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Investments (Tables)
 6 Months Ended
Jun. 30, 2014
Investments Schedule [Abstract]  
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

June 30, 2014
 
 
 
 
 
 
 
 
 
 
 
Fixed maturities:
 
 
 
 
 
 
 
 
 
 
 
U.S. government obligations
$
3,249.0

 
$
43.5

 
$
(3.1
)
 
$
0

 
$
3,289.4

 
17.5
%
State and local government obligations
2,287.2

 
46.5

 
(2.6
)
 
.1

 
2,331.2

 
12.4

Foreign government obligations
0

 
0

 
0

 
0

 
0

 
0

Corporate debt securities
2,215.4

 
47.9

 
(2.8
)
 
2.3

 
2,262.8

 
12.1

Residential mortgage-backed securities
1,312.0

 
32.7

 
(9.3
)
 
0

 
1,335.4

 
7.1

Commercial mortgage-backed securities
1,974.4

 
47.8

 
(2.9
)
 
0

 
2,019.3

 
10.8

Other asset-backed securities
965.4

 
7.1

 
(.1
)
 
.6

 
973.0

 
5.2

Redeemable preferred stocks
262.0

 
31.5

 
(6.0
)
 
0

 
287.5

 
1.5

Total fixed maturities
12,265.4

 
257.0

 
(26.8
)
 
3.0

 
12,498.6

 
66.6

Equity securities:
 
 
 
 
 
 
 
 
 
 
 
Nonredeemable preferred stocks
497.1

 
247.5

 
(1.4
)
 
17.0

 
760.2

 
4.1

Common equities
1,265.2

 
1,118.9

 
(2.4
)
 
0

 
2,381.7

 
12.7

Short-term investments:
 
 
 
 
 
 
 
 
 
 
 
Other short-term investments
3,118.7

 
0

 
0

 
0

 
3,118.7

 
16.6

Total portfolio2,3
$
17,146.4

 
$
1,623.4

 
$
(30.6
)
 
$
20.0

 
$
18,759.2

 
100.0
%

($ in millions)
Cost

 
Gross
Unrealized Gains

 
Gross
Unrealized
Losses

 
Net
Realized
Gains
(Losses)1

 
Fair
Value

 
% of
Total
Fair
Value

June 30, 2013
 
 
 
 
 
 
 
 
 
 
 
Fixed maturities:
 
 
 
 
 
 
 
 
 
 
 
U.S. government obligations
$
3,362.8

 
$
63.0

 
$
(15.0
)
 
$
0

 
$
3,410.8

 
19.5
%
State and local government obligations
2,010.6

 
27.7

 
(18.4
)
 
0

 
2,019.9

 
11.6

Foreign government obligations
16.4

 
0

 
0

 
0

 
16.4

 
.1

Corporate debt securities
3,048.8

 
57.0

 
(33.0
)
 
(.8
)
 
3,072.0

 
17.6

Residential mortgage-backed securities
870.9

 
30.5

 
(14.7
)
 
0

 
886.7

 
5.1

Commercial mortgage-backed securities
2,213.9

 
48.9

 
(41.0
)
 
0

 
2,221.8

 
12.7

Other asset-backed securities
941.7

 
7.6

 
(2.2
)
 
.6

 
947.7

 
5.4

Redeemable preferred stocks
359.0

 
27.8

 
(12.7
)
 
0

 
374.1

 
2.1

Total fixed maturities
12,824.1

 
262.5

 
(137.0
)
 
(.2
)
 
12,949.4

 
74.1

Equity securities:
 
 
 
 
 
 
 
 
 
 
 
Nonredeemable preferred stocks
416.8

 
332.1

 
(1.5
)
 
7.0

 
754.4

 
4.3

Common equities
1,438.2

 
794.5

 
(8.2
)
 
0

 
2,224.5

 
12.7

Short-term investments:
 
 
 
 
 
 
 
 
 
 
 
Other short-term investments
1,558.1

 
0

 
0

 
0

 
1,558.1

 
8.9

Total portfolio2,3
$
16,237.2

 
$
1,389.1

 
$
(146.7
)
 
$
6.8

 
$
17,486.4

 
100.0
%
 
($ in millions)
Cost

 
Gross
Unrealized Gains

 
Gross
Unrealized
Losses

 
Net
Realized
Gains
(Losses)1

 
Fair
Value

 
% of
Total
Fair
Value

December 31, 2013
 
 
 
 
 
 
 
 
 
 
 
Fixed maturities:
 
 
 
 
 
 
 
 
 
 
 
U.S. government obligations
$
3,630.4

 
$
48.4

 
$
(16.6
)
 
$
0

 
$
3,662.2

 
20.3
%
State and local government obligations
2,247.3

 
27.1

 
(18.4
)
 
0

 
2,256.0

 
12.5

Foreign government obligations
15.6

 
0

 
0

 
0

 
15.6

 
.1

Corporate debt securities
2,885.0

 
60.4

 
(20.4
)
 
1.6

 
2,926.6

 
16.2

Residential mortgage-backed securities
1,110.1

 
31.9

 
(14.1
)
 
0

 
1,127.9

 
6.2

Commercial mortgage-backed securities
2,154.4

 
43.9

 
(37.8
)
 
0

 
2,160.5

 
12.0

Other asset-backed securities
1,073.0

 
6.6

 
(2.1
)
 
.2

 
1,077.7

 
6.0

Redeemable preferred stocks
299.5

 
24.1

 
(9.7
)
 
0

 
313.9

 
1.7

Total fixed maturities
13,415.3

 
242.4

 
(119.1
)
 
1.8

 
13,540.4

 
75.0

Equity securities:
 
 
 
 
 
 
 
 
 
 
 
Nonredeemable preferred stocks
445.7

 
258.7

 
(4.5
)
 
11.3

 
711.2

 
3.9

Common equities
1,451.1

 
1,081.8

 
(2.4
)
 
0

 
2,530.5

 
14.0

Short-term investments:
 
 
 
 
 
 
 
 
 
 
 
Other short-term investments
1,272.6

 
0

 
0

 
0

 
1,272.6

 
7.1

Total portfolio2,3
$
16,584.7

 
$
1,582.9

 
$
(126.0
)
 
$
13.1

 
$
18,054.7

 
100.0
%
 
1Represents net holding period gains (losses) on certain hybrid securities (discussed below).
2Our portfolio reflects the effect of unsettled security transactions and collateral on open derivative positions; at June 30, 2014, $235.8 million was included in "other liabilities," compared to $117.0 million and $61.3 million at June 30, 2013 and December 31, 2013, respectively.
3The total fair value of the portfolio at June 30, 2014 and 2013, and December 31, 2013 included $1.1 billion, $1.2 billion, and $1.8 billion, respectively, of securities held in a consolidated, non-insurance subsidiary of the holding company, net of any unsettled security transactions.
Hybrid Securities
Included in our fixed-maturity and equity securities are hybrid securities, which are reported at fair value:
 
 
June 30,
 
December 31,
2013

(millions)
2014

 
2013

 
Fixed maturities:
 
 
 
 
 
State and local government obligations
$
5.1

 
$
0

 
$
0

Corporate debt securities
142.0

 
188.6

 
164.2

Residential mortgage-backed securities
27.6

 
0

 
0

Other asset-backed securities
14.3

 
16.0

 
14.8

Total fixed maturities
189.0

 
204.6

 
179.0

Equity securities:
 
 
 
 
 
Nonredeemable preferred stocks
66.1

 
56.0

 
60.3

Total hybrid securities
$
255.1

 
$
260.6

 
$
239.3
Composition of Fixed Maturities by Maturity
The composition of fixed maturities by maturity at June 30, 2014, was:
 
(millions)
Cost

 
Fair Value

Less than one year
$
1,882.0

 
$
1,920.2

One to five years
7,400.9

 
7,530.5

Five to ten years
2,862.0

 
2,919.2

Ten years or greater
85.4

 
93.6

Total1
$
12,230.3

 
$
12,463.5

 
1Excludes $35.1 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:
 
 
Total No. of Sec.

Total
Fair
Value

Gross Unrealized Losses

Less than 12 Months
 
12 Months or Greater
($ in millions)
No. of Sec.

Fair
Value

Unrealized Losses

 
No. of Sec.

Fair
Value

Unrealized Losses

June 30, 2014
 
 
 
 
 
 
 
 
 
 
Fixed maturities:
 
 
 
 
 
 
 
 
 
 
U.S. government obligations
12

$
460.0

$
(3.1
)
1

$
14.9

$
(.1
)
 
11

$
445.1

$
(3.0
)
State and local government obligations
55

333.9

(2.6
)
22

52.2

(.1
)
 
33

281.7

(2.5
)
Corporate debt securities
15

265.1

(2.8
)
6

112.2

(.5
)
 
9

152.9

(2.3
)
Residential mortgage-backed securities
56

684.2

(9.3
)
17

263.2

(1.7
)
 
39

421.0

(7.6
)
Commercial mortgage-backed securities
23

256.7

(2.9
)
7

37.1

(.2
)
 
16

219.6

(2.7
)
Other asset-backed securities
3

47.4

(.1
)
2

28.3

0

 
1

19.1

(.1
)
Redeemable preferred stocks
3

93.6

(6.0
)
0

0

0

 
3

93.6

(6.0
)
Total fixed maturities
167

2,140.9

(26.8
)
55

507.9

(2.6
)
 
112

1,633.0

(24.2
)
Equity securities:
 
 
 
 
 
 
 
 
 
 
Nonredeemable preferred stocks
4

121.4

(1.4
)
1

33.7

(.2
)
 
3

87.7

(1.2
)
Common equities
14

50.4

(2.4
)
14

50.4

(2.4
)
 
0

0

0

Total equity securities
18

171.8

(3.8
)
15

84.1

(2.6
)
 
3

87.7

(1.2
)
Total portfolio
185

$
2,312.7

$
(30.6
)
70

$
592.0

$
(5.2
)
 
115

$
1,720.7

$
(25.4
)
 
 
Total No. of Sec.

Total
Fair
Value

Gross Unrealized Losses

Less than 12 Months
 
12 Months or Greater
($ in millions)
No. of Sec.

Fair
Value

Unrealized Losses

 
No. of Sec.

Fair
Value

Unrealized Losses

June 30, 2013
 
 
 
 
 
 
 
 
 
 
Fixed maturities:
 
 
 
 
 
 
 
 
 
 
U.S. government obligations
19

$
1,035.9

$
(15.0
)
19

$
1,035.9

$
(15.0
)
 
0

$
0

$
0

State and local government obligations
139

829.2

(18.4
)
132

803.1

(18.2
)
 
7

26.1

(.2
)
Corporate debt securities
73

1,254.2

(33.0
)
73

1,254.2

(33.0
)
 
0

0

0

Residential mortgage-backed securities
60

627.4

(14.7
)
44

550.0

(10.8
)
 
16

77.4

(3.9
)
Commercial mortgage-backed securities
69

1,001.0

(41.0
)
66

1,001.0

(41.0
)
 
3

0

0

Other asset-backed securities
18

260.8

(2.2
)
18

260.8

(2.2
)
 
0

0

0

Redeemable preferred stocks
5

151.3

(12.7
)
1

31.4

(.2
)
 
4

119.9

(12.5
)
Total fixed maturities
383

5,159.8

(137.0
)
353

4,936.4

(120.4
)
 
30

223.4

(16.6
)
Equity securities:
 
 
 
 
 
 
 
 
 
 
Nonredeemable preferred stocks
4

89.8

(1.5
)
4

89.8

(1.5
)
 
0

0

0

Common equities
50

74.8

(8.2
)
40

66.7

(5.9
)
 
10

8.1

(2.3
)
Total equity securities
54

164.6

(9.7
)
44

156.5

(7.4
)
 
10

8.1

(2.3
)
Total portfolio
437

$
5,324.4

$
(146.7
)
397

$
5,092.9

$
(127.8
)
 
40

$
231.5

$
(18.9
)
 
Total No. of Sec.

Total
Fair
Value

Gross Unrealized Losses

Less than 12 Months
 
12 Months or Greater
($ in millions)
No. of Sec.

Fair
Value

Unrealized Losses

 
No. of Sec.

Fair
Value

Unrealized Losses

December 31, 2013
 
 
 
 
 
 
 
 
 
 
Fixed maturities:
 
 
 
 
 
 
 
 
 
 
U.S. government obligations
29

$
1,444.3

$
(16.6
)
28

$
1,434.6

$
(16.3
)
 
1

$
9.7

$
(.3
)
State and local government obligations
141

844.2

(18.4
)
119

759.3

(17.1
)
 
22

84.9

(1.3
)
Corporate debt securities
51

997.6

(20.4
)
45

831.1

(17.8
)
 
6

166.5

(2.6
)
Residential mortgage-backed securities
66

763.5

(14.1
)
45

597.6

(7.9
)
 
21

165.9

(6.2
)
Commercial mortgage-backed securities
76

1,061.9

(37.8
)
60

809.2

(19.7
)
 
16

252.7

(18.1
)
Other asset-backed securities
25

287.2

(2.1
)
22

233.3

(1.8
)
 
3

53.9

(.3
)
Redeemable preferred stocks
4

122.7

(9.7
)
0

0

0

 
4

122.7

(9.7
)
Total fixed maturities
392

5,521.4

(119.1
)
319

4,665.1

(80.6
)
 
73

856.3

(38.5
)
Equity securities:
 
 
 
 
 
 
 
 
 
 
Nonredeemable preferred stocks
7

142.3

(4.5
)
7

142.3

(4.5
)
 
0

0

0

Common equities
24

59.7

(2.4
)
20

58.5

(2.4
)
 
4

1.2

0

Total equity securities
31

202.0

(6.9
)
27

200.8

(6.9
)
 
4

1.2

0

Total portfolio
423

$
5,723.4

$
(126.0
)
346

$
4,865.9

$
(87.5
)
 
77

$
857.5

$
(38.5
)
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:
 
 
June 30,
 
December 31,
2013

(millions)
2014

 
2013

 
Fixed maturities:
 
 
 
 
 
Residential mortgage-backed securities
$
(44.1
)
 
$
(44.1
)
 
$
(44.1
)
Commercial mortgage-backed securities
(.6
)
 
(.9
)
 
(.9
)
Total fixed maturities
$
(44.7
)
 
$
(45.0
)
 
$
(45.0
)
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 June 30, 2014 and 2013, for which a portion 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 June 30, 2014
 
Mortgage-Backed
 
 
(millions)
Residential 

 
Commercial 

 
Total

Balance at March 31, 2014
$
19.1

 
$
.4

 
$
19.5

Change in recoveries of future cash flows expected to be collected1
(6.1
)
 
0

 
(6.1
)
Reductions for previously recognized credit impairments written-down to fair value2
0

 
0

 
0

Balance at June 30, 2014
$
13.0

 
$
.4

 
$
13.4

 
 
 
 
 
 
 
Six Months Ended June 30, 2014
 
Mortgage-Backed
 
 
(millions)
Residential 

 
Commercial 

 
Total

Balance at December 31, 2013
$
19.2

 
$
.4

 
$
19.6

Change in recoveries of future cash flows expected to be collected1
(6.2
)
 
0

 
(6.2
)
Reductions for previously recognized credit impairments written-down to fair value2
0

 
0

 
0

Balance at June 30, 2014
$
13.0

 
$
.4

 
$
13.4


 
Three Months Ended June 30, 2013
 
Mortgage-Backed
 
 
(millions)
Residential 

 
Commercial 

 
Total

Balance at March 31, 2013
$
27.7

 
$
.5

 
$
28.2

Change in recoveries of future cash flows expected to be collected1
(.6
)
 
0

 
(.6
)
Reductions for previously recognized credit impairments written-down to fair value2
(.2
)
 
0

 
(.2
)
Balance at June 30, 2013
$
26.9

 
$
.5

 
$
27.4

 
 
 
 
 
 
 
Six Months Ended June 30, 2013
 
Mortgage-Backed
 
 
(millions)
Residential 

 
Commercial 

 
Total

Balance at December 31, 2012
$
27.1

 
$
.6

 
$
27.7

Change in recoveries of future cash flows expected to be collected1
0

 
(.1
)
 
(.1
)
Reductions for previously recognized credit impairments written-down to fair value2
(.2
)
 
0

 
(.2
)
Balance at June 30, 2013
$
26.9

 
$
.5

 
$
27.4


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 six months ended June 30, were:
 
Three Months
 
Six Months
(millions)
2014

 
2013

 
2014

 
2013

Gross realized gains on security sales
 
 
 
 
 
 
 
Fixed maturities:
 
 
 
 
 
 
 
U.S. government obligations
$
4.2

 
$
2.2

 
$
10.7

 
$
3.7

State and local government obligations
0

 
0

 
4.4

 
6.8

Corporate and other debt securities
9.8

 
12.6

 
32.9

 
36.7

Residential mortgage-backed securities
1.0

 
1.7

 
2.0

 
2.1

Commercial mortgage-backed securities
3.5

 
4.3

 
9.6

 
8.3

Redeemable preferred stocks
.4

 
0

 
.4

 
0

Total fixed maturities
18.9

 
20.8

 
60.0

 
57.6

Equity securities:
 
 
 
 
 
 
 
Nonredeemable preferred stocks
33.2

 
62.7

 
59.1

 
101.2

Common equities
9.4

 
12.3

 
92.4

 
15.0

Subtotal gross realized gains on security sales
61.5

 
95.8

 
211.5

 
173.8

Gross realized losses on security sales
 
 
 
 
 
 
 
Fixed maturities:
 
 
 
 
 
 
 
U.S. government obligations
(.4
)
 
(1.1
)
 
(5.1
)
 
(1.4
)
State and local government obligations
(.1
)
 
0

 
(.2
)
 
0

Corporate and other debt securities
(.1
)
 
(.6
)
 
(2.3
)
 
(1.0
)
Residential mortgage-backed securities
(.2
)
 
0

 
(.2
)
 
0

Commercial mortgage-backed securities
(4.1
)
 
(.7
)
 
(6.8
)
 
(.7
)
Redeemable preferred stocks
0

 
0

 
(3.2
)
 
(.1
)
Total fixed maturities
(4.9
)
 
(2.4
)
 
(17.8
)
 
(3.2
)
Equity securities:
 
 
 
 
 
 
 
Common equities
0

 
(.3
)
 
(3.4
)
 
(.3
)
Subtotal gross realized losses on security sales
(4.9
)
 
(2.7
)
 
(21.2
)
 
(3.5
)
Net realized gains (losses) on security sales
 
 
 
 
 
 
 
Fixed maturities:
 
 
 
 
 
 
 
U.S. government obligations
3.8

 
1.1

 
5.6

 
2.3

State and local government obligations
(.1
)
 
0

 
4.2

 
6.8

Corporate and other debt securities
9.7

 
12.0

 
30.6

 
35.7

Residential mortgage-backed securities
.8

 
1.7

 
1.8

 
2.1

Commercial mortgage-backed securities
(.6
)
 
3.6

 
2.8

 
7.6

Redeemable preferred stocks
.4

 
0

 
(2.8
)
 
(.1
)
Total fixed maturities
14.0

 
18.4

 
42.2

 
54.4

Equity securities:
 
 
 
 
 
 
 
Nonredeemable preferred stocks
33.2

 
62.7

 
59.1

 
101.2

Common equities
9.4

 
12.0

 
89.0

 
14.7

Subtotal net realized gains (losses) on security sales
56.6

 
93.1

 
190.3

 
170.3

Other-than-temporary impairment losses
 
 
 
 
 
 
 
Fixed maturities:
 
 
 
 
 
 
 
Residential mortgage-backed securities
0

 
(.3
)
 
0

 
(.4
)
Total fixed maturities
0

 
(.3
)
 
0

 
(.4
)
Equity securities:
 
 
 
 
 
 
 
Common equities
0

 
(1.3
)
 
0

 
(1.4
)
Subtotal other-than-temporary impairment losses
0

 
(1.6
)
 
0

 
(1.8
)
Other gains (losses)
 
 
 
 
 
 
 
Hybrid securities
3.7

 
(3.5
)
 
7.5

 
(1.2
)
Derivative instruments
(19.9
)
 
44.9

 
(39.2
)
 
46.2

Litigation settlements
0

 
0

 
1.2

 
0

Subtotal other gains (losses)
(16.2
)
 
41.4

 
(30.5
)
 
45.0

Total net realized gains (losses) on securities
$
40.4

 
$
132.9

 
$
159.8

 
$
213.5
Components of Net Investment Income
The components of net investment income for the three and six months ended June 30, were:
 
 
Three Months
 
Six Months
(millions)
2014

2013

 
2014

2013

Fixed maturities:
 
 
 
 
 
U.S. government obligations
$
12.0

$
12.1

 
$
25.0

$
23.9

State and local government obligations
12.6

11.1

 
25.4

22.5

Foreign government obligations
.1

0

 
.2

0

Corporate debt securities
18.8

24.2

 
40.8

49.8

Residential mortgage-backed securities
11.3

5.7

 
21.2

10.2

Commercial mortgage-backed securities
16.0

18.1

 
32.7

36.8

Other asset-backed securities
3.7

4.2

 
7.9

7.7

Redeemable preferred stocks
3.9

5.4

 
8.0

10.8

Total fixed maturities
78.4

80.8

 
161.2

161.7

Equity securities:
 
 
 
 
 
Nonredeemable preferred stocks
9.3

8.9

 
19.2

18.1

Common equities
11.2

11.8

 
21.6

21.5

Short-term investments:
 
 
 
 
 
Other short-term investments
.3

.7

 
.5

1.4

Investment income
99.2

102.2

 
202.5

202.7

Investment expenses
(6.0
)
(4.4
)
 
(10.1
)
(9.3
)
Net investment income
$
93.2

$
97.8

 
$
192.4

$
193.4
Derivative Instruments
The following table shows the status of our derivative instruments at June 30, 2014 and 2013, and December 31, 2013, and for the three and six months ended June 30, 2014 and 2013; 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
 
Six Months Ended
 
June 30,
 
Dec. 31,
 
 
 
 
 
June 30,
 
Dec. 31,
 
June 30,
 
June 30,
Derivatives designated as:
2014

 
2013

 
2013

 
Purpose
 
Classification
 
2014

 
2013

 
2013

 
2014

 
2013

 
2014

 
2013

Hedging instruments
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Closed:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Ineffective cash flow hedge
$
0

 
$
0

 
$
54

 
Manage interest 
rate risk
 
NA
 
$
0

 
$
0

 
$
0

 
$
0

 
$
0

 
$
0

 
$
0

Non-hedging instruments
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Interest rate swaps
750

 
750

 
750

 
Manage portfolio
duration
 
Investments—
fixed maturities
 
35.1

 
52.4

 
68.1

 
(19.9
)
 
50.2

 
(39.2
)
 
50.2

Closed:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Interest rate swaps
0

 
1,263

 
1,263

 
Manage portfolio
duration
 
NA
 
0

 
0

 
0

 
0

 
(5.3
)
 
0

 
(4.0
)
Total
NA

 
NA

 
NA

 
 
 
 
 
$
35.1

 
$
52.4

 
$
68.1

 
$
(19.9
)
 
$
44.9

 
$
(39.2
)
 
$
46.2


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 report them on a gross basis on our balance sheets, consistent with our historical presentation.
NA= Not Applicable