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Investments (Tables)
 9 Months Ended
Sep. 30, 2013
Investment Portfolio by Major Security Type
The following tables present the composition of our investment portfolio by major security type, consistent with our classification of how we manage, monitor, and measure the portfolio:
 
($ in millions)
Cost

 
Gross
Unrealized Gains

 
Gross
Unrealized
Losses

 
Net
Realized
Gains
(Losses)1

 
Fair
Value

 
% of
Total
Fair
Value

September 30, 2013
 
 
 
 
 
 
 
 
 
 
 
Fixed maturities:
 
 
 
 
 
 
 
 
 
 
 
U.S. government obligations
$
3,691.2

 
$
61.8

 
$
(11.3
)
 
$
0

 
$
3,741.7

 
20.8
%
State and local government obligations
2,125.7

 
29.9

 
(17.0
)
 
0

 
2,138.6

 
11.9

Foreign government obligations2
15.9

 
0

 
0

 
0

 
15.9

 
.1

Corporate debt securities
3,118.8

 
67.0

 
(28.9
)
 
.7

 
3,157.6

 
17.6

Residential mortgage-backed securities
994.9

 
31.5

 
(16.5
)
 
0

 
1,009.9

 
5.6

Commercial mortgage-backed securities
2,224.1

 
49.0

 
(33.1
)
 
0

 
2,240.0

 
12.4

Other asset-backed securities
1,143.3

 
7.4

 
(2.0
)
 
.2

 
1,148.9

 
6.4

Redeemable preferred stocks
331.0

 
24.5

 
(10.4
)
 
0

 
345.1

 
1.9

Total fixed maturities
13,644.9

 
271.1

 
(119.2
)
 
.9

 
13,797.7

 
76.7

Equity securities:
 
 
 
 
 
 
 
 
 
 
 
Nonredeemable preferred stocks
442.1

 
280.5

 
(4.8
)
 
8.2

 
726.0

 
4.0

Common equities
1,422.3

 
908.8

 
(5.0
)
 
0

 
2,326.1

 
12.9

Short-term investments:
 
 
 
 
 
 
 
 
 
 
 
Other short-term investments
1,146.1

 
0

 
0

 
0

 
1,146.1

 
6.4

Total portfolio3,4
$
16,655.4

 
$
1,460.4

 
$
(129.0
)
 
$
9.1

 
$
17,995.9

 
100.0
%

($ in millions)
Cost

 
Gross
Unrealized Gains

 
Gross
Unrealized
Losses

 
Net
Realized
Gains
(Losses)1

 
Fair
Value

 
% of
Total
Fair
Value

September 30, 2012
 
 
 
 
 
 
 
 
 
 
 
Fixed maturities:
 
 
 
 
 
 
 
 
 
 
 
U.S. government obligations
$
3,433.7

 
$
110.4

 
$
(.1
)
 
$
0

 
$
3,544.0

 
20.6
%
State and local government obligations
1,898.9

 
61.0

 
(.4
)
 
0

 
1,959.5

 
11.4

Foreign government obligations
0

 
0

 
0

 
0

 
0

 
0

Corporate debt securities
2,687.8

 
128.8

 
(.4
)
 
6.3

 
2,822.5

 
16.4

Residential mortgage-backed securities
399.5

 
21.6

 
(12.4
)
 
0

 
408.7

 
2.4

Commercial mortgage-backed securities
1,998.2

 
90.7

 
(1.3
)
 
0

 
2,087.6

 
12.2

Other asset-backed securities
1,077.9

 
14.5

 
(.1
)
 
0

 
1,092.3

 
6.4

Redeemable preferred stocks
368.0

 
27.1

 
(14.5
)
 
0

 
380.6

 
2.2

Total fixed maturities
11,864.0

 
454.1

 
(29.2
)
 
6.3

 
12,295.2

 
71.6

Equity securities:
 
 
 
 
 
 
 
 
 
 
 
Nonredeemable preferred stocks
430.1

 
416.8

 
0

 
1.5

 
848.4

 
4.9

Common equities
1,101.5

 
543.8

 
(6.1
)
 
0

 
1,639.2

 
9.6

Short-term investments:
 
 
 
 
 
 
 
 
 
 
 
Other short-term investments
2,394.1

 
0

 
0

 
0

 
2,394.1

 
13.9

Total portfolio3,4
$
15,789.7

 
$
1,414.7

 
$
(35.3
)
 
$
7.8

 
$
17,176.9

 
100.0
%
 
($ in millions)
Cost

 
Gross
Unrealized Gains

 
Gross
Unrealized
Losses

 
Net
Realized
Gains
(Losses)1

 
Fair
Value

 
% of
Total
Fair
Value

December 31, 2012
 
 
 
 
 
 
 
 
 
 
 
Fixed maturities:
 
 
 
 
 
 
 
 
 
 
 
U.S. government obligations
$
2,806.4

 
$
90.1

 
$
0

 
$
0

 
$
2,896.5

 
17.6
%
State and local government obligations
1,914.4

 
50.6

 
(.6
)
 
0

 
1,964.4

 
11.9

Foreign government obligations
0

 
0

 
0

 
0

 
0

 
0

Corporate debt securities
2,982.9

 
124.7

 
(1.0
)
 
6.4

 
3,113.0

 
18.9

Residential mortgage-backed securities
413.4

 
24.0

 
(9.2
)
 
0

 
428.2

 
2.6

Commercial mortgage-backed securities
1,963.9

 
84.9

 
(.1
)
 
0

 
2,048.7

 
12.4

Other asset-backed securities
936.0

 
12.9

 
(.1
)
 
(.2
)
 
948.6

 
5.8

Redeemable preferred stocks
356.9

 
30.5

 
(12.7
)
 
0

 
374.7

 
2.3

Total fixed maturities
11,373.9

 
417.7

 
(23.7
)
 
6.2

 
11,774.1

 
71.5

Equity securities:
 
 
 
 
 
 
 
 
 
 
 
Nonredeemable preferred stocks
404.0

 
404.6

 
0

 
3.8

 
812.4

 
4.9

Common equities
1,370.3

 
539.0

 
(10.3
)
 
0

 
1,899.0

 
11.5

Short-term investments:
 
 
 
 
 
 
 
 
 
 
 
Other short-term investments
1,990.0

 
0

 
0

 
0

 
1,990.0

 
12.1

Total portfolio3,4
$
15,138.2

 
$
1,361.3

 
$
(34.0
)
 
$
10.0

 
$
16,475.5

 
100.0
%
 
1Represents net holding period gains (losses) on certain hybrid securities (discussed below).
2Reflects an Australian government obligation at September 30, 2013.
3At September 30, 2013, we had $63.7 million of net unsettled security transactions, including collateral on open derivative positions, recognized in other liabilities, compared to $32.4 million and $90.9 million recognized in other assets at September 30, 2012 and December 31, 2012, respectively.
4The total fair value of the portfolio at September 30, 2013 and 2012, and December 31, 2012 included $1.3 billion, $1.6 billion, and $1.4 billion, respectively, of securities held in a consolidated, non-insurance subsidiary of the holding company.
Hybrid Securities
Included in our fixed-maturity and equity securities are hybrid securities, which are reported at fair value:
 
 
September 30,
 
December 31,
2012

(millions)
2013

 
2012

 
Fixed maturities:
 
 
 
 
 
Corporate debt securities
$
171.8

 
$
177.5

 
$
176.1

Other asset-backed securities
15.3

 
16.4

 
16.4

Total fixed maturities
187.1

 
193.9

 
192.5

Equity securities:
 
 
 
 
 
Nonredeemable preferred stocks
57.3

 
50.5

 
52.8

Total hybrid securities
$
244.4

 
$
244.4

 
$
245.3
Composition of Fixed Maturities by Maturity
Fixed Maturities The composition of fixed maturities by maturity at September 30, 2013, was:
 
(millions)
Cost

 
Fair Value

Less than one year
$
2,032.1

 
$
2,063.1

One to five years
8,610.3

 
8,767.3

Five to ten years
2,834.8

 
2,794.5

Ten years or greater
114.2

 
119.3

Total1
$
13,591.4

 
$
13,744.2

 
1Excludes $53.5 million related to our open interest rate swap positions.
Gross Unrealized Losses by Major Security
The following tables show the composition of gross unrealized losses by major security type and by the length of time that individual securities have been in a continuous unrealized loss position:
 
 
 
 
 
 
Less than 12 Months
 
12 Months or Greater
(millions)
Total Fair Value

 
Gross Unrealized Losses

 
Fair Value

 
Unrealized Losses

 
Fair Value

 
Unrealized Losses

September 30, 2013
 
 
 
 
 
 
 
 
 
 
 
Fixed maturities:
 
 
 
 
 
 
 
 
 
 
 
U.S. government obligations
$
969.1

 
$
(11.3
)
 
$
969.1

 
$
(11.3
)
 
$
0

 
$
0

State and local government obligations
728.3

 
(17.0
)
 
666.7

 
(16.2
)
 
61.6

 
(.8
)
Corporate debt securities
1,174.2

 
(28.9
)
 
1,113.4

 
(28.5
)
 
60.8

 
(.4
)
Residential mortgage-backed securities
663.0

 
(16.5
)
 
585.5

 
(12.4
)
 
77.5

 
(4.1
)
Commercial mortgage-backed securities
993.3

 
(33.1
)
 
993.2

 
(33.0
)
 
.1

 
(.1
)
Other asset-backed securities
282.8

 
(2.0
)
 
282.8

 
(2.0
)
 
0

 
0

Redeemable preferred stocks
158.4

 
(10.4
)
 
36.2

 
(.2
)
 
122.2

 
(10.2
)
Total fixed maturities
4,969.1

 
(119.2
)
 
4,646.9

 
(103.6
)
 
322.2

 
(15.6
)
Equity securities:
 
 
 
 
 
 
 
 
 
 
 
Nonredeemable preferred stocks
123.6

 
(4.8
)
 
123.6

 
(4.8
)
 
0

 
0

Common equities
47.3

 
(5.0
)
 
43.0

 
(4.7
)
 
4.3

 
(.3
)
Total equity securities
170.9

 
(9.8
)
 
166.6

 
(9.5
)
 
4.3

 
(.3
)
Total portfolio
$
5,140.0

 
$
(129.0
)
 
$
4,813.5

 
$
(113.1
)
 
$
326.5

 
$
(15.9
)
 
 
Total Fair Value

 
Gross Unrealized Losses

 
Less than 12 Months
 
12 Months or Greater
(millions)
 
 
Fair Value

 
Unrealized Losses

 
Fair Value

 
Unrealized Losses

September 30, 2012
 
 
 
 
 
 
 
 
 
 
 
Fixed maturities:
 
 
 
 
 
 
 
 
 
 
 
U.S. government obligations
$
83.1

 
$
(.1
)
 
$
83.1

 
$
(.1
)
 
$
0

 
$
0

State and local government obligations
61.4

 
(.4
)
 
29.1

 
(.2
)
 
32.3

 
(.2
)
Corporate debt securities
35.9

 
(.4
)
 
14.2

 
(.1
)
 
21.7

 
(.3
)
Residential mortgage-backed securities
177.2

 
(12.4
)
 
30.0

 
(.5
)
 
147.2

 
(11.9
)
Commercial mortgage-backed securities
44.0

 
(1.3
)
 
31.4

 
(.1
)
 
12.6

 
(1.2
)
Other asset-backed securities
21.0

 
(.1
)
 
9.0

 
0

 
12.0

 
(.1
)
Redeemable preferred stocks
164.1

 
(14.5
)
 
24.7

 
(.4
)
 
139.4

 
(14.1
)
Total fixed maturities
586.7

 
(29.2
)
 
221.5

 
(1.4
)
 
365.2

 
(27.8
)
Equity securities:
 
 
 
 
 
 
 
 
 
 
 
Nonredeemable preferred stocks
0

 
0

 
0

 
0

 
0

 
0

Common equities
80.8

 
(6.1
)
 
54.4

 
(3.4
)
 
26.4

 
(2.7
)
Total equity securities
80.8

 
(6.1
)
 
54.4

 
(3.4
)
 
26.4

 
(2.7
)
Total portfolio
$
667.5

 
$
(35.3
)
 
$
275.9

 
$
(4.8
)
 
$
391.6

 
$
(30.5
)

 
Total Fair Value

 
Gross Unrealized Losses

 
Less than 12 Months
 
12 Months or Greater
(millions)
 
 
Fair Value

 
Unrealized Losses

 
Fair Value

 
Unrealized Losses

December 31, 2012
 
 
 
 
 
 
 
 
 
 
 
Fixed maturities:
 
 
 
 
 
 
 
 
 
 
 
U.S. government obligations
$
0

 
$
0

 
$
0

 
$
0

 
$
0

 
$
0

State and local government obligations
162.8

 
(.6
)
 
123.1

 
(.5
)
 
39.7

 
(.1
)
Corporate debt securities
128.2

 
(1.0
)
 
128.2

 
(1.0
)
 
0

 
0

Residential mortgage-backed securities
149.2

 
(9.2
)
 
40.2

 
(.6
)
 
109.0

 
(8.6
)
Commercial mortgage-backed securities
7.1

 
(.1
)
 
2.1

 
0

 
5.0

 
(.1
)
Other asset-backed securities
25.0

 
(.1
)
 
20.8

 
0

 
4.2

 
(.1
)
Redeemable preferred stocks
155.7

 
(12.7
)
 
24.9

 
0

 
130.8

 
(12.7
)
Total fixed maturities
628.0

 
(23.7
)
 
339.3

 
(2.1
)
 
288.7

 
(21.6
)
Equity securities:
 
 
 
 
 
 
 
 
 
 
 
Nonredeemable preferred stocks
0

 
0

 
0

 
0

 
0

 
0

Common equities
118.2

 
(10.3
)
 
100.7

 
(8.2
)
 
17.5

 
(2.1
)
Total equity securities
118.2

 
(10.3
)
 
100.7

 
(8.2
)
 
17.5

 
(2.1
)
Total portfolio
$
746.2

 
$
(34.0
)
 
$
440.0

 
$
(10.3
)
 
$
306.2

 
$
(23.7
)
Total Non-Credit Portion of Other-Than-Temporary Impairment Recorded in Accumulated Other Comprehensive Income, Reflecting Original Non-Credit Loss at the Time Credit Impairment
The following table shows the total non-credit portion of the OTTI recorded in accumulated other comprehensive income, reflecting the original non-credit loss at the time the credit impairment was determined:
 
 
September 30,
 
December 31,
2012

(millions)
2013

 
2012

 
Fixed maturities:
 
 
 
 
 
Residential mortgage-backed securities
$
(44.1
)
 
$
(44.2
)
 
$
(44.2
)
Commercial mortgage-backed securities
(.9
)
 
(.9
)
 
(.9
)
Total fixed maturities
$
(45.0
)
 
$
(45.1
)
 
$
(45.1
)
OTTI Credit Losses Recognized in Earnings
The following tables provide rollforwards of the amounts related to credit losses recognized in earnings for the periods ended September 30, 2013 and 2012, for which portions of the OTTI losses were also recognized in accumulated other comprehensive income at the time the credit impairments were determined and recognized:
 
 
Three Months Ended September 30, 2013
 
Mortgage-Backed
 
 
(millions)
Residential 

 
Commercial 

 
Total

Balance at June 30, 2013
$
26.9

 
$
.5

 
$
27.4

Credit losses for which an OTTI was previously recognized
0

 
0

 
0

Credit losses for which an OTTI was not previously recognized
0

 
0

 
0

Reductions for securities sold/matured
0

 
0

 
0

Change in recoveries of future cash flows expected to be collected1
(2.4
)
 
(.1
)
 
(2.5
)
Reductions for previously recognized credit impairments written-down to fair value2
0

 
0

 
0

Balance at September 30, 2013
$
24.5

 
$
.4

 
$
24.9

 
Nine Months Ended September 30, 2013
 
Mortgage-Backed
 
 
(millions)
Residential

 
Commercial

 
Total

Balance at December 31, 2012
$
27.1

 
$
.6

 
$
27.7

Credit losses for which an OTTI was previously recognized
0

 
0

 
0

Credit losses for which an OTTI was not previously recognized
0

 
0

 
0

Reductions for securities sold/matured
0

 
0

 
0

Change in recoveries of future cash flows expected to be collected1
(2.4
)
 
(.2
)
 
(2.6
)
Reductions for previously recognized credit impairments written-down to fair value2
(.2
)
 
0

 
(.2
)
Balance at September 30, 2013
$
24.5

 
$
.4

 
$
24.9


 
Three Months Ended September 30, 2012
 
Mortgage-Backed
 
 
(millions)
Residential 

 
Commercial 

 
Total

Balance at June 30, 2012
$
28.1

 
$
.7

 
$
28.8

Credit losses for which an OTTI was previously recognized
0

 
0

 
0

Credit losses for which an OTTI was not previously recognized
0

 
0

 
0

Reductions for securities sold/matured
0

 
0

 
0

Change in recoveries of future cash flows expected to be collected1
(.4
)
 
(.1
)
 
(.5
)
Reductions for previously recognized credit impairments written-down to fair value2
0

 
0

 
0

Balance at September 30, 2012
$
27.7

 
$
.6

 
$
28.3

 
Nine Months Ended September 30, 2012
 
Mortgage-Backed
 
 
(millions)
Residential

 
Commercial

 
Total

Balance at December 31, 2011
$
34.5

 
$
1.3

 
$
35.8

Credit losses for which an OTTI was previously recognized
.1

 
0

 
.1

Credit losses for which an OTTI was not previously recognized
.2

 
0

 
.2

Reductions for securities sold/matured
0

 
(.2
)
 
(.2
)
Change in recoveries of future cash flows expected to be collected1
(3.1
)
 
(.2
)
 
(3.3
)
Reductions for previously recognized credit impairments written-down to fair value2
(4.0
)
 
(.3
)
 
(4.3
)
Balance at September 30, 2012
$
27.7

 
$
.6

 
$
28.3


1Reflects expected recovery of prior period impairments that will be accreted into income over the remaining life of the security, net of any current quarter decreases in expected cash flows on previously recorded reductions.
2Reflects reductions of prior credit impairments where the current credit impairment requires writing securities down to fair value (i.e., no remaining non-credit loss).
Components of Net Realized Gains (Losses)
The components of net realized gains (losses) for the three and nine months ended September 30, were:
 
Three Months
 
Nine months
(millions)
2013

 
2012

 
2013

 
2012

Gross realized gains on security sales
 
 
 
 
 
 
 
Fixed maturities:
 
 
 
 
 
 
 
U.S. government obligations
$
3.1

 
$
.2

 
$
6.8

 
$
9.8

State and local government obligations
0

 
0

 
6.8

 
12.1

Corporate and other debt securities
1.7

 
23.0

 
38.4

 
49.1

Residential mortgage-backed securities
.3

 
.6

 
2.4

 
.6

Commercial mortgage-backed securities
.1

 
9.5

 
8.4

 
14.0

Other asset-backed securities
0

 
.9

 
0

 
.9

Redeemable preferred stocks
0

 
.1

 
0

 
.5

Total fixed maturities
5.2

 
34.3

 
62.8

 
87.0

Equity securities:
 
 
 
 
 
 
 
Nonredeemable preferred stocks
11.9

 
20.6

 
113.1

 
57.5

Common equities
11.1

 
153.4

 
26.1

 
163.2

Subtotal gross realized gains on security sales
28.2

 
208.3

 
202.0

 
307.7

Gross realized losses on security sales
 
 
 
 
 
 
 
Fixed maturities:
 
 
 
 
 
 
 
U.S. government obligations
(.8
)
 
(.5
)
 
(2.2
)
 
(1.4
)
Corporate and other debt securities
(2.1
)
 
(.6
)
 
(3.1
)
 
(.6
)
Commercial mortgage-backed securities
0

 
0

 
(.7
)
 
0

Redeemable preferred stocks
0

 
(.3
)
 
(.1
)
 
(.3
)
Total fixed maturities
(2.9
)
 
(1.4
)
 
(6.1
)
 
(2.3
)
Equity securities:
 
 
 
 
 
 
 
Nonredeemable preferred stocks
0

 
(1.1
)
 
0

 
(1.1
)
Common equities
(.1
)
 
(22.5
)
 
(.4
)
 
(27.0
)
Subtotal gross realized losses on security sales
(3.0
)
 
(25.0
)
 
(6.5
)
 
(30.4
)
Net realized gains (losses) on security sales
 
 
 
 
 
 
 
Fixed maturities:
 
 
 
 
 
 
 
U.S. government obligations
2.3

 
(.3
)
 
4.6

 
8.4

State and local government obligations
0

 
0

 
6.8

 
12.1

Corporate and other debt securities
(.4
)
 
22.4

 
35.3

 
48.5

Residential mortgage-backed securities
.3

 
.6

 
2.4

 
.6

Commercial mortgage-backed securities
.1

 
9.5

 
7.7

 
14.0

Other asset-backed securities
0

 
.9

 
0

 
.9

Redeemable preferred stocks
0

 
(.2
)
 
(.1
)
 
.2

Total fixed maturities
2.3

 
32.9

 
56.7

 
84.7

Equity securities:
 
 
 
 
 
 
 
Nonredeemable preferred stocks
11.9

 
19.5

 
113.1

 
56.4

Common equities
11.0

 
130.9

 
25.7

 
136.2

Subtotal net realized gains (losses) on security sales
25.2

 
183.3

 
195.5

 
277.3

Other-than-temporary impairment losses
 
 
 
 
 
 
 
Fixed maturities:
 
 
 
 
 
 
 
Residential mortgage-backed securities
(.1
)
 
(.4
)
 
(.5
)
 
(1.4
)
Commercial mortgage-backed securities
0

 
0

 
0

 
(.1
)
Total fixed maturities
(.1
)
 
(.4
)
 
(.5
)
 
(1.5
)
Equity securities:
 
 
 
 
 
 
 
Common equities
(1.8
)
 
0

 
(3.2
)
 
(.7
)
Subtotal other-than-temporary impairment losses
(1.9
)
 
(.4
)
 
(3.7
)
 
(2.2
)
Other gains (losses)
 
 
 
 
 
 
 
Hybrid securities
3.5

 
5.2

 
2.3

 
12.1

Derivative instruments
(1.2
)
 
(16.3
)
 
45.0

 
(42.8
)
Litigation settlements
2.3

 
.1

 
2.3

 
.3

Subtotal other gains (losses)
4.6

 
(11.0
)
 
49.6

 
(30.4
)
Total net realized gains (losses) on securities
$
27.9

 
$
171.9

 
$
241.4

 
$
244.7
Derivative Instruments
The following table shows the status of our derivative instruments at September 30, 2013 and 2012, and December 31, 2012, and for the three and nine months ended September 30, 2013 and 2012; amounts are on a pretax basis:
 
(millions)
 
 
 
 
Balance Sheet2
 
Comprehensive Income Statement
 
 
 
 
 
 
 
Assets (Liabilities)
Fair Value
 
Net Realized
Gains (Losses) on Securities
 
Notional Value1
 
 
 
 
 
 
 
Three months ended
 
Nine months ended
 
September 30,
 
Dec. 31,
 
 
 
 
 
September 30,
 
Dec. 31,
 
September 30,
 
September 30,
Derivatives designated as:
2013

 
2012

 
2012

 
Purpose
 
Classification
 
2013

 
2012

 
2012

 
2013

 
2012

 
2013

 
2012

Hedging instruments
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Closed:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Ineffective cash flow hedge
$
54

 
$
31

 
$
31

 
Manage interest 
rate risk
 
NA
 
$
0

 
$
0

 
$
0

 
$
.8

 
$
0

 
$
.8

 
$
.6

Non-hedging instruments
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Interest rate swaps
750

 
0

 
0

 
Manage portfolio
duration
 
Investments—
fixed maturities
 
53.5

 
0

 
0

 
(2.0
)
 
0

 
48.2

 
0

Corporate credit default swaps
0

 
25

 
0

 
Manage credit risk
 
Investments—
fixed maturities
 
0

 
.3

 
0

 
0

 
(.4
)
 
0

 
(.7
)
Liabilities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Interest rate swaps
0

 
1,263

 
1,263

 
Manage portfolio
duration
 
Other liabilities
 
0

 
(101.6
)
 
(95.5
)
 
0

 
(15.9
)
 
0

 
(42.7
)
Closed:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Interest rate swaps
1,263

 
0

 
0

 
Manage portfolio
duration
 
NA
 
0

 
0

 
0

 
0

 
0

 
(4.0
)
 
0

Corporate credit default swaps
0

 
0

 
25

 
Manage credit risk
 
NA
 
0

 
0

 
0

 
0

 
0

 
0

 
0

Total
NA

 
NA

 
NA

 
 
 
 
 
$
53.5

 
$
(101.3
)
 
$
(95.5
)
 
$
(1.2
)
 
$
(16.3
)
 
$
45.0

 
$
(42.8
)
NA= Not Applicable
1The amounts represent the value held at quarter and year end for open positions and the maximum amount held during the period for closed positions.
2To the extent we hold both derivative assets and liabilities with the same counterparty that are subject to an enforceable master netting arrangement, we expect that we will report them on a gross basis on our balance sheets, consistent with our historical presentation.