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Investments (Tables)
 12 Months Ended
Dec. 31, 2016
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 internal classification of how we manage, monitor, and measure the portfolio. The net holding period gains (losses) represent the
amounts realized on our hybrid securities only.
 
($ in millions)
Cost

Gross Unrealized Gains

Gross Unrealized Losses

Net Realized Gains (Losses)

Fair Value

% of Total Fair Value

December 31, 2016
 
 
 
 
 
 
Fixed maturities:
 
 
 
 
 
 
U.S. government obligations
$
2,899.2

$
0

$
(29.1
)
$
0

$
2,870.1

12.2
%
State and local government obligations
2,509.5

13.8

(20.7
)
0

2,502.6

10.7

Foreign government obligations
24.5

0

0

0

24.5

0.1

Corporate debt securities
4,557.8

17.3

(24.3
)
0.1

4,550.9

19.4

Residential mortgage-backed securities
1,448.5

23.7

(15.0
)
1.5

1,458.7

6.2

Agency residential pass-through obligations
41.2

0

(0.6
)
0

40.6

0.2

Commercial mortgage-backed securities
2,266.9

12.0

(25.5
)
0

2,253.4

9.6

Other asset-backed securities
2,350.7

4.6

(4.4
)
0.2

2,351.1

10.0

Redeemable preferred stocks
188.8

5.1

(2.0
)
0

191.9

0.8

Total fixed maturities
16,287.1

76.5

(121.6
)
1.8

16,243.8

69.2

Equity securities:
 
 
 
 
 
 
Nonredeemable preferred stocks
734.2

135.4

(16.1
)
0

853.5

3.6

Common equities
1,437.5

1,377.0

(2.1
)
0

2,812.4

12.0

Short-term investments
3,572.9

0

0

0

3,572.9

15.2

Total portfolio1,2
$
22,031.7

$
1,588.9

$
(139.8
)
$
1.8

$
23,482.6

100.0
%
($ in millions)
Cost

Gross Unrealized Gains

Gross Unrealized Losses

Net Realized Gains (Losses)

Fair Value

% of Total Fair Value

December 31, 2015
 
 
 
 
 
 
Fixed maturities:
 
 
 
 
 
 
U.S. government obligations
$
2,425.4

$
4.4

$
(0.6
)
$
0

$
2,429.2

11.6
%
State and local government obligations
2,677.6

47.5

(3.7
)
0

2,721.4

13.0

Foreign government obligations
18.6

0

0

0

18.6

0.1

Corporate debt securities
3,713.2

11.3

(33.0
)
0.1

3,691.6

17.6

Residential mortgage-backed securities
1,726.0

22.1

(20.6
)
(0.8
)
1,726.7

8.3

Agency residential pass-through obligations
90.3

0.1

(1.1
)
0

89.3

0.4

Commercial mortgage-backed securities
2,665.7

16.9

(29.4
)
0

2,653.2

12.7

Other asset-backed securities
1,771.1

1.4

(5.1
)
0.5

1,767.9

8.4

Redeemable preferred stocks
260.0

17.6

(43.3
)
0

234.3

1.1

Total fixed maturities
15,347.9

121.3

(136.8
)
(0.2
)
15,332.2

73.2

Equity securities:
 
 
 
 
 
 
Nonredeemable preferred stocks
674.2

122.8

(15.7
)
1.3

782.6

3.7

Common equities
1,494.3

1,170.4

(14.2
)
0

2,650.5

12.7

Short-term investments
2,172.0

0

0

0

2,172.0

10.4

Total portfolio1,2
$
19,688.4

$
1,414.5

$
(166.7
)
$
1.1

$
20,937.3

100.0
%


1 Our portfolio reflects the effect of unsettled security transactions and collateral on any open derivative positions; at December 31, 2016, $27.8 million was included in "other liabilities," compared to $23.1 million in "other assets" at December 31, 2015.
2 The total fair value of the portfolio at both December 31, 2016 and 2015 included $1.3 billion 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 at December 31:
 
(millions)
2016

 
2015

Fixed maturities:
 
 
 
Corporate debt securities
$
40.1

 
$
49.1

Residential mortgage-backed securities
170.5

 
144.3

Commercial mortgage-backed securities
0

 
17.3

Other asset-backed securities
8.9

 
11.3

Total fixed maturities
219.5

 
222.0

Equity securities:
 
 
 
Nonredeemable preferred stocks
0

 
50.7

Total hybrid securities
$
219.5

 
$
272.7
Composition of Fixed Maturities by Maturity
 The composition of fixed maturities by maturity at December 31, 2016, was:
 
(millions)
Cost

 
Fair Value

Less than one year
$
3,680.5

 
$
3,682.1

One to five years
9,324.7

 
9,298.2

Five to ten years
3,226.9

 
3,197.3

Ten years or greater
55.0

 
66.2

Total
$
16,287.1

 
$
16,243.8
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

December 31, 2016
 
 
 
 
 
 
 
 
 
 
Fixed maturities:
 
 
 
 
 
 
 
 
 
 
U.S. government obligations
30

$
2,774.0

$
(29.1
)
30

$
2,774.0

$
(29.1
)
 
0

$
0

$
0

State and local government obligations
618

1,497.9

(20.7
)
584

1,404.3

(19.6
)
 
34

93.6

(1.1
)
Corporate debt securities
184

2,615.1

(24.3
)
175

2,559.9

(24.0
)
 
9

55.2

(0.3
)
Residential mortgage-backed securities
178

917.7

(15.0
)
69

175.8

(1.1
)
 
109

741.9

(13.9
)
Agency residential pass-through obligations
55

36.0

(0.6
)
48

33.9

(0.6
)
 
7

2.1

0

Commercial mortgage-backed securities
111

1,347.3

(25.5
)
85

1,061.2

(22.9
)
 
26

286.1

(2.6
)
Other asset-backed securities
103

1,605.2

(4.4
)
89

1,423.3

(3.9
)
 
14

181.9

(0.5
)
Redeemable preferred stocks
2

31.0

(2.0
)
0

0

0

 
2

31.0

(2.0
)
Total fixed maturities
1,281

10,824.2

(121.6
)
1,080

9,432.4

(101.2
)
 
201

1,391.8

(20.4
)
Equity securities:


 
 
 
 
 
 
 
 
 
Nonredeemable preferred stocks
13

329.6

(16.1
)
8

175.2

(3.8
)
 
5

154.4

(12.3
)
Common equities
75

22.1

(2.1
)
69

19.7

(1.7
)
 
6

2.4

(0.4
)
Total equity securities
88

351.7

(18.2
)
77

194.9

(5.5
)
 
11

156.8

(12.7
)
Total portfolio
1,369

$
11,175.9

$
(139.8
)
1,157

$
9,627.3

$
(106.7
)
 
212

$
1,548.6

$
(33.1
)
 
 
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, 2015
 
 
 
 
 
 
 
 
 
 
Fixed maturities:
 
 
 
 
 
 
 
 
 
 
U.S. government obligations
22

$
897.1

$
(0.6
)
22

$
897.1

$
(0.6
)
 
0

$
0

$
0

State and local government obligations
290

606.7

(3.7
)
264

500.7

(2.6
)
 
26

106.0

(1.1
)
Corporate debt securities
215

2,580.6

(33.0
)
197

2,294.6

(25.2
)
 
18

286.0

(7.8
)
Residential mortgage-backed securities
188

1,294.7

(20.6
)
115

493.4

(3.7
)
 
73

801.3

(16.9
)
Agency residential pass-through obligations
61

84.9

(1.1
)
61

84.9

(1.1
)
 
0

0

0

Commercial mortgage-backed securities
207

2,046.5

(29.4
)
171

1,694.6

(25.8
)
 
36

351.9

(3.6
)
Other asset-backed securities
101

1,548.6

(5.1
)
92

1,472.0

(4.5
)
 
9

76.6

(0.6
)
Redeemable preferred stocks
9

199.4

(43.3
)
6

119.4

(14.5
)
 
3

80.0

(28.8
)
Total fixed maturities
1,093

9,258.5

(136.8
)
928

7,556.7

(78.0
)
 
165

1,701.8

(58.8
)
Equity securities:
 
 
 
 
 
 
 
 
 
 
Nonredeemable preferred stocks
10

301.8

(15.7
)
5

124.2

(1.7
)
 
5

177.6

(14.0
)
Common equities
64

164.8

(14.2
)
60

161.4

(14.2
)
 
4

3.4

0

Total equity securities
74

466.6

(29.9
)
65

285.6

(15.9
)
 
9

181.0

(14.0
)
Total portfolio
1,167

$
9,725.1

$
(166.7
)
993

$
7,842.3

$
(93.9
)
 
174

$
1,882.8

$
(72.8
)
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 (i.e., unadjusted for valuation changes subsequent to the original write-down):
 
 
December 31,
(millions)
2016

2015

Fixed maturities:
 
 
Residential mortgage-backed securities
$
(43.3
)
$
(43.3
)
Commercial mortgage-backed securities
(0.6
)
(0.6
)
Total fixed maturities
$
(43.9
)
$
(43.9
)
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 December 31, 2016, 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:
 
(millions)
Residential
Mortgage-
Backed

Commercial
Mortgage-
Backed

Total

Total at December 31, 2015
$
12.4

$
0.4

$
12.8

Reductions for securities sold/matured
0

0

0

Change in recoveries of future cash flows expected to be collected1,2
(1.3
)
0

(1.3
)
Total at December 31, 2016
$
11.1

$
0.4

$
11.5

(millions)
Residential
Mortgage-
Backed

Commercial
Mortgage-
Backed

Total

Total at December 31, 2014
$
12.7

$
0.4

$
13.1

Reductions for securities sold/matured
(1.4
)
0

(1.4
)
Change in recoveries of future cash flows expected to be collected1,2
1.1

0

1.1

Total at December 31, 2015
$
12.4

$
0.4

$
12.8


(millions)
Residential
Mortgage-
Backed

Commercial
Mortgage-
Backed

Total

Total at December 31, 2013
$
19.2

$
0.4

$
19.6

Reductions for securities sold/matured
(0.1
)
0

(0.1
)
Change in recoveries of future cash flows expected to be collected1,2
(6.4
)
0

(6.4
)
Total at December 31, 2014
$
12.7

$
0.4

$
13.1


1 Reflects expected recovery of prior period impairments that will be accreted into income over the remaining life of the security.
2 Includes $1.9 million, $2.9 million, and $4.3 million at December 31, 2016, 2015, and 2014, respectively, recognized in income in excess of the cash flows expected to be collected at the time of the write-downs.
Components of Net Realized Gains (Losses)
The components of net realized gains (losses) for the years ended December 31, were:
 
(millions)
2016

2015

2014

Gross realized gains on security sales
 
 
 
Fixed maturities:
 
 
 
U.S. government obligations
$
24.6

$
17.5

$
24.0

State and local government obligations
16.0

7.8

9.3

Corporate and other debt securities
43.3

31.2

37.2

Residential mortgage-backed securities
2.4

4.9

2.7

Agency residential pass-through obligations
0.1

0

0

Commercial mortgage-backed securities
13.3

15.7

17.0

Redeemable preferred stocks
20.9

0.1

2.7

Total fixed maturities
120.6

77.2

92.9

Equity securities:
 
 
 
Nonredeemable preferred stocks
11.9

65.3

90.0

Common equities
61.3

50.4

107.3

         Short-term investments
0.1

0

0

Subtotal gross realized gains on security sales
193.9

192.9

290.2

Gross realized losses on security sales
 
 
 
Fixed maturities:
 
 
 
U.S. government obligations
(2.4
)
(0.9
)
(7.6
)
State and local government obligations
(1.6
)
(0.3
)
(0.5
)
Corporate and other debt securities
(2.5
)
(5.0
)
(2.8
)
Residential mortgage-backed securities
0

(0.4
)
(0.2
)
Agency residential pass-through obligations
(0.2
)
(0.4
)
0

Commercial mortgage-backed securities
(5.6
)
(1.3
)
(8.3
)
Redeemable preferred stocks
(6.6
)
0

(3.2
)
Total fixed maturities
(18.9
)
(8.3
)
(22.6
)
Equity securities:
 
 
 
Nonredeemable preferred stocks
(5.3
)
(3.2
)
0

Common equities
(15.7
)
(38.4
)
(7.3
)
         Short-term investments
(0.1
)
0

0

Subtotal gross realized losses on security sales
(40.0
)
(49.9
)
(29.9
)
Net realized gains (losses) on security sales
 
 
 
Fixed maturities:
 
 
 
U.S. government obligations
22.2

16.6

16.4

State and local government obligations
14.4

7.5

8.8

Corporate and other debt securities
40.8

26.2

34.4

Residential mortgage-backed securities
2.4

4.5

2.5

Agency residential pass-through obligations
(0.1
)
(0.4
)
0

Commercial mortgage-backed securities
7.7

14.4

8.7

Redeemable preferred stocks
14.3

0.1

(0.5
)
Total fixed maturities
101.7

68.9

70.3

Equity securities:
 
 
 
Nonredeemable preferred stocks
6.6

62.1

90.0

Common equities
45.6

12.0

100.0

Subtotal net realized gains (losses) on security sales
153.9

143.0

260.3

Other-than-temporary impairment losses
 
 
 
Fixed maturities:
 
 
 
Redeemable preferred stocks
(25.3
)
0

0

Total fixed maturities
(25.3
)
0

0

Equity securities:
 
 
 
Common equities
(0.3
)
(8.7
)
(7.2
)
Subtotal investment other-than-temporary impairment losses
(25.6
)
(8.7
)
(7.2
)
Other asset impairment
(59.7
)
0

0

       Subtotal other-than-temporary impairment losses
(85.3
)
(8.7
)
(7.2
)
Other gains (losses)
 
 
 
Hybrid securities
2.1

(1.3
)
30.5

Derivative instruments
(20.0
)
(20.7
)
(64.1
)
Litigation settlements
0.4

0.4

4.7

Subtotal other gains (losses)
(17.5
)
(21.6
)
(28.9
)
Total net realized gains (losses) on securities
$
51.1

$
112.7

$
224.2
Components of Net Investment Income
The components of net investment income for the years ended December 31, were:
 
(millions)
2016

2015

2014

Fixed maturities:
 
 
 
U.S. government obligations
$
18.2

$
28.3

$
46.2

State and local government obligations
52.3

60.7

50.1

Foreign government obligations
0.4

0.4

0.4

Corporate debt securities
110.7

102.4

82.1

Residential mortgage-backed securities
46.1

52.2

44.9

Agency residential pass-through obligations
1.2

2.1

0

Commercial mortgage-backed securities
81.6

74.6

66.0

Other asset-backed securities
28.0

22.0

16.7

Redeemable preferred stocks
14.9

15.0

15.5

Total fixed maturities
353.4

357.7

321.9

Equity securities:
 
 
 
Nonredeemable preferred stocks
48.6

43.7

38.6

Common equities
57.2

51.0

46.6

Short-term investments
19.7

2.2

1.3

Investment income
478.9

454.6

408.4

Investment expenses
(22.4
)
(22.8
)
(18.9
)
Net investment income
$
456.5

$
431.8

$
389.5
Derivative Instruments
The following table shows the status of our derivative instruments at December 31, 2016 and 2015, and for the years ended December 31, 2016, 2015, and 2014:
 
(millions)
 
Balance Sheet2
Comprehensive
Income Statement
 
Notional Value1
 
 
Assets
(Liabilities)
Fair Value
Pretax Net Realized
Gains (Losses)
 
 
 
 
 
Years ended
 
December 31,
 
 
December 31,
December 31,
Derivatives
designated as:
2016

2015

2014

Purpose
Classification
2016

2015

2016

2015

2014

Hedging instruments
 
 
 
 
 
 
 
 
 
 
Closed:
 
 
 
 
 
 
 
 
 
 
Ineffective cash flow hedge
$
370

$
18

$
44

Manage
interest
rate risk
NA
$
0

$
0

$
(1.3
)
$
0.2

$
0.5

Non-hedging instruments
 
 
 
 
 
 
 
 
 
 
Assets:
 
 
 
 
 
 
 
 
 
 
Interest rate swaps
0

750

750

Manage
portfolio
duration
Investments - fixed
maturities
0

4.4

0

(23.4
)
(64.6
)
Closed:
 
 
 
 
 
 
 
 
 
 
Interest rate swaps
750

0

0

Manage
portfolio
duration
NA
0

0

(19.0
)
0

0

U.S. Treasury Note futures
135

691

0

Manage
portfolio
duration
NA
0

0

0.3

2.5

0

Total
NA

NA

NA

 
 
$
0

$
4.4

$
(20.0
)
$
(20.7
)
$
(64.1
)

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