Investments — Our securities are reported at fair value, with the changes in fair value of these securities (other than hybrid securities and derivative instruments) reported as a component of accumulated other comprehensive income, net of deferred income taxes. The changes in fair value of the hybrid securities and derivative instruments are recorded as a component of net realized gains (losses) on securities.

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, 2015
Fixed maturities:
U.S. government obligations	$	2,049.3	$	14.0	$	(0.1	)	$	0		$	2,063.2	10.0	%
State and local government obligations	3,177.2		32.2		(17.1		)	0			3,192.3		15.5
Foreign government obligations	18.6		0		0			0			18.6		0.1
Corporate debt securities	3,433.9		23.3		(22.6		)	0.2			3,434.8		16.7
Residential mortgage-backed securities	1,879.5		31.1		(17.6		)	(0.5		)	1,892.5		9.2
Agency residential pass-through obligations	116.0		0.1		(1.8		)	0			114.3		0.6
Commercial mortgage-backed securities	2,548.4		26.0		(14.2		)	(0.1		)	2,560.1		12.4
Other asset-backed securities	2,037.9		3.6		(0.7		)	0.7			2,041.5		9.9
Redeemable preferred stocks	259.8		21.7		(9.8		)	0			271.7		1.3
Total fixed maturities	15,520.6		152.0		(83.9		)	0.3			15,589.0		75.7
Equity securities:
Nonredeemable preferred stocks	632.4		150.0		(11.3		)	1.2			772.3		3.8
Common equities	1,351.7		1,204.7		(9.6		)	0			2,546.8		12.4
Short-term investments	1,669.3		0		0			0			1,669.3		8.1
Total portfolio^2,3	$	19,174.0	$	1,506.7	$	(104.8	)	$	1.5		$	20,577.4	100.0	%



($ 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		)	0.1		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
Agency residential pass-through obligations	0		0		0			0		0		0
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		(0.1		)	0.6		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	3,118.7		0		0			0		3,118.7		16.6
Total portfolio^2,3	$	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
December 31, 2014
Fixed maturities:
U.S. government obligations	$	2,641.1	$	27.3	$	(1.3	)	$	0		$	2,667.1	14.0	%
State and local government obligations	2,095.7		44.6		(1.1		)	0			2,139.2		11.2
Foreign government obligations	14.2		0		0			0			14.2		0.1
Corporate debt securities	2,813.9		32.9		(10.4		)	0.3			2,836.7		14.9
Residential mortgage-backed securities	1,635.5		34.5		(10.8		)	(0.7		)	1,658.5		8.7
Agency residential pass-through obligations	0		0		0			0			0		0
Commercial mortgage-backed securities	2,278.7		39.3		(2.6		)	0.2			2,315.6		12.2
Other asset-backed securities	1,634.9		3.8		(0.8		)	0.8			1,638.7		8.6
Redeemable preferred stocks	260.2		24.7		(5.7		)	0			279.2		1.5
Total fixed maturities	13,374.2		207.1		(32.7		)	0.6			13,549.2		71.2
Equity securities:
Nonredeemable preferred stocks	590.4		201.1		(6.4		)	42.4			827.5		4.4
Common equities	1,289.2		1,213.2		(10.1		)	0			2,492.3		13.1
Short-term investments	2,149.0		0		0			0			2,149.0		11.3
Total portfolio^2,3	$	17,402.8	$	1,621.4	$	(49.2	)	$	43.0		$	19,018.0	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, 2015, $159.7 million was included in "other liabilities," compared to $235.8 million and $31.3 million at June 30, 2014 and December 31, 2014, respectively.

³The total fair value of the portfolio at June 30, 2015 and 2014, and December 31, 2014 included $0.7 billion, $1.1 billion, and $1.9 billion, respectively, of securities held in a consolidated, non-insurance subsidiary of the holding company, net of any unsettled security transactions.

Short-Term Investments Our short-term investments may include commercial paper and other investments that are expected to mature within one year. We did not hold any repurchase transactions where we lent collateral at June 30, 2015, June 30, 2014, or December 31, 2014. To the extent our repurchase transactions were with the same counterparty and subject to an enforceable master netting arrangement, we could elect to offset these transactions. Consistent with past practice, we have elected not to offset these transactions and therefore report these transactions on a gross basis on our balance sheets.

Also included in short-term investments are reverse repurchase commitment transactions, where we loan cash to approved counterparties and receive U.S. Treasury Notes pledged as collateral against the cash borrowed. Our exposure to credit risk is limited due to the nature of the collateral (i.e., U.S. Treasury Notes) received. We have counterparty exposure on these trades in the event of a counterparty default to the extent the general collateral security's value is below the amount of cash we delivered to acquire the collateral. The short-term duration of the transactions (primarily overnight) reduces that exposure.

We had no open reverse repurchase commitments at June 30, 2015, June 30, 2014, or December 31, 2014. For the six months ended June 30, 2015, our largest outstanding balance of reverse repurchase commitments was $275.0 million, which was open for one day; the average daily balance of reverse repurchase commitments was $135.8 million.

Hybrid Securities Included in our fixed-maturity and equity securities are hybrid securities, which are reported at fair value:



	June 30,				December 31, 2014
(millions)	2015		2014		December 31, 2014
Fixed maturities:
State and local government obligations	$	0	$	5.1	$	0
Corporate debt securities	105.6		142.0		139.8
Residential mortgage-backed securities	117.5		27.6		120.7
Commercial mortgage-backed securities	17.3		0		31.2
Other asset-backed securities	12.5		14.3		13.7
Total fixed maturities	252.9		189.0		305.4
Equity securities:
Nonredeemable preferred stocks	66.6		66.1		122.3
Total hybrid securities	$	319.5	$	255.1	$	427.7

Certain corporate debt securities are accounted for as hybrid securities since they were acquired at a premium and contain a change-in-control put option (derivative) that permits the investor, at its sole option if and when a change in control is triggered, to put the security back to the issuer at a 1% premium to par. Due to this change-in-control put option and the substantial market premium paid to acquire these securities, there is the potential that the election to put, upon the change in control, would result in an acceleration of the recognition of the remaining premium paid on these securities in our results of operations. This would result in a loss of $5.1 million as of June 30, 2015, if all of the bonds experienced a simultaneous change in control and we elected to exercise all of our put options. The put feature limits the potential loss in value that could be experienced in the event a corporate action occurs that results in a change in control that materially diminishes the credit quality of the issuer. We are under no obligation to exercise the put option we hold if a change in control occurs.

The residential mortgage-backed securities accounted for as hybrid securities are obligations of the issuer with payments of principal based on the performance of a reference pool of loans. This embedded derivative results in the securities incorporating the risk of default from both the issuer and the related loan pool.

The commercial mortgage-backed securities in the table above contain fixed interest rate reset features that will increase the coupons in the event the securities are not fully paid off on the anticipated repayment date. These reset features have the potential to more than double our initial purchase yield for each security.

The other asset-backed security in the table above represents one hybrid security that was acquired at a deep discount to par due to a failing auction, and contains a put option that allows the investor to put that security back to the auction at par if the auction is restored. This embedded derivative has the potential to more than double our initial investment yield at acquisition.

The hybrid securities in our nonredeemable preferred stock portfolio are perpetual preferred stocks that have call features with fixed-rate coupons, whereby the change in value of the call features is a component of the overall change in value of the preferred stocks. In the second quarter 2015, we acquired a controlling interest in ARX Holdings Corp. and transferred our previous 5% preferred stock investment in ARX to a component of our total ownership interest (see Note 15 – Acquisition for further discussion). This transfer was offset by purchases of new hybrid securities since June 30, 2014.

Fixed Maturities The composition of fixed maturities by maturity at June 30, 2015, was:



(millions)	Cost		Fair Value
Less than one year	$	4,470.5	$	4,504.4
One to five years	6,978.4		7,007.0
Five to ten years	3,858.9		3,858.6
Ten years or greater	194.2		200.4
Total¹	$	15,502.0	$	15,570.4

¹Excludes $18.6 million related to our open interest rate swap positions.

Asset-backed securities are classified in the maturity distribution table based upon their projected cash flows. All other securities which do not have a single maturity date are reported based upon expected average maturity. Contractual maturities may differ from expected maturities because the issuers of the securities may have the right to call or prepay obligations.

Gross Unrealized Losses As of June 30, 2015, we had $95.2 million of gross unrealized losses in our fixed-income securities (i.e., fixed-maturity securities, nonredeemable preferred stocks, and short-term investments) and $9.6 million in our common equities. We currently do not intend to sell the fixed-income securities and determined that it is more likely than not that we will not be required to sell these securities for the period of time necessary to recover their cost bases. A review of our fixed-income securities indicated that the issuers were current with respect to their interest obligations and that there was no evidence of any deterioration of the current cash flow projections that would indicate we would not receive the remaining principal at maturity. For common equities, 88% of our common stock portfolio was indexed to the Russell 1000; as such, this portfolio may contain securities in a loss position for an extended period of time, subject to possible write-downs, as described below. We may retain these securities as long as the portfolio and index correlation remain similar. To the extent there is issuer-specific deterioration, we may write-down the securities of that issuer. The remaining 12% of our common stocks were part of a managed equity strategy selected and administered by external investment advisors. If our review of loss position securities indicates there was a fundamental, or market, impairment on these securities that was determined to be other-than-temporary, we would recognize a write-down in accordance with our stated policy.

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)	Total No. of Sec.	Total Fair Value		Gross Unrealized Losses			No. of Sec.	Fair Value		Unrealized Losses			No. of Sec.	Fair Value		Unrealized Losses
June 30, 2015
Fixed maturities:
U.S. government obligations	11	$	7.6	$	(0.1	)	11	$	7.6	$	(0.1	)	0	$	0	$	0
State and local government obligations	736	1,319.3		(17.1		)	720	1,277.5		(16.5		)	16	41.8		(0.6		)
Corporate debt securities	160	1,693.6		(22.6		)	146	1,406.4		(18.5		)	14	287.2		(4.1		)
Residential mortgage-backed securities	140	1,189.2		(17.6		)	87	668.1		(5.9		)	53	521.1		(11.7		)
Agency residential pass-through obligations	53	104.6		(1.8		)	53	104.6		(1.8		)	0	0		0
Commercial mortgage-backed securities	155	1,426.9		(14.2		)	132	1,205.9		(13.5		)	23	221.0		(0.7		)
Other asset-backed securities	38	715.3		(0.7		)	30	566.2		(0.5		)	8	149.1		(0.2		)
Redeemable preferred stocks	5	123.7		(9.8		)	3	55.6		(3.1		)	2	68.1		(6.7		)
Total fixed maturities	1,298	6,580.2		(83.9		)	1,182	5,291.9		(59.9		)	116	1,288.3		(24.0		)
Equity securities:
Nonredeemable preferred stocks	14	345.9		(11.3		)	9	163.7		(1.8		)	5	182.2		(9.5		)
Common equities	73	129.4		(9.6		)	72	128.9		(9.5		)	1	0.5		(0.1		)
Total equity securities	87	475.3		(20.9		)	81	292.6		(11.3		)	6	182.7		(9.6		)
Total portfolio	1,385	$	7,055.5	$	(104.8	)	1,263	$	5,584.5	$	(71.2	)	122	$	1,471.0	$	(33.6	)



	Total No. of Sec.	Total Fair Value		Gross Unrealized Losses			Less than 12 Months						12 Months or Greater
($ in millions)	Total No. of Sec.	Total Fair Value		Gross Unrealized Losses			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	$	(0.1	)	11	$	445.1	$	(3.0	)
State and local government obligations	55	333.9		(2.6		)	22	52.2		(0.1		)	33	281.7		(2.5		)
Corporate debt securities	15	265.1		(2.8		)	6	112.2		(0.5		)	9	152.9		(2.3		)
Residential mortgage-backed securities	56	684.2		(9.3		)	17	263.2		(1.7		)	39	421.0		(7.6		)
Agency residential pass-through obligations	0	0		0			0	0		0			0	0		0
Commercial mortgage-backed securities	23	256.7		(2.9		)	7	37.1		(0.2		)	16	219.6		(2.7		)
Other asset-backed securities	3	47.4		(0.1		)	2	28.3		0			1	19.1		(0.1		)
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		(0.2		)	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)	Total No. of Sec.	Total Fair Value		Gross Unrealized Losses			No. of Sec.	Fair Value		Unrealized Losses			No. of Sec.	Fair Value		Unrealized Losses
December 31, 2014
Fixed maturities:
U.S. government obligations	11	$	428.2	$	(1.3	)	5	$	150.7	$	(0.3	)	6	$	277.5	$	(1.0	)
State and local government obligations	46	234.2		(1.1		)	28	177.9		(0.4		)	18	56.3		(0.7		)
Corporate debt securities	53	843.2		(10.4		)	43	647.5		(6.1		)	10	195.7		(4.3		)
Residential mortgage-backed securities	70	844.2		(10.8		)	33	465.2		(3.1		)	37	379.0		(7.7		)
Agency residential pass-through obligations	0	0		0			0	0		0			0	0		0
Commercial mortgage-backed securities	63	723.4		(2.6		)	54	667.5		(1.4		)	9	55.9		(1.2		)
Other asset-backed securities	44	741.8		(0.8		)	42	715.7		(0.7		)	2	26.1		(0.1		)
Redeemable preferred stocks	3	103.0		(5.7		)	1	33.0		(1.0		)	2	70.0		(4.7		)
Total fixed maturities	290	3,918.0		(32.7		)	206	2,857.5		(13.0		)	84	1,060.5		(19.7		)
Equity securities:
Nonredeemable preferred stocks	8	231.4		(6.4		)	5	143.2		(3.6		)	3	88.2		(2.8		)
Common equities	20	68.4		(10.1		)	19	61.8		(9.6		)	1	6.6		(0.5		)
Total equity securities	28	299.8		(16.5		)	24	205.0		(13.2		)	4	94.8		(3.3		)
Total portfolio	318	$	4,217.8	$	(49.2	)	230	$	3,062.5	$	(26.2	)	88	$	1,155.3	$	(23.0	)

Since both June 30, 2014 and December 31, 2014, the number of securities in our fixed-maturity portfolio with unrealized losses increased, reflecting a decline in prices associated with a general increase in interest rates at certain maturities. The unrealized losses at June 30, 2015 included losses on 806 securities added to the portfolio as a result of our acquisition of a controlling interest in ARX during the second quarter, and reflect declines in the prices of these securities since the acquisition date averaging approximately 1.3% of their total cost. We had no material decreases in valuation as a result of credit rating downgrades on our fixed-maturity securities. All of the fixed-maturity securities in an unrealized loss position at June 30, 2015 in the table above are current with respect to required principal and interest payments. Since December 31, 2014, our nonredeemable preferred stocks with unrealized losses increased to 14 securities, averaging approximately 3% of their total cost. We reviewed these securities and concluded that the unrealized losses are market-related adjustments to the values, which we determined not to be other-than-temporary; we expect to recover our initial investments on these securities. The number of issuers with unrealized losses in our common stock portfolio increased during the first six months of 2015, though the total gross unrealized loss for the portfolio decreased during the same period. A review of the securities in a loss position did not uncover fundamental issues with the issuers that would indicate other-than-temporary impairments existed. Additionally, expectations for recovery in the next 12 months would put the fair values at or above our current book values. Lastly, we determined, as of the balance sheet date, that it was not likely these securities would be sold prior to that recovery.

Other-Than-Temporary Impairment (OTTI) 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, 2014
(millions)	2015			2014			December 31, 2014
Fixed maturities:
Residential mortgage-backed securities	$	(44.1	)	$	(44.1	)	$	(44.1	)
Commercial mortgage-backed securities	(0.6		)	(0.6		)	(0.6		)
Total fixed maturities	$	(44.7	)	$	(44.7	)	$	(44.7	)

The following tables provide rollforwards of the amounts related to credit losses recognized in earnings for the periods ended June 30, 2015 and 2014, 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, 2015
	Mortgage-Backed
(millions)	Residential		Commercial		Total
Balance at March 31, 2015	$	12.2	$	0.4	$	12.6
Change in recoveries of future cash flows expected to be collected¹	1.8		0		1.8
Balance at June 30, 2015	$	14.0	$	0.4	$	14.4

	Six Months Ended June 30, 2015
	Mortgage-Backed
(millions)	Residential		Commercial		Total
Balance at December 31, 2014	$	12.7	$	0.4	$	13.1
Change in recoveries of future cash flows expected to be collected¹	1.3		0		1.3
Balance at June 30, 2015	$	14.0	$	0.4	$	14.4



	Three Months Ended June 30, 2014
	Mortgage-Backed
(millions)	Residential			Commercial		Total
Balance at March 31, 2014	$	19.1		$	0.4	$	19.5
Change in recoveries of future cash flows expected to be collected¹	(6.1		)	0		(6.1		)
Balance at June 30, 2014	$	13.0		$	0.4	$	13.4

	Six Months Ended June 30, 2014
	Mortgage-Backed
(millions)	Residential			Commercial		Total
Balance at December 31, 2013	$	19.2		$	0.4	$	19.6
Change in recoveries of future cash flows expected to be collected¹	(6.2		)	0		(6.2		)
Balance at June 30, 2014	$	13.0		$	0.4	$	13.4

¹Reflects the current period change in the expected recovery of prior impairments that will be accreted into income over the remaining life of the security.

Although we determined it is more likely than not that we will not be required to sell the securities prior to the recovery of their respective cost bases (which could be maturity), we are required to measure the amount of potential credit losses on the securities that were in an unrealized loss position. In that process, we considered a number of factors and inputs related to the individual securities. The methodology and significant inputs used to measure the amount of credit losses in our portfolio included: current performance indicators on the underlying assets (e.g., delinquency rates, foreclosure rates, and default rates); credit support (via current levels of subordination); historical credit ratings; and updated cash flow expectations based upon these performance indicators. In order to determine the amount of credit loss, if any, the net present value of the cash flows expected (i.e., expected recovery value) was calculated using the current book yield for each security, and was compared to its current amortized value. In the event that the net present value was below the amortized value, a credit loss was deemed to exist, and the security was written down. We did not have any credit impairment write-downs as of June 30, 2015 or 2014.

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)	2015			2014			2015			2014
Gross realized gains on security sales
Fixed maturities:
U.S. government obligations	$	9.5		$	4.2		$	14.4		$	10.7
State and local government obligations	0			0			0			4.4
Corporate and other debt securities	6.8			9.8			15.9			32.9
Residential mortgage-backed securities	0.1			1.0			0.2			2.0
Commercial mortgage-backed securities	3.6			3.5			14.4			9.6
Redeemable preferred stocks	0.1			0.4			0.1			0.4
Total fixed maturities	20.1			18.9			45.0			60.0
Equity securities:
Nonredeemable preferred stocks	34.4			33.2			50.2			59.1
Common equities	12.7			9.4			30.5			92.4
Subtotal gross realized gains on security sales	67.2			61.5			125.7			211.5
Gross realized losses on security sales
Fixed maturities:
U.S. government obligations	(0.1		)	(0.4		)	(0.9		)	(5.1		)
State and local government obligations	0			(0.1		)	0			(0.2		)
Corporate and other debt securities	(0.5		)	(0.1		)	(1.3		)	(2.3		)
Residential mortgage-backed securities	0			(0.2		)	0			(0.2		)
Commercial mortgage-backed securities	(0.8		)	(4.1		)	(1.0		)	(6.8		)
Redeemable preferred stocks	0			0			0			(3.2		)
Total fixed maturities	(1.4		)	(4.9		)	(3.2		)	(17.8		)
Equity securities:
Nonredeemable preferred stocks	(1.4		)	0			(1.4		)	0
Common equities	(0.1		)	0			(0.7		)	(3.4		)
Subtotal gross realized losses on security sales	(2.9		)	(4.9		)	(5.3		)	(21.2		)
Net realized gains (losses) on security sales
Fixed maturities:
U.S. government obligations	9.4			3.8			13.5			5.6
State and local government obligations	0			(0.1		)	0			4.2
Corporate and other debt securities	6.3			9.7			14.6			30.6
Residential mortgage-backed securities	0.1			0.8			0.2			1.8
Commercial mortgage-backed securities	2.8			(0.6		)	13.4			2.8
Redeemable preferred stocks	0.1			0.4			0.1			(2.8		)
Total fixed maturities	18.7			14.0			41.8			42.2
Equity securities:
Nonredeemable preferred stocks	33.0			33.2			48.8			59.1
Common equities	12.6			9.4			29.8			89.0
Subtotal net realized gains (losses) on security sales	64.3			56.6			120.4			190.3
Other-than-temporary impairment losses
Equity securities:
Common equities	(1.7		)	0			(9.4		)	0
Subtotal other-than-temporary impairment losses	(1.7		)	0			(9.4		)	0
Other gains (losses)
Hybrid securities	(3.9		)	3.7			(0.6		)	7.5
Derivative instruments	17.3			(19.9		)	(1.5		)	(39.2		)
Litigation settlements	0			0			0.1			1.2
Subtotal other gains (losses)	13.4			(16.2		)	(2.0		)	(30.5		)
Total net realized gains (losses) on securities	$	76.0		$	40.4		$	109.0		$	159.8

Gross realized gains and losses were predominantly the result of sales transactions in our fixed-income portfolio related to movements in credit spreads and interest rates and sales from our equity portfolios. In addition, gains and losses reflect recoveries from litigation settlements and holding period valuation changes on hybrids and derivatives. Also included are write-downs for securities determined to be other-than-temporarily impaired in our equity portfolio.

Net Investment Income The components of net investment income for the three and six months ended June 30, were:



	Three Months						Six Months
(millions)	2015			2014			2015			2014
Fixed maturities:
U.S. government obligations	$	7.2		$	12.0		$	16.3		$	25.0
State and local government obligations	16.2			12.6			28.1			25.4
Foreign government obligations	0.1			0.1			0.2			0.2
Corporate debt securities	24.2			18.8			47.1			40.8
Residential mortgage-backed securities	13.2			11.3			26.0			21.2
Agency residential pass-through obligations	0.7			0			0.7			0
Commercial mortgage-backed securities	18.8			16.0			35.7			32.7
Other asset-backed securities	5.5			3.7			10.5			7.9
Redeemable preferred stocks	3.8			3.9			7.6			8.0
Total fixed maturities	89.7			78.4			172.2			161.2
Equity securities:
Nonredeemable preferred stocks	10.9			9.3			21.4			19.2
Common equities	12.3			11.2			24.0			21.6
Short-term investments	0.4			0.3			0.8			0.5
Investment income	113.3			99.2			218.4			202.5
Investment expenses	(5.7		)	(6.0		)	(11.0		)	(10.1		)
Net investment income	$	107.6		$	93.2		$	207.4		$	192.4

Trading Securities At June 30, 2015 and 2014, and December 31, 2014, we did not hold any trading securities and did not have any net realized gains (losses) on trading securities for the three and six months ended June 30, 2015 and 2014.

Derivative Instruments For all derivative positions discussed below, realized holding period gains and losses are netted with any upfront cash that may be exchanged under the contract to determine if the net position should be classified either as an asset or liability. To be reported as a net derivative asset and a component of the available-for-sale portfolio, the inception-to-date realized gain on the derivative position at period end would have to exceed any upfront cash received. On the other hand, a net derivative liability would include any inception-to-date realized loss plus the amount of upfront cash received (or netted, if upfront cash was paid) and would be reported as a component of other liabilities. These net derivative assets/liabilities are not separately disclosed on the balance sheet due to their immaterial effect on our financial condition, cash flows, and results of operations.

The following table shows the status of our derivative instruments at June 30, 2015 and 2014, and December 31, 2014, and for the three and six months ended June 30, 2015 and 2014:



(millions)								Balance Sheet²								Comprehensive Income Statement
									Assets (Liabilities) Fair Value							Pretax Net Realized Gains (Losses)
	Notional Value¹															Three Months Ended						Six Months Ended
	June 30,				Dec. 31,				June 30,					Dec. 31,		June 30,						June 30,
Derivatives designated as:	2015		2014		2014		Purpose	Classification	2015			2014		2014		2015			2014			2015			2014
Hedging instruments
Closed:
Ineffective cash flow hedge	$	0	$	0	$	44	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	18.6			35.1		15.8		15.5			(19.9		)	(3.3		)	(39.2		)
Liabilities:
U.S. Treasury Note futures	90		0		0		Manage portfolio duration	Other liabilities	(0.3		)	0		0		(0.3		)	0			(0.3		)	0
Closed:
U.S. Treasury Note futures	326		0		0		Manage portfolio duration	NA	0			0		0		2.1			0			2.1			0
Total	NA		NA		NA				$	18.3		$	35.1	$	15.8	$	17.3		$	(19.9	)	$	(1.5	)	$	(39.2	)

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 expect that we will report them on a gross basis on our balance sheets, consistent with our historical presentation.

NA= Not Applicable

CASH FLOW HEDGES

In January 2015, upon issuance of $400 million of 3.70% Senior Notes due 2045 (the "3.70% Senior Notes"), we closed a forecasted debt issuance hedge, which was entered into to hedge against a possible rise in interest rates, and recognized a $12.9 million pretax loss as part of accumulated other comprehensive income (loss); the loss will be recognized as an adjustment to interest expense and amortized over the life of the 3.70% Senior Notes.

Our ineffective cash flow hedge, which is reflected in the table above, resulted from the repurchase of a portion of our 6.70% Fixed-to-Floating Rate Junior Subordinated Debentures due 2067 during 2014, and we reclassified the unrealized gain on forecasted transactions to net realized gains on securities. There was no repurchase activity during the first six months of 2015 or 2014.

See Note 4 – Debt for further discussion.

INTEREST RATE SWAPS and U.S. TREASURY FUTURES

We use interest rate swap and treasury futures contracts primarily to manage the fixed-income portfolio duration. At June 30, 2015 and 2014, and December 31, 2014, we held interest rate swap positions for which we are paying a fixed rate and receiving a variable rate, effectively shortening the duration of our fixed-income portfolio. As interest rates rose during the year, our fair value gain increased by $2.8 million on our interest rate swap positions.

During the second quarter 2015, we entered into U.S. treasury futures contracts and recognized a net gain of $1.8 million, including the futures that were closed during the period. Although interest rates rose throughout the quarter, during the period that the contracts were open the interest rates declined resulting in the net gain.

As of June 30, 2015, the balance of the cash collateral that we received from the applicable counterparties on the interest rate swaps and the cash collateral we delivered on the treasury futures was $21.9 million and $1.2 million, respectively. As of June 30, 2014 and December 31, 2014, the balance of the cash collateral that we had received from the applicable counterparties on the interest rate swap positions was $34.1 million and $16.1 million, respectively. We held no treasury futures during 2014.