Investment Securities (Tables)

9 Months Ended

Sep. 30, 2011

Investment Securities

Net investment income

	Three Months Ended September 30,						Nine Months Ended September 30,
Millions	2011			2010			2011			2010
Investment income:
Fixed maturity investments	$	38.5		$	46.9		$	127.0		$	149.9
Short-term investments	.9			.8			3.2			3.7
Common equity securities	3.6			2.7			10.1			7.1
Convertible fixed maturity investments	1.3			.4			3.9			4.4
Other long-term investments	1.2			1.1			1.9			1.6
Interest on funds held under reinsurance treaties	.2			(.5		)	(.6		)	(2.2		)
Total investment income	45.7			51.4			145.5			164.5
Less third-party investment expenses	(2.9		)	(2.5		)	(7.4		)	(7.1		)
Net investment income, pre-tax	$	42.8		$	48.9		$	138.1		$	157.4

Schedule of Net Realized and Unrealized Investment Gains and Losses

	Three Months Ended September 30,						Nine Months Ended September 30,
Millions	2011			2010			2011			2010
Net realized investment gains (losses), pre-tax	$	37.1		$	31.4		$	109.6		$	93.7
Net unrealized investment gains (losses), pre-tax	(35.4		)	(19.8		)	(31.3		)	11.0
Net realized and unrealized investment gains (losses), pre-tax	1.7			11.6			78.3			104.7
Income taxes attributable to realized and unrealized investment gains (losses)	(1.1		)	(22.7		)	(23.7		)	(24.5		)
Net realized and unrealized investment gains (losses), after-tax	$	.6		$	(11.1	)	$	54.6		$	80.2

Net realized investment gains (losses)

	Three Months Ended September 30,						Nine Months Ended September 30,
Millions	2011			2010			2011			2010
Fixed maturity investments	$	14.0		$	34.7		$	33.6		$	68.1
Short-term investments	—			—			—			—
Common equity securities	23.1			(13.7		)	41.0			6.7
Convertible fixed maturity investments	(.7		)	6.2			6.3			19.9
Other long-term investments	.7			4.2			28.7			(1.0		)
Net realized investment gains (losses), pre-tax	37.1			31.4			109.6			93.7
Income taxes attributable to realized investment gains (losses)	(8.0		)	(4.9		)	(31.7		)	(20.5		)
Net realized investment gains (losses), after-tax	$	29.1		$	26.5		$	77.9		$	73.2

Net unrealized investment gains (losses)

	Three Months Ended September 30, 2011									Nine Months Ended September 30, 2011
Millions	Net unrealized gains (losses)			Net foreign exchange gains (losses)			Total changes in fair value reflected in earnings			Net unrealized gains (losses)			Net foreign exchange gains (losses)			Total changes in fair value reflected in earnings
Fixed maturities	$	3.5		$	67.5		$	71.0		$	12.6		$	77.7		$	90.3
Short-term investments	(.1		)	(.4		)	(.5		)	(.1		)	(1.4		)	(1.5		)
Common equity securities	(101.0		)	(.9		)	(101.9		)	(95.1		)	(1.8		)	(96.9		)
Convertible fixed maturity investments	(11.2		)	—			(11.2		)	(19.3		)	—			(19.3		)
Other long-term investments	(1.2		)	8.4			7.2			(8.4		)	4.5			(3.9		)
Net unrealized investment gains (losses), pre-tax	(110.0		)	74.6			(35.4		)	(110.3		)	79.0			(31.3		)
Income taxes attributable to unrealized investment gains (losses)	26.4			(19.5		)	6.9			28.5			(20.5		)	8.0
Net unrealized investment gains (losses), after-tax	$	(83.6	)	$	55.1		$	(28.5	)	$	(81.8	)	$	58.5		$	(23.3	)

	Three Months Ended September 30, 2010									Nine Months Ended September 30, 2010
Millions	Net unrealized gains (losses)			Net foreign exchange gains (losses)			Total changes in fair value reflected in earnings			Net unrealized gains (losses)			Net foreign exchange gains (losses)			Total changes in fair value reflected in earnings
Fixed maturities	$	3.3		$	(81.2	)	$	(77.9	)	$	36.4		$	(53.6	)	$	(17.2	)
Short-term investments	—			1.4			1.4			—			.6			.6
Common equity securities	64.3			(10.8		)	53.5			31.8			(9.7		)	22.1
Convertible fixed maturity investments	2.8			—			2.8			(8.3		)	—			(8.3		)
Other long-term investments	9.0			(8.6		)	.4			20.5			(6.7		)	13.8
Net unrealized investment gains (losses), pre-tax	79.4			(99.2		)	(19.8		)	80.4			(69.4		)	11.0
Income taxes attributable to unrealized investment gains (losses)	(28.8		)	11.0			(17.8		)	(22.4		)	18.4			(4.0		)
Net unrealized investment gains (losses), after-tax	$	50.6		$	(88.2	)	$	(37.6	)	$	58.0		$	(51.0	)	$	7.0

Net unrealized investment gains (losses) for Level 3 investments

	Three Months Ended September 30,					Nine Months Ended September 30,
Millions	2011			2010		2011			2010
Fixed maturities	$	(13.5	)	$	3.3	$	(14.9	)	$	9.5
Common equity securities	(17.5		)	2.5		(17.0		)	(20.0		)
Convertible fixed maturities	—			—		—			—
Other long-term investments	(3.2		)	8.5		(6.5		)	37.4
Total unrealized investment gains (losses), pre-tax - Level 3 investments	$	(34.2	)	$	14.3	$	(38.4	)	$	26.9

Investment holdings, fixed maturity investments

	September 30, 2011
Millions	Cost or amortized cost		Gross unrealized gains		Gross unrealized losses			Net foreign currency gains (losses)			Carrying value
U.S. Government and agency obligations	$	347.1	$	5.8	$	(.2	)	$	.4		$	353.1
Debt securities issued by corporations	1,990.0		76.6		(11.9		)	(.8		)	2,053.9
Municipal obligations	2.4		—		—			—			2.4
Mortgage-backed and asset-backed securities	2,200.8		29.8		(4.9		)	14.9			2,240.6
Foreign government, agency and provincial obligations	653.0		14.1		(.2		)	(.9		)	666.0
Preferred stocks	82.3		3.3		(11.0		)	—			74.6
Total fixed maturity investments(1)	$	5,275.6	$	129.6	$	(28.2	)	$	13.6		$	5,390.6

(1) Carrying value includes $102.9 that is classified as assets held for sale relating to AutoOne discontinued operations.

	December 31, 2010
Millions	Cost or amortized cost		Gross unrealized gains		Gross unrealized losses			Net foreign currency gains (losses)			Carrying value
U.S. Government and agency obligations	$	385.9	$	13.6	$	(.8	)	$	—		$	398.7
Debt securities issued by corporations	2,149.2		87.9		(21.1		)	(37.9		)	2,178.1
Municipal obligations	3.3		.1		(.1		)	—			3.3
Mortgage-backed and asset-backed securities	2,082.0		18.2		(15.6		)	(12.9		)	2,071.7
Foreign government, agency and provincial obligations	1,053.6		7.7		(6.6		)	(8.3		)	1,046.4
Preferred stocks	81.9		6.1		—			(.1		)	87.9
Total fixed maturity investments	$	5,755.9	$	133.6	$	(44.2	)	$	(59.2	)	$	5,786.1

Investment holdings, equity securities, convertible fixed maturities and other long-term investments

	September 30, 2011
Millions	Cost or amortized cost		Gross unrealized gains		Gross unrealized losses			Net foreign currency gains (losses)			Carrying value
Common equity securities	$	661.0	$	35.4	$	(26.6	)	$	—		$	669.8
Convertible fixed maturities	$	143.7	$	4.4	$	(7.6	)	$	—		$	140.5
Other long-term investments	$	290.2	$	56.2	$	(15.2	)	$	(2.4	)	$	328.8

	December 31, 2010
Millions	Cost or amortized cost		Gross unrealized gains		Gross unrealized losses			Net foreign currency gains (losses)			Carrying value
Common equity securities	$	561.2	$	105.5	$	(1.5	)	$	1.8		$	667.0
Convertible fixed maturities	$	126.9	$	16.2	$	(.1	)	$	—		$	143.0
Other long-term investments	$	329.5	$	62.4	$	(13.0	)	$	(6.8	)	$	372.1

Other long-term investments

	September 30, 2011				December 31, 2010
Millions	Fair Value		Unfunded Commitments		Fair Value		Unfunded Commitments
Hedge funds
Long/short equity	$	49.0	$	—	$	50.4	$	—
Long/short credit & distressed	32.3		—		34.1		—
Long diversified strategies	22.0		—		24.0		—
Long/short equity REIT	14.7		—		25.2		—
Long/short equity activist	11.7		—		16.9		—
Long bank loan	.5		—		5.1		—
Total hedge funds	130.2				155.7		—
Private equity funds
Distressed residential real estate	31.4		—		49.2		—
Energy infrastructure & services	29.5		9.9		24.2		10.8
Multi-sector	28.0		8.2		26.0		10.6
Manufacturing/Industrial	17.0		—		17.9		—
Private equity secondaries	11.3		4.0		10.4		4.4
Real estate	10.2		3.3		9.1		4.6
International multi-sector, Europe	8.0		4.7		10.5		5.3
International multi-sector, Asia	3.6		2.7		4.9		2.7
Insurance	3.6		41.3		3.9		41.3
Venture capital	2.5		.5		2.2		1.0
Healthcare	2.3		7.0		1.5		8.0
Total private equity funds	147.4		81.6		159.8		88.7
Total hedge and private equity funds included in other long-term investments	$	277.6	$	81.6	$	315.5	$	88.7

Fair value of hedge funds subject to restrictions on redemption frequency and advance notice period requirements for investments in active hedge funds

	Notice Period
Millions Redemption frequency	30-59 days notice		60-89 days notice		90-119 days notice		120+ days notice		Total
Monthly	$	—	$	—	$	—	$	6.0	$	6.0
Quarterly	26.1		29.7		19.6		—		75.4
Semi-annual	—		5.1		—		14.7		19.8
Annual	21.9		—		6.6		.5		29.0
Total	$	48.0	$	34.8	$	26.2	$	21.2	$	130.2

Fair Value of private equity funds subject to lock-up periods

Millions	1-3 years		3 – 5 years		5 – 10 years		>10 years		Total
Private Equity Funds — expected lock-up period remaining	$	47.3	$	—	$	83.1	$	17.0	$	147.4

Fair value measurements by level, investment securities

	September 30, 2011
Millions	Fair value		Level 1 Inputs		Level 2 Inputs		Level 3 Inputs
Fixed maturities:
US Government and agency obligations	$	353.1	$	343.5	$	9.6	$	—
Debt securities issued by corporations:
Consumer	719.0		—		719.0		—
Industrial	425.3		—		425.3		—
Financials	243.4		5.7		212.2		25.5
Communications	211.0		—		211.0		—
Energy	118.0		—		118.0		—
Basic materials	160.1		—		160.1		—
Utilities	148.3		—		148.3		—
Technology	25.3		—		25.3		—
Diversified	3.5		—		3.5		—
Total debt securities issued by corporations:	2,053.9		5.7		2,022.7		25.5
Municipal obligations	2.4		—		2.4		—
Mortgage-backed and asset-backed securities	2,240.6		—		2,108.7		131.9
Foreign government, agency and provincial obligations	666.0		64.5		601.5		—
Preferred stocks	74.6		—		15.1		59.5
Total fixed maturities(2)	5,390.6		413.7		4,760.0		216.9
Short-term investments	772.8		759.0		13.8		—
Common equity securities:
Financials	191.6		159.4		.5		31.7
Consumer	166.0		164.8		1.2		—
Basic materials	108.4		107.2		1.2		—
Energy	57.5		57.5		—		—
Utilities	40.7		40.7		—		—
Technology	28.6		27.6		1.0		—
Other	77.0		25.3		51.3		.4
Total common equity securities	669.8		582.5		55.2		32.1
Convertible fixed maturity investments	140.5		—		140.5		—
Other long-term investments(1)	292.2		—		—		292.2
Total investments	$	7,265.9	$	1,755.2	$	4,969.5	$	541.2

(1)  Excludes carrying value of $36.6 associated with other long-term investment limited partnerships accounted for using the equity method.

(2)  Carrying value includes $102.9 that is classified as assets held for sale relating to AutoOne discontinued operations.

	December 31, 2010
Millions	Fair value		Level 1 Inputs		Level 2 Inputs		Level 3 Inputs
Fixed maturities:
US Government and agency obligations	$	398.7	$	388.9	$	9.8	$	—
Debt securities issued by corporations:
Consumer	769.0		—		769.0		—
Industrial	511.3		—		511.3		—
Financials	265.8		6.3		259.5		—
Communications	226.3		—		226.3		—
Basic materials	125.3		—		125.3		—
Utilities	106.7		—		106.7		—
Energy	151.5		—		151.5		—
Technology	22.1		—		22.1		—
Total debt securities issued by corporations:	2,178.0		6.3		2,171.7		—
Municipal obligations	3.3		—		3.3
Mortgage-backed and asset-backed securities	2,071.7		—		2,014.7		57.0
Foreign government, agency and provincial obligations	1,046.5		82.6		963.9		—
Preferred stocks	87.9		—		16.5		71.4
Total fixed maturities	5,786.1		477.8		5,179.9		128.4
Short-term investments	975.3		878.7		96.6		—
Common equity securities:
Financials	221.6		152.6		1.2		67.8
Consumer	123.3		122.5		.8		—
Basic materials	98.8		97.1		1.7		—
Energy	60.2		60.2		—		—
Utilities	47.6		44.6		—		3.0
Technology	31.8		30.4		1.4		—
Other	83.7		30.5		52.8		.4
Total common equity securities	667.0		537.9		57.9		71.2
Convertible fixed maturity investments	143.0		—		143.0		—
Other long-term investments(1)	330.2		—		—		330.2
Total investments	$	7,901.6	$	1,894.4	$	5,477.4	$	529.8

(1) Excludes carrying value of $41.9 associated with other long-term investment limited partnerships accounted for using the equity method.

Debt securities issued by corporations, credit ratings

Millions	September 30, 2011		December 31, 2010
AAA	$	—	$	—
AA	217.4		210.0
A	765.0		833.7
BBB	1,059.8		1,109.1
BB	5.5		24.5
Other	6.2		.7
Debt securities issued by corporations	$	2,053.9	$	2,178.0

Mortgage-backed, asset-backed securities

	September 30, 2011						December 31, 2010
Millions	Fair Value		Level 2		Level 3		Fair Value		Level 2		Level 3
Mortgage-backed securities:
Agency:
GNMA	$	1,268.0	$	1,136.1	$	131.9	$	1,143.6	$	1,102.7	$	40.9
FNMA	268.9		268.9		—		234.9		234.9		—
FHLMC	56.6		56.6		—		39.1		39.1		—
Total Agency(1)	1,593.5		1,461.6		131.9		1,417.6		1,376.7		40.9
Non-agency:
Residential	68.0		68.0		—		90.6		74.5		16.1
Commercial	243.5		243.5		—		87.0		87.0		—
Total Non-agency	311.5		311.5		—		177.6		161.5		16.1
Total mortgage-backed securities	1,905.0		1,773.1		131.9		1,595.2		1,538.2		57.0
Other asset-backed securities:
Credit card receivables	77.5		77.5		—		248.3		248.3		—
Vehicle receivables	235.5		235.5		—		228.1		228.1		—
Other	22.6		22.6		—		.1		.1		—
Total other asset-backed securities	335.6		335.6		—		476.5		476.5		—
Total mortgage and asset-backed securities	$	2,240.6	$	2,108.7	$	131.9	$	2,071.7	$	2,014.7	$	57.0

(1) Represents publicly traded mortgage-backed securities which carry the full faith and credit guaranty of the U.S. government (i.e., GNMA) or are guaranteed by a government sponsored entity (i.e., FNMA, FHLMC).

Schedule of security issuance years of investments in non-agency RMBS and non-agency CMBS securities

			Security Issuance Year
Millions	Fair Value		2003		2005		2006		2007		2009		2010		2011
Non-agency RMBS	$	68.0	$	3.7	$	—	$	24.3	$	29.5	$	—	$	10.5	$	—
Non-agency CMBS	243.5		2.4		14.7		—		17.1		11.3		2.2		195.8
Total	$	311.5	$	6.1	$	14.7	$	24.3	$	46.6	$	11.3	$	12.7	$	195.8

Non-agency residential mortgage securities, collateral quality and tranche levels

Millions	Fair Value		Super Senior (1)		Senior (2)		Subordinate(3)
Prime	$	49.9	$	23.2	$	26.7	$	—
Non-prime	18.1		17.2		.9		—
Sub-prime	—		—		—		—
Total	$	68.0	$	40.4	$	27.6	$	—

(1)	At issuance, Super Senior were rated AAA by Standard & Poor’s or Aaa by Moody’s and were senior to other AAA or Aaa bonds.
(2)	At issuance, Senior were rated AAA by Standard & Poor’s or Aaa by Moody’s and were senior to non-AAA or non-Aaa bonds.
(3)	At issuance, Subordinate were not rated AAA by Standard & Poor’s or Aaa by Moody’s and were junior to AAA or Aaa bonds.

Non-agency commercial mortgage securities, type of interest rate and tranche levels

Millions	Fair Value		Super Senior (1)		Senior(2)		Subordinate(3)
Fixed rate CMBS	$	201.8	$	24.3	$	177.5	$	—
Floating rate CMBS	41.7		31.8		9.9		—
Total	$	243.5	$	56.1	$	187.4	$	—

(1)	At issuance, Super Senior were rated AAA by Standard & Poor’s or Aaa by Moody’s and were senior to other AAA or Aaa bonds.
(2)	At issuance, Senior were rated AAA by Standard & Poor’s or Aaa by Moody’s and were senior to non-AAA or non-Aaa bonds.
(3)	At issuance, Subordinate were not rated AAA by Standard & Poor’s or Aaa by Moody’s and were junior to AAA or Aaa bonds.

Roll forward of fair value investments by level

							Level 3 Investments
Millions	Level 1 Investments			Level 2 Investments			Fixed Maturities			Common equity securities			Convertible fixed maturities		Other long- term investments			Total
Balance at January 1, 2011	$	1,894.4		$	5,477.4		$	128.4		$	71.2		$	—	$	330.2	(1)	$	7,901.6	(1)
Total realized and unrealized gains (losses)	(50.5		)	115.9			(10.6		)	(4.9		)	—		22.5			72.4
Foreign currency gains (losses) through OCI and other revenue	.3			(84.4		)	(4.4		)	1.6			—		(5.0		)	(91.9		)
Amortization/Accretion	2.4			(40.7		)	(.1		)				—					(38.4		)
Purchases	6,690.7			3,987.4			212.8			19.7			—		27.9			10,938.5
Sales	(6,782.1		)	(4,596.9		)	1.6			(55.5		)	—		(83.4		)	(11,516.3		)
Transfers in	—			111.8			1.0			—			—		—			112.8
Transfers out	—			(1.0		)	(111.8		)	—			—		—			(112.8		)
Balance at September 30, 2011	$	1,755.2		$	4,969.5		$	216.9		$	32.1		$	—	$	292.2	(1)	$	7,265.9	(1)

(1) Excludes carrying value of $36.6 and $41.9 at September 30, 2011 and January 1, 2011 associated with other long-term investment limited partnerships accounted for using the equity method.