		3,044.4
Other Long-term Investments
Derivatives	143.2		143.2		99.1		99.1
Equity Securities	10.4		10.4		10.4		10.4
Miscellaneous Long-term Investments	457.5		457.5		419.8		419.8

Liabilities
Policyholders’ Funds
Deferred Annuity Products	$	642.5	$	642.5	$	656.3	$	656.3
Supplementary Contracts without Life Contingencies	491.8		491.8		508.5		508.5
Short-term Debt	342.4		342.4		225.1		226.8
Long-term Debt	2,586.5		2,589.9		2,631.3		2,483.8
Other Liabilities
Derivatives	154.7		154.7		199.6		199.6
Embedded Derivative in Modified Coinsurance Arrangement	120.7		120.7		96.3		96.3
Unfunded Commitments to Investment Partnerships	158.6		158.6		169.9		169.9

Fair Value, Measurement Inputs, Disclosure

The categorization of fair value measurements by input level is as follows:



	September 30, 2011
	(in millions of dollars)
	Quoted Prices in Active Markets for Identical Assets or Liabilities (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Total
Assets
Fixed Maturity Securities
United States Government and Government Agencies and Authorities	$	324.7	$	968.9	$	—	$	1,293.6
States, Municipalities, and Political Subdivisions	31.5		1,554.9		—		1,586.4
Foreign Governments	—		1,474.7		—		1,474.7
Public Utilities	1,131.4		8,973.5		395.8		10,500.7
Mortgage/Asset-Backed Securities	—		3,127.4		19.6		3,147.0
All Other Corporate Bonds	5,183.6		18,725.4		466.8		24,375.8
Redeemable Preferred Stocks	—		34.8		21.7		56.5
Total Fixed Maturity Securities	6,671.2		34,859.6		903.9		42,434.7

Other Long-term Investments
Derivatives
Interest Rate Swaps and Forwards	—		140.8		—		140.8
Foreign Exchange Contracts	—		2.4		—		2.4
Total Derivatives	—		143.2		—		143.2
Equity Securities	—		—		10.4		10.4

Liabilities
Other Liabilities
Derivatives
Interest Rate Swaps	$	—	$	33.5	$	—	$	33.5
Foreign Exchange Contracts	—		121.2		—		121.2
Embedded Derivative in Modified Coinsurance Arrangement	—		—		120.7		120.7
Total Derivatives	—		154.7		120.7		275.4



	December 31, 2010
	(in millions of dollars)
	Quoted Prices in Active Markets for Identical Assets or Liabilities (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Total
Assets
Fixed Maturity Securities
United States Government and Government Agencies and Authorities	$	102.8	$	998.9	$	—	$	1,101.7
States, Municipalities, and Political Subdivisions	301.9		943.3		—		1,245.2
Foreign Governments	0.7		1,408.6		—		1,409.3
Public Utilities	840.1		8,670.5		173.6		9,684.2
Mortgage/Asset-Backed Securities	—		3,384.8		0.7		3,385.5
All Other Corporate Bonds	4,170.7		18,154.3		829.7		23,154.7
Redeemable Preferred Stocks	—		33.3		21.7		55.0
Total Fixed Maturity Securities	5,416.2		33,593.7		1,025.7		40,035.6

Other Long-term Investments
Derivatives
Interest Rate Swaps	—		98.4		—		98.4
Foreign Exchange Contracts	—		0.7		—		0.7
Total Derivatives	—		99.1		—		99.1
Equity Securities	—		8.9		1.5		10.4

Liabilities
Other Liabilities
Derivatives
Interest Rate Swaps	$	—	$	39.1	$	—	$	39.1
Foreign Exchange Contracts	—		160.5		—		160.5
Embedded Derivative in Modified Coinsurance Arrangement	—		—		96.3		96.3
Total Derivatives	—		199.6		96.3		295.9

Transfers of Assets between Level 1 and Level 2

Transfers of assets between Level 1 and Level 2 are as follows:



	Three Months Ended September 30, 2011				Nine Months Ended September 30, 2011
	(in millions of dollars) Transfers into
	Level 1 from Level 2		Level 2 from Level 1		Level 1 from Level 2		Level 2 from Level 1
Fixed Maturity Securities
United States Government and Government Agencies and Authorities	$	177.2	$	16.1	$	169.8	$	—
States, Municipalities, and Political Subdivisions	—		20.0		25.4		301.9
Foreign Governments	—		—		—		0.7
Public Utilities	665.7		694.8		710.5		488.6
All Other Corporate Bonds	1,798.1		2,347.2		2,334.1		1,732.3
Total Fixed Maturity Securities	$	2,641.0	$	3,078.1	$	3,239.8	$	2,523.5



	Three Months Ended September 30, 2010				Nine Months Ended September 30, 2010
	(in millions of dollars) Transfers into
	Level 1 from Level 2		Level 2 from Level 1		Level 1 from Level 2		Level 2 from Level 1
Fixed Maturity Securities
United States Government and Government Agencies and Authorities	$	17.1	$	20.5	$	110.8	$	—
States, Municipalities, and Political Subdivisions	123.7		40.0		55.4		59.5
Public Utilities	678.9		579.4		616.1		581.0
All Other Corporate Bonds	2,328.7		1,887.6		2,949.3		1,052.4
Redeemable Preferred Stock	—		—		—		5.5
Total Fixed Maturity Securities	$	3,148.4	$	2,527.5	$	3,731.6	$	1,698.4

Changes in Assets and Liabilities Measured at Fair Value on a Recurring Basis using Significant Unobservable Inputs (Level 3)

Changes in assets and liabilities measured at fair value on a recurring basis using significant unobservable inputs (Level 3) are as follows:



	Three Months Ended September 30, 2011
	(in millions of dollars)
				Total Realized and Unrealized Investment Gains (Losses) Included in
	Beginning of Period			Earnings			Other Comprehensive Income or Loss			Purchases		Sales			Level 3 Transfers					End of Period
															Into		Out of
Fixed Maturity Securities
Public Utilities	$	217.9		$	0.1		$	9.3		$	30.0	$	(11.9	)	$	220.2	$	(69.8	)	$	395.8
Mortgage/Asset-Backed Securities	19.7			—			(0.1		)	—		—			—		—			19.6
All Other Corporate Bonds	528.3			—			1.3			—		(17.6		)	119.6		(164.8		)	466.8
Redeemable Preferred Stocks	22.6			—			(0.9		)	—		—			—		—			21.7
Total Fixed Maturity Securities	788.5			0.1			9.6			30.0		(29.5		)	339.8		(234.6		)	903.9

Equity Securities	3.6			(0.4		)	(2.4		)	—		—			9.6		—			10.4
Embedded Derivative in Modified Coinsurance Arrangement	(87.0		)	(33.7		)	—			—		—			—		—			(120.7		)

	Three Months Ended September 30, 2010
	(in millions of dollars)
				Total Realized and Unrealized Investment Gains Included in
	Beginning of Period			Earnings			Other Comprehensive Income or Loss			Purchases		Sales			Level 3 Transfers					End of Period
															Into		Out of
Fixed Maturity Securities
States, Municipalities, and Political Subdivisions	$	—		$	—		$	0.5		$	17.7	$	—		$	—	$	—		$	18.2
Public Utilities	72.4			—			6.8			—		(1.3		)	108.0		(28.0		)	157.9
Mortgage/Asset-Backed Securities	1.5			—			—			—		(0.8		)	—		—			0.7
All Other Corporate Bonds	430.1			—			11.1			3.1		(5.3		)	127.7		(44.1		)	522.6
Redeemable Preferred Stocks	21.3			—			—			—		—			—		(21.2		)	0.1
Total Fixed Maturity Securities	525.3			—			18.4			20.8		(7.4		)	235.7		(93.3		)	699.5

Equity Securities	8.9			—			1.8			—		—			—		—			10.7
Embedded Derivative in Modified Coinsurance Arrangement	(122.7		)	1.6			—			—		—			—		—			(121.1		)



	Nine Months Ended September 30, 2011
	(in millions of dollars)
				Total Realized and Unrealized Investment Gains (Losses) Included in
	Beginning of Year			Earnings			Other Comprehensive Income or Loss			Purchases		Sales			Level 3 Transfers					End of Period
															Into		Out of
Fixed Maturity Securities
Public Utilities	$	173.6		$	0.1		$	17.1		$	30.0	$	(15.7	)	$	299.7	$	(109.0	)	$	395.8
Mortgage/Asset-Backed Securities	0.7			—			(0.4		)	19.4		(0.1		)	—		—			19.6
All Other Corporate Bonds	829.7			(2.1		)	4.7			41.7		(32.5		)	96.2		(470.9		)	466.8
Redeemable Preferred Stocks	21.7			—			—			—		—			—		—			21.7
Total Fixed Maturity Securities	1,025.7			(2.0		)	21.4			91.1		(48.3		)	395.9		(579.9		)	903.9

Equity Securities	1.5			(0.4		)	(1.7		)	2.0		—			9.0		—			10.4
Embedded Derivative in Modified Coinsurance Arrangement	(96.3		)	(24.4		)	—			—		—			—		—			(120.7		)

	Nine Months Ended September 30, 2010
	(in millions of dollars)
				Total Realized and Unrealized Investment Gains (Losses) Included in
	Beginning of Year			Earnings			Other Comprehensive Income or Loss			Purchases		Sales			Level 3 Transfers					End of Period
															Into		Out of
Fixed Maturity Securities
States, Municipalities, and Political Subdivisions	$	—		$	—		$	0.5		$	17.7	$	—		$	—	$	—		$	18.2
Public Utilities	264.3			(1.0		)	9.9			—		(8.1		)	112.5		(219.7		)	157.9
Mortgage/Asset-Backed Securities	4.7			—			0.3			—		(4.3		)	—		—			0.7
All Other Corporate Bonds	580.0			(1.8		)	47.5			3.1		(41.8		)	208.6		(273.0		)	522.6
Redeemable Preferred Stocks	20.4			—			—			—		—			—		(20.3		)	0.1
Total Fixed Maturity Securities	869.4			(2.8		)	58.2			20.8		(54.2		)	321.1		(513.0		)	699.5

Equity Securities	1.5			—			2.4			6.9		(0.1		)	—		—			10.7
Embedded Derivative in Modified Coinsurance Arrangement	(117.4		)	(3.7		)	—			—		—			—		—			(121.1		)

- Definition

Tabular disclosure of the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments, assets, and liabilities. Such certain disclosures about the financial instruments, assets, and liabilities include: (1) the fair value of the required items together with their carrying amounts (as appropriate) and (2) the methodology and assumptions used in developing such estimates of fair value.

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- Definition

Tabular disclosure of the fair value measurement of assets and liabilities which includes [financial] instruments measured at fair value that are classified in stockholders' equity. Such assets and liabilities may be measured on a recurring or nonrecurring basis. The disclosures which may be required or desired include: (1) for assets and liabilities measured on a recurring basis, disclosure may include: (a) the fair value measurements at the reporting date; (b) the level within the fair value hierarchy in which the fair value measurements in their entirety fall, segregating fair value measurements using quoted prices in active markets for identical assets or liabilities (Level 1), significant other observable inputs (Level 2), and significant unobservable inputs (Level 3); (c) for fair value measurements using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes during the period attributable to the following: (i) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets), and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (ii) purchases, sales, issuances, and settlements (net); (iii) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs); (d) the amount of the total gains or losses for the period in subparagraph (c) (i) above included in earnings (or changes in net assets) that are attributable to the change in unrealized gains or losses relating to those assets and liabilities still held at the reporting date and a description of where those unrealized gains or losses are reported in the statement of income (or activities); (e) the valuation technique(s) used to measure fair value and a discussion of changes in valuation techniques, if any, during the period and (2) for assets and liabilities that are measured at fair value on a nonrecurring basis (for example, impaired assets) disclosure may include, in addition to (a) above: (a) the reasons for the fair value measurements recorded; (b) the same as (b) above; (c) for fair value measurements using significant unobservable inputs (Level 3), a description of the inputs and the information used to develop the inputs; and (d) the valuation technique(s) used to measure fair value and a discussion of changes, if any, in the valuation technique(s) used to measure similar assets and/or liabilities in prior periods. Where the quoted price in an active market for the identical liability is not available, the Level 1 input is the quoted price of an identical liability when traded as an asset.

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