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Fair Value Measurements (Tables)
 9 Months Ended
Sep. 30, 2012
Fair Value Disclosures [Abstract]  
Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis
The following table presents the Company’s hierarchy for its assets and liabilities measured at fair value on a recurring basis as of September 30, 2012:

 
2012
 
Level 1
 
Level 2
 
Level 3
 
Total
Assets:
 
 
 
 
 
 
 
Fixed maturities, including securities pledged:
 
 
 
 
 
 
 
U.S. Treasuries
$
1,360.9

 
$
7.9

 
$
—

 
$
1,368.8

U.S government agencies and authorities
—

 
23.8

 
—

 
23.8

U.S. corporate, state and municipalities
—

 
10,581.1

 
132.1

 
10,713.2

Foreign
—

 
5,325.4

 
22.3

 
5,347.7

Residential mortgage-backed securities
—

 
1,974.7

 
23.9

 
1,998.6

Commercial mortgage-backed securities
—

 
1,826.4

 
—

 
1,826.4

Other asset-backed securities
—

 
605.2

 
84.6

 
689.8

Total fixed maturities, including securities pledged
1,360.9

 
20,344.5

 
262.9

 
21,968.3

Equity securities, available-for-sale
13.8

 
—

 
16.0

 
29.8

Derivatives:
 

 
 

 
 

 
 
Interest rate contracts
6.6

 
1,459.1

 
—

 
1,465.7

Foreign exchange contracts
—

 
15.0

 
—

 
15.0

Equity contracts
60.5

 
56.3

 
30.8

 
147.6

Credit contracts
—

 
0.5

 
—

 
0.5

Cash and cash equivalents, short-term investments and short-term investments under securities loan agreements
2,247.5

 
—

 
—

 
2,247.5

Assets held in separate accounts
40,435.9

 
—

 
—

 
40,435.9

Total assets
$
44,125.2

 
$
21,875.4

 
$
309.7

 
$
66,310.3

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Liabilities:
 
 
 
 
 
 
 
Annuity product guarantees:
 
 
 
 
 
 
 
FIA
$
—

 
$
—

 
$
1,403.6

 
$
1,403.6

GMAB / GMWB / GMWBL(1)
—

 
—

 
1,946.1

 
1,946.1

Embedded derivative on reinsurance
—

 
317.7

 
—

 
317.7

Derivatives:
 
 
 
 
 
 
 
Interest rate contracts
—

 
572.6

 
—

 
572.6

Foreign exchange contracts
—

 
39.7

 
—

 
39.7

Equity contracts
3.2

 
26.3

 
—

 
29.5

Credit contracts
—

 
0.1

 
—

 
0.1

Total liabilities
$
3.2

 
$
956.4

 
$
3,349.7

 
$
4,309.3

(1) Guaranteed minimum accumulation benefits ("GMAB"), Guaranteed minimum withdrawal benefits ("GMWB"), Guaranteed minimum withdrawal benefits with life payouts ("GMWBL").

The following table presents the Company’s hierarchy for its assets and liabilities measured at fair value on a recurring basis as of December 31, 2011:

 
2011
 
(As revised)
 
Level 1
 
Level 2
 
Level 3
 
Total
Assets:
 
 
 
 
 
 
 
Fixed maturities, including securities pledged:
 
 
 
 
 
 
 
U.S. Treasuries
$
1,778.0

 
$
7.8

 
$
—

 
$
1,785.8

U.S government agencies and authorities
—

 
23.7

 
—

 
23.7

U.S. corporate, state and municipalities
—

 
10,251.1

 
124.5

 
10,375.6

Foreign
—

 
5,525.2

 
56.9

 
5,582.1

Residential mortgage-backed securities
—

 
2,245.1

 
60.7

 
2,305.8

Commercial mortgage-backed securities
—

 
2,001.9

 
—

 
2,001.9

Other asset-backed securities
—

 
600.8

 
72.8

 
673.6

Total fixed maturities, including securities pledged
1,778.0

 
20,655.6

 
314.9

 
22,748.5

Equity securities, available-for-sale
11.4

 
—

 
16.3

 
27.7

Derivatives:
 
 
 
 
 
 
 
Interest rate contracts
4.0

 
1,534.4

 
—

 
1,538.4

Foreign exchange contracts
—

 
9.7

 
—

 
9.7

Equity contracts
26.5

 
—

 
33.6

 
60.1

Credit contracts
—

 
0.9

 
—

 
0.9

Cash and cash equivalents, short-term investments and short-term investments under securities loan agreements
2,760.7

 
5.8

 
—

 
2,766.5

Assets held in separate accounts
39,356.9

 
—

 
—

 
39,356.9

Total assets
$
43,937.5

 
$
22,206.4

 
$
364.8

 
$
66,508.7

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Liabilities:
 
 
 
 
 
 
 
Annuity product guarantees:
 
 
 
 
 
 
 
FIA
$
—

 
$
—

 
$
1,282.2

 
$
1,282.2

GMAB / GMWB / GMWBL
—

 
—

 
2,229.9

 
2,229.9

Embedded derivative on reinsurance
—

 
230.9

 
—

 
230.9

Derivatives:
 
 
 
 
 
 
 
Interest rate contracts
—

 
520.0

 
—

 
520.0

Foreign exchange contracts
—

 
42.4

 
—

 
42.4

Equity contracts
3.3

 
—

 
25.1

 
28.4

Credit contracts
—

 
1.2

 
12.9

 
14.1

Total liabilities
$
3.3

 
$
794.5

 
$
3,550.1

 
$
4,347.9
Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation
The following tables summarize the change in fair value of the Company’s Level 3 assets and liabilities and transfers in and out of Level 3 for the three and nine months ended September 30, 2012:

 
Three Months Ended September 30, 2012
 
Fair
Value
as of
July 1
 
Total Realized/Unrealized
Gains (Losses) 
Included in:
 
Purchases
 
Issuances
 
Sales
 
Settlements
 
Transfers
in to
Level 3(2)
 
Transfers
out of
Level 3(2)
 
Fair Value
as of
September 30
 
Change in
Unrealized
Gains (Losses)
Included in
Earnings (3)
 
 
Net 
Income
 
OCI
 
 
 
 
 
 
 
 
Fixed maturities, including securities pledged:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
U.S. corporate, state and municipalities
$
102.4

 
$
0.6

 
$
(2.7
)
 
$
18.8

 
$
—

 
$
—

 
$
(4.0
)
 
$
17.0

 
$
—

 
$
132.1

 
$
0.6

Foreign
15.2

 
—

 
0.2

 
—

 
—

 
—

 
(1.5
)
 
8.4

 
—

 
22.3

 
—

Residential mortgage-backed securities
21.7

 
2.5

 
(0.7
)
 
—

 
—

 
—

 
(0.1
)
 
0.5

 
—

 
23.9

 
2.5

Other asset-backed securities
67.6

 
1.9

 
1.9

 
—

 
—

 
—

 
(1.3
)
 
14.5

 
—

 
84.6

 
1.9

Total fixed maturities, including securities pledged:
206.9

 
5.0

 
(1.3
)
 
18.8

 
—

 
—

 
(6.9
)
 
40.4

 
—

 
262.9

 
5.0

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Equity securities, available-for-sale
16.8

 
(0.1
)
 
—

 
—

 
—

 
(0.7
)
 
—

 
—

 
—

 
16.0

 
—

Derivatives, net
9.6

 
23.7

 
—

 
4.3

 
—

 
—

 
(6.8
)
 
—

 
—

 
30.8

 
19.8

Annuity product guarantees:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
FIA
(1,384.2
)
 
(38.9
)
 
—

 
—

 
(15.9
)
 
—

 
35.4

 
—

 
—

 
(1,403.6
)
 
—

GMWB/GMAB/GMWBL
(2,458.6
)
 
556.2

 
—

 
—

 
(43.7
)
 
—

 
—

 
—

 
—

 
(1,946.1
)
 
—

Total investment contract guarantees
(3,842.8
)
 
517.3

(1) 
—

 
—

 
(59.6
)
 
—

 
35.4

 
—

 
—

 
(3,349.7
)
 
—

(1) All gains and losses on Level 3 liabilities are classified as realized gains (losses) for the purpose of this disclosure because it is impracticable to track realized and unrealized gains (losses) separately on a contract-by-contract basis. These amounts are included in Other net realized capital gains (losses) in the Condensed Statements of Operations.
(2) The Company’s policy is to recognize transfers in and transfers out as of the beginning of the reporting period.
(3) For financial instruments still held as of September 30, amounts are included in Net investment income and Other net realized capital gains (losses) in the Condensed Statements of Operations.
 
 
 
Nine Months Ended September 30, 2012
 
Fair
Value
as of
January 1
 
Total Realized/Unrealized
Gains (Losses) 
Included in:
 
Purchases
 
Issuances
 
Sales
 
Settlements
 
Transfers
in to
Level 3(2)
 
Transfers
out of
Level 3(2)
 
Fair Value
as of
September 30
 
Change in
Unrealized
Gains (Losses)
Included in
Earnings (3)
 
 
Net 
Income
 
OCI
 
 
 
 
 
 
 
 
Fixed maturities, including securities pledged:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
U.S. corporate, state and municipalities
$
124.5

 
$
0.7

 
$
(1.5
)
 
$
2.4

 
$
—

 
$
—

 
$
(0.1
)
 
$
36.3

 
$
(30.2
)
 
$
132.1

 
$
0.6

Foreign
56.9

 
0.6

 
(0.4
)
 
—

 
—

 
(4.1
)
 
(4.2
)
 
8.3

 
(34.8
)
 
22.3

 
—

Residential mortgage-backed securities
60.7

 
(0.5
)
 
(1.1
)
 
0.1

 
—

 
—

 
(0.9
)
 
—

 
(34.4
)
 
23.9

 
(0.9
)
Other asset-backed securities
72.8

 
4.9

 
2.7

 
—

 
—

 
(9.3
)
 
(3.4
)
 
16.9

 
—

 
84.6

 
4.6

Total fixed maturities, including securities pledged:
314.9

 
5.7

 
(0.3
)
 
2.5

 
—

 
(13.4
)
 
(8.6
)
 
61.5

 
(99.4
)
 
262.9

 
4.3

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Equity securities, available-for-sale
16.3

 
(0.1
)
 
(0.1
)
 
2.3

 
—

 
(2.4
)
 
—

 
—

 
—

 
16.0

 
—

Derivatives, net
(4.3
)
 
14.8

 
—

 
13.9

 
—

 
—

 
7.9

 
—

 
(1.5
)
 
30.8

 
13.0

Annuity product guarantees:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
FIA
(1,282.2
)
 
(170.3
)
 
—

 
—

 
(69.2
)
 
—

 
118.1

 
—

 
—

 
(1,403.6
)
 
—

GMWB/GMAB/GMWBL
(2,229.9
)
 
397.4

 
—

 
—

 
(113.8
)
 
—

 
0.2

 
—

 
—

 
(1,946.1
)
 
—

Total investment contract guarantees
(3,512.1
)
 
227.1

(1) 
—

 
—

 
(183.0
)
 
—

 
118.3

 
—

 
—

 
(3,349.7
)
 
—

(1) All gains and losses on Level 3 liabilities are classified as realized gains (losses) for the purpose of this disclosure because it is impracticable to track realized and unrealized gains (losses) separately on a contract-by-contract basis. These amounts are included in Other net realized capital gains (losses) in the Condensed Statements of Operations.
(2) The Company’s policy is to recognize transfers in and transfers out as of the beginning of the reporting period.
(3) For financial instruments still held as of September 30, amounts are included in Net investment income and Other net realized capital gains (losses) in the Condensed Statements of Operations.


The following tables summarize the change in fair value of the Company’s Level 3 assets and liabilities and transfers in and out of Level 3 for the three and nine months ended September 30, 2011:

 
Three Months Ended September 30, 2011 (As revised)
 
Fair
Value
as of
July 1
 
Total Realized/Unrealized
Gains (Losses) 
Included in:
 
Purchases and Issuances
 
Sales and Settlements
 
Transfers
in to
Level 3(2)
 
Transfers
out of
Level 3(2)
 
Fair Value
as of
September 30
 
Change in
Unrealized
Gains (Losses)
Included in
Earnings (3)
 
 
Net 
Income
 
OCI
 
 
 
 
 
Fixed maturities, including securities pledged:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
U.S. corporate, state and municipalities
$
122.4

 
$
—

 
$
(0.4
)
 
$
—

 
$
(3.4
)
 
$
—

 
$
—

 
$
118.6

 
$
—

Foreign
27.3

 
0.1

 
(0.6
)
 
—

 
(1.9
)
 
15.5

 
(4.2
)
 
36.2

 
—

Residential mortgage-backed securities
19.6

 
0.2

 
(0.1
)
 
—

 
(0.3
)
 
—

 
—

 
19.4

 
0.2

Other asset-backed securities
178.4

 
(8.5
)
 
3.5

 
—

 
(66.7
)
 
—

 
(15.4
)
 
91.3

 
(9.7
)
Total fixed maturities, including securities pledged:
347.7

 
(8.2
)
 
2.4

 
—

 
(72.3
)
 
15.5

 
(19.6
)
 
265.5

 
(9.5
)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Equity securities, available-for-sale
16.2

 
—

 
—

 
0.1

 
—

 
—

 
—

 
16.3

 
—

Derivatives, net
87.4

 
(17.2
)
 
—

 
—

 
(35.5
)
 
—

 
—

 
34.7

 
(35.7
)
Annuity products guarantees:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
FIA
(1,310.2
)
 
136.6

 
—

 
(21.4
)
 
28.6

 
—

 
—

 
(1,166.4
)
 
—

GMWB/GMAB/GMWBL
(526.8
)
 
(998.0
)
 
—

 
(38.9
)
 
0.3

 
—

 
—

 
(1,563.4
)
 
—

Total investment contract guarantees
(1,837.0
)
 
(861.4
)
(1) 
—

 
(60.3
)
 
28.9

 
—

 
—

 
(2,729.8
)
 
—

(1) All gains and losses on Level 3 liabilities are classified as realized gains (losses) for the purpose of this disclosure because it is impracticable to track realized and unrealized gains (losses) separately on a contract-by-contract basis. These amounts are included in Other net realized capital gains (losses) in the Condensed Statements of Operations.
(2) The Company’s policy is to recognize transfers in and transfers out as of the beginning of the reporting period.
(3) For financial instruments still held as of September 30, amounts are included in Net investment income and Other net realized capital gains (losses) in the Condensed Statements of Operations.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Nine Months Ended September 30, 2011 (As revised)
 
Fair
Value
as of
January 1
 
Total Realized/Unrealized
Gains (Losses) 
Included in:
 
Purchases and Issuances
 
Sales and Settlements
 
Transfers
in to
Level 3(2)
 
Transfers
out of
Level 3(2)
 
Fair Value
as of
September 30
 
Change in
Unrealized
Gains (Losses)
Included in
Earnings (3)
 
 
Net 
Income
 
OCI
 
 
 
 
 
Fixed maturities, including securities pledged:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
U.S. corporate, state and municipalities
$
40.1

 
$
—

 
$
(1.4
)
 
$
—

 
$
(25.9
)
 
$
105.8

 
$
—

 
$
118.6

 
$
—

Foreign
9.8

 
0.3

 
(3.8
)
 
—

 
(10.8
)
 
44.3

 
(3.6
)
 
36.2

 
—

Residential mortgage-backed securities
198.6

 
(1.1
)
 
0.7

 
2.9

 
(2.5
)
 
—

 
(179.2
)
 
19.4

 
(1.1
)
Other asset-backed securities
644.8

 
(77.1
)
 
61.9

 
—

 
(232.1
)
 
1.2

 
(307.4
)
 
91.3

 
(11.5
)
Total fixed maturities, including securities pledged
893.3

 
(77.9
)
 
57.4

 
2.9

 
(271.3
)
 
151.3

 
(490.2
)
 
265.5

 
(12.6
)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Equity securities, available-for-sale
13.5

 
0.1

 
(0.1
)
 
4.2

 
(0.1
)
 
—

 
(1.3
)
 
16.3

 
—

Derivatives, net
76.5

 
(0.9
)
 
—

 
—

 
(40.9
)
 
—

 
—

 
34.7

 
(18.8
)
Annuity product guarantees:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
FIA
(1,165.5
)
 
(18.2
)
 
—

 
(91.4
)
 
108.7

 
—

 
—

 
(1,166.4
)
 
—

GMWB/GMAB/GMWBL
(490.2
)
 
(958.8
)
 
—

 
(116.3
)
 
1.9

 
—

 
—

 
(1,563.4
)
 
—

Total investment contract guarantees
(1,655.7
)
 
(977.0
)
(1) 
—

 
(207.7
)
 
110.6

 
—

 
—

 
(2,729.8
)
 
—

(1) All gains and losses on Level 3 liabilities are classified as realized gains (losses) for the purpose of this disclosure because it is impracticable to track realized and unrealized gains (losses) separately on a contract-by-contract basis. These amounts are included in Other net realized capital gains (losses) in the Condensed Statements of Operations.
(2) The Company's policy is to recognize transfers in and transfers out as of the beginning of the reporting period.
(3) For financial instruments still held as of September 30, amounts are included in Net investment income and Other net realized capital gains (losses) in the Condensed Statements of Operations.
Fair Value Inputs, Liabilities, Quantitative Information
The following table presents the unobservable inputs for Level 3 fair value measurements as of September 30, 2012:

 
 
Range(1)
Unobservable Input
 
GMWB/ GMAB/ GMWBL
 
FIA
Long-term equity implied volatility
 
15% to 25%
 
-
Correlations between:
 
 
 
 
Funds
 
-20% to 98%
 
-
Rates and Equity
 
-45% to 5%
 
-
Nonperformance risk
 
0.25% to 3.50%
 
0.25% to 3.50%
Policyholder Behavior Assumptions:
 
 
 
 
Benefit Utilization
 
0% to 85%
 
-
Partial Withdrawals
 
0% to 10%
 
-
Lapses
 
0% to 40%
 
0% to 10%
Mortality(2)
 
-
 
-
(1) Represents the range of reasonable assumptions that management has used in its fair value calculations
(2) The mortality rate is based on the Annuity 2000 basic table with mortality improvements.
Fair Value, by Balance Sheet Grouping
he carrying values and estimated fair values of the Company’s financial instruments were as follows as of September 30, 2012 and December 31, 2011:

 
2012
 
2011
 
 
 
 
 
(As revised)
 
Carrying
Value
 
Fair
Value
 
Carrying
Value
 
Fair
Value
Assets:
 
 
 
 
 
 
 
Fixed maturities, including securities pledged
$
21,614.2

 
$
21,614.2

 
$
22,413.5

 
$
22,413.5

Fixed maturities, at fair value using the fair value option
354.1

 
354.1

 
335.0

 
335.0

Equity securities, available-for-sale
29.8

 
29.8

 
27.7

 
27.7

Mortgage loans on real estate
2,908.4

 
3,018.2

 
3,137.3

 
3,214.1

Loan - Dutch State obligation
545.4

 
538.8

 
658.2

 
660.6

Policy loans
105.1

 
105.1

 
112.0

 
112.0

Limited partnerships/corporations
245.5

 
245.5

 
305.4

 
305.4

Cash, cash equivalents, short-term investments and short-term investments under securities loan agreements
2,247.5

 
2,247.5

 
2,766.5

 
2,766.5

Derivatives
1,628.8

 
1,628.8

 
1,609.1

 
1,609.1

Other investments
82.0

 
82.0

 
82.2

 
82.2

Deposits from affiliates
960.4

 
995.2

 
1,377.6

 
1,360.3

Assets held in separate accounts
40,435.9

 
40,435.9

 
39,356.9

 
39,356.9

Liabilities:
 
 
 
 
 
 
 
Investment contract liabilities:
 
 
 
 
 
 
 
Deferred annuities(1)
20,415.3

 
21,036.3

 
22,453.2

 
22,749.4

Guaranteed investment contracts and funding agreements
1,851.9

 
1,693.2

 
2,367.7

 
2,568.2

Supplementary contracts and immediate annuities
867.6

 
959.1

 
816.1

 
884.6

Embedded derivative on reinsurance
317.7

 
317.7

 
230.9

 
230.9

Annuity product guarantees:
 
 
 
 
 
 
 
FIA
1,403.6

 
1,403.6

 
1,282.2

 
1,282.2

GMAB/GMWB/GMWBL
1,946.1

 
1,946.1

 
2,229.9

 
2,229.9

Long-term debt
435.0

 
468.9

 
435.0

 
419.3

Derivatives
641.9

 
641.9

 
604.9

 
604.9

(1) Certain amounts included in Deferred annuities are also reflected within the Annuity Product guarantees section of the table above.