Investments

6 Months Ended

Jun. 30, 2011

Investments.

Investments

2. Investments

Fixed Maturities and Equity Securities

Available-for-sale and fair value option fixed maturities and equity securities were as follows as of June 30, 2011.

			Gross		Gross
			Unrealized		Unrealized
	Amortized		Capital		Capital		Fair
	Cost		Gains		Losses		Value		OTTI(2)
Fixed maturities:
U.S. Treasuries	$	1,352.2	$	6.6	$	5.4	$	1,353.4	$	—
U.S. government agencies and authorities	19.4		—		0.1		19.3		—
State, municipalities, and political subdivisions	105.4		0.8		8.3		97.9		—
U.S. corporate securities:
Public utilities	1,229.3		55.6		15.0		1,269.9		—
Other corporate securities	8,110.8		418.2		48.3		8,480.7		—
Total U.S. corporate securities	9,340.1		473.8		63.3		9,750.6		—
Foreign securities(1):
Government	394.0		26.8		1.5		419.3		—
Other	5,196.1		263.7		54.6		5,405.2		—
Total foreign securities	5,590.1		290.5		56.1		5,824.5		—
Residential mortgage-backed securities	1,969.5		244.4		81.9		2,132.0		65.9
Commercial mortgage-backed securities	2,008.7		131.9		26.3		2,114.3		4.9
Other asset-backed securities	938.0		20.4		67.8		890.6		4.4
Total fixed maturities, including securities pledged	21,323.4		1,168.4		309.2		22,182.6		75.2
Less: securities pledged	721.0		12.1		4.6		728.5		—
Total fixed maturities	20,602.4		1,156.3		304.6		21,454.1		75.2
Equity securities	130.9		6.4		—		137.3		—
Total investments	$	20,733.3	$	1,162.7	$	304.6	$	21,591.4	$	75.2

(1)	Primarily U.S. dollar denominated.
(2)	Represents other-than-temporary impairments reported as a component of Other comprehensive income (“noncredit impairments”).

Available-for-sale and fair value option fixed maturities and equity securities were as follows as of December 31, 2010.

			Gross		Gross
			Unrealized		Unrealized
	Amortized		Capital		Capital		Fair
	Cost		Gains		Losses		Value		OTTI(2)
Fixed maturities:
U.S. Treasuries	$	1,595.7	$	19.4	$	2.4	$	1,612.7	$	—
U.S. government agencies and authorities	24.2		0.3		0.2		24.3		—
State, municipalities, and political subdivisions	126.5		3.6		11.6		118.5		—
U.S. corporate securities:
Public utilities	1,526.4		83.2		18.4		1,591.2		—
Other corporate securities	7,517.1		367.9		63.5		7,821.5		0.3
Total U.S. corporate securities	9,043.5		451.1		81.9		9,412.7		0.3
Foreign securities(1):
Government	474.6		39.0		4.3		509.3		—
Other	4,742.9		216.7		70.0		4,889.6		0.1
Total foreign securities	5,217.5		255.7		74.3		5,398.9		0.1
Residential mortgage-backed securities	2,028.7		240.8		98.5		2,171.0		67.2
Commercial mortgage-backed securities	2,112.2		125.8		39.1		2,198.9		7.3
Other asset-backed securities	1,213.9		17.8		124.1		1,107.6		32.1
Total fixed maturities, including securities pledged	21,362.2		1,114.5		432.1		22,044.6		107.0
Less: securities pledged	886.6		17.5		14.7		889.4		—
Total fixed maturities	20,475.6		1,097.0		417.4		21,155.2		107.0
Equity securities	139.5		6.9		—		146.4		—
Total investments	$	20,615.1	$	1,103.9	$	417.4	$	21,301.6	$	107.0

(1)	Primarily U.S. dollar denominated.
(2)	Represents other-than-temporary impairments reported as a component of Other comprehensive income (“noncredit impairments”).

The amortized cost and fair value of total fixed maturities, including securities pledged, as of June 30, 2011, are shown below by contractual maturity.  Actual maturities may differ from contractual maturities as securities may be restructured, called, or prepaid.

	Amortized		Fair
	Cost		Value
Due to mature:
One year or less	$	1,197.7	$	1,219.6
After one year through five years	5,175.3		5,436.4
After five years through ten years	5,763.5		5,992.5
After ten years	4,270.7		4,397.2
Mortgage-backed securities	3,978.2		4,246.3
Other asset-backed securities	938.0		890.6
Fixed maturities, including securities pledged	$	21,323.4	$	22,182.6

The Company did not have any investments in a single issuer, other than obligations of the U.S. government and government agencies and the State of the Netherlands (the “Dutch State”) loan obligation, with a carrying value in excess of 10% of the Company’s Shareholder’s equity at June 30, 2011 and December 31, 2010.

The Company invests in various categories of collateralized mortgage obligations (“CMOs”), including CMOs that are not agency-backed, that are subject to different degrees of risk from changes in interest rates and defaults. The principal risks inherent in holding CMOs are prepayment and extension risks related to dramatic decreases and increases in interest rates resulting in the prepayment of principal from the underlying mortgages, either earlier or later than originally anticipated. At June 30, 2011 and December 31, 2010, approximately 26.3% and 22.9%, respectively, of the Company’s CMO holdings were invested in those types of CMOs such as interest-only or principal-only strips, which are subject to more prepayment and extension risk than traditional CMOs.

Certain CMOs, primarily interest-only and principal-only strips, are accounted for as hybrid instruments and valued at fair value.

The Company is a member of the Federal Home Loan Bank of Des Moines (“FHLB”) and is required to maintain a collateral deposit that backs funding agreements issued to the FHLB. At June 30, 2011 and December 31, 2010, the Company had $1,579.6, in non-putable funding agreements, including accrued interest, issued to the FHLB. These non-putable funding agreements are included in Future policy benefits and claims reserves, in the Condensed Balance Sheets. At June 30, 2011 and December 31, 2010, assets with a market value of $1,868.3 and $1,930.1, respectively, collateralized the funding agreements to the FHLB. Assets pledged to the FHLB are included in Fixed maturities, available-for-sale, in the Condensed Balance Sheets.

Repurchase Agreements

The Company engages in dollar repurchase agreements with mortgage-backed securities (“dollar rolls”) and repurchase agreements with other collateral types to increase its return on investments and improve liquidity.  Such arrangements typically meet the requirements to be accounted for as financing arrangements.  The Company enters into dollar roll transactions by selling existing mortgage-backed securities and concurrently entering into an agreement to repurchase similar securities within a short time frame in the future at a lower price. Under repurchase agreements, the Company borrows cash from a counterparty at an agreed upon interest rate for an agreed upon time frame and pledges collateral in the form of securities. At the end of the agreement, the counterparty returns the collateral to the Company and the Company, in turn, repays the loan amount along with the additional agreed upon interest.  Company policy requires that at all times during the term of the dollar roll and repurchase agreements that cash or other collateral types obtained is sufficient to allow the Company to fund substantially all of the cost of purchasing replacement assets. Cash collateral received is invested in short-term investments, with the offsetting collateral liability included as a liability on the Condensed Balance Sheets. At June 30, 2011 and December 31, 2010, the Company had $121.1 and $0, respectively, securities pledged in dollar rolls and repurchase agreement transactions. The repurchase obligation related to dollar rolls and repurchase agreements, including accrued interest, totaled $116.6 and $0 at June 30, 2011 and December 31, 2010, respectively, and is included in Borrowed money on the Condensed Balance Sheets.  In addition to the repurchase obligation, at June 30, 2011, the Company held $1.1 collateral posted by the counterparty in connection with the increase in the value of pledged securities that will be released upon settlement.

The Company also enters into reverse repurchase agreements.  These transactions involve a purchase of securities and an agreement to sell substantially the same securities as those purchased.  Company policy requires that, at all times during the term of the reverse repurchase agreements, cash or other collateral types provided is sufficient to allow the counterparty to fund substantially all of the cost of purchasing replacement assets.  At June 30, 2011 and December 31, 2010, the Company did not have any securities pledged under reverse repurchase agreements.

The primary risk associated with short-term collateralized borrowings is that the counterparty will be unable to perform under the terms of the contract. The Company’s exposure is limited to the excess of the net replacement cost of the securities over the value of the short-term investments, an amount that was immaterial at June 30, 2011.  The Company believes the counterparties to the dollar rolls, repurchase, and reverse repurchase agreements are financially responsible and that the counterparty risk is minimal.

Securities Lending

The Company engages in securities lending whereby certain securities from its portfolio are loaned to other institutions for short periods of time.  Initial collateral, primarily cash, is required at a rate of 102% of the market value of the loaned domestic securities. The collateral is deposited by the borrower with a lending agent, and retained and invested by the lending agent according to the Company’s guidelines to generate additional income. The market value of the loaned securities is monitored on a daily basis with additional collateral obtained or refunded as the market value of the loaned securities fluctuates. At June 30, 2011 and December 31, 2010, the fair value of loaned securities was $110.6 and $139.7, respectively, and is included in Securities pledged on the Condensed Balance Sheets.

Variable Interest Entities

The Company holds certain VIEs for investment purposes.  VIEs may be in the form of private placement securities, structured securities, securitization transactions, or limited partnerships. The Company has reviewed each of its holdings and determined that consolidation of these investments in the Company’s financial statements is not required, as the Company is not the primary beneficiary, because the Company does not have both the power to direct the activities that most significantly impact the entity’s economic performance and the obligation or right to potentially significant losses or benefits, for any of its investments in VIEs. Rather, the VIEs are accounted for using the cost or equity method of accounting. The Company provided no non-contractual financial support and its carrying value represents the Company’s maximum exposure to loss. The carrying value of collateralized loan obligations of $3.7 and $2.7 at June 30, 2011 and December 31, 2010, respectively, is included in Limited partnerships/corporations on the Condensed Balance Sheets. Income and losses recognized on these investments are reported in Net investment income on the Condensed Statements of Operations.

Unrealized Capital Losses

Unrealized capital losses (including non-credit impairments) in fixed maturities, including securities pledged to creditors, for Investment Grade (“IG”) and Below Investment Grade (“BIG”) securities by duration were as follows at June 30, 2011 and December 31, 2010.

	2011								2010
			% of IG				% of IG				% of IG				% of IG
	IG		and BIG		BIG		and BIG		IG		and BIG		BIG		and BIG
Six months or less below amortized cost	$	47.5	15.4	%	$	14.8	4.8	%	$	124.6	28.8	%	$	12.4	2.9	%
More than six months and twelve months or less below amortized cost	64.2		20.8	%	10.2		3.3	%	2.2		0.5	%	0.1		0.0	%
More than twelve months below amortized cost	95.4		30.8	%	77.1		24.9	%	124.9		28.9	%	167.9		38.9	%
Total unrealized capital losses	$	207.1	67.0	%	$	102.1	33.0	%	$	251.7	58.2	%	$	180.4	41.8	%

The following table summarizes the unrealized capital losses (including non-credit impairments) by duration and reason, along with the fair value of fixed maturities, including securities pledged to creditors, in unrealized capital loss positions at June 30, 2011 and December 31, 2010.

	Six Months		More than
	or Less		Six Months and		More than		Total
	Below		Twelve Months		Twelve Months		Unrealized
	Amortized		or Less Below		Below		Capital
	Cost		Amortized Cost		Amortized Cost		Losses
2011
Interest rate or spread widening	$	31.2	$	71.2	$	30.8	$	133.2
Mortgage and other asset-backed securities	31.1		3.2		141.7		176.0
Total unrealized capital losses	$	62.3	$	74.4	$	172.5	$	309.2
Fair value	$	3,001.6	$	1,776.0	$	999.3	$	5,776.9
2010
Interest rate or spread widening	$	128.4	$	2.1	$	39.9	$	170.4
Mortgage and other asset-backed securities	8.6		0.2		252.9		261.7
Total unrealized capital losses	$	137.0	$	2.3	$	292.8	$	432.1
Fair value	$	5,096.8	$	86.9	$	1,622.6	$	6,806.3

Unrealized capital losses (including non-credit impairments), along with the fair value of fixed maturities, including securities pledged to creditors, by market sector and duration were as follows at June 30, 2011 and December 31, 2010.

					More Than Six
					Months and Twelve				More Than Twelve
	Six Months or Less				Months or Less				Months Below
	Below Amortized Cost				Below Amortized Cost				Amortized Cost				Total
			Unrealized				Unrealized				Unrealized				Unrealized
	Fair Value		Capital Loss		Fair Value		Capital Loss		Fair Value		Capital Loss		Fair Value		Capital Loss
2011
U.S. Treasuries	$	747.7	$	5.4	$	—	$	—	$	—	$	—	$	747.7	$	5.4
U.S. government agencies and authorities	—		—		2.4		0.1		—		—		2.4		0.1
U.S. corporate, state, and municipalities	1,034.2		17.0		946.2		44.1		179.7		10.5		2,160.1		71.6
Foreign	483.5		8.8		634.7		27.0		168.3		20.3		1,286.5		56.1
Residential mortgage-backed	282.0		6.2		189.5		3.2		294.0		72.5		765.5		81.9
Commercial mortgage-backed	334.0		18.5		—		—		55.7		7.8		389.7		26.3
Other asset-backed	120.2		6.4		3.2		—		301.6		61.4		425.0		67.8
Total	$	3,001.6	$	62.3	$	1,776.0	$	74.4	$	999.3	$	172.5	$	5,776.9	$	309.2
2010
U.S. Treasuries	$	677.8	$	2.4	$	—	$	—	$	—	$	—	$	677.8	$	2.4
U.S. government agencies and authorities	18.1		0.2		—		—		—		—		18.1		0.2
U.S. corporate, state, and municipalities	2,494.7		73.0		37.1		1.0		258.9		19.5		2,790.7		93.5
Foreign	1,277.5		52.8		35.8		1.1		195.4		20.4		1,508.7		74.3
Residential mortgage-backed	472.6		7.2		1.0		0.1		336.5		91.2		810.1		98.5
Commercial mortgage-backed	22.6		0.4		4.3		0.1		390.2		38.6		417.1		39.1
Other asset-backed	133.5		1.0		8.7		—		441.6		123.1		583.8		124.1
Total	$	5,096.8	$	137.0	$	86.9	$	2.3	$	1,622.6	$	292.8	$	6,806.3	$	432.1

Of the unrealized capital losses aged more than twelve months, the average market value of the related fixed maturities was 85.3% of the average book value as of June 30, 2011.

Unrealized capital losses (including non-credit impairments) in fixed maturities, including securities pledged to creditors, for instances in which fair value declined below amortized cost by greater than or less than 20% for consecutive periods as indicated in the tables below, were as follows for June 30, 2011 and December 31, 2010.

	Amortized Cost				Unrealized Capital Loss				Number of Securities
	< 20%		> 20%		< 20%		> 20%		< 20%	> 20%
2011
Six months or less below amortized cost	$	3,197.0	$	86.4	$	78.2	$	21.2	303	29
More than six months and twelve months or less below amortized cost	1,910.2		22.5		80.8		6.3		239	5
More than twelve months below amortized cost	631.1		238.9		38.3		84.4		99	80
Total	$	5,738.3	$	347.8	$	197.3	$	111.9	641	114
2010
Six months or less below amortized cost	$	5,650.7	$	49.3	$	172.3	$	13.2	585	14
More than six months and twelve months or less below amortized cost	289.5		18.9		15.9		4.8		46	3
More than twelve months below amortized cost	688.7		541.3		40.6		185.3		95	137
Total	$	6,628.9	$	609.5	$	228.8	$	203.3	726	154

Unrealized capital losses (including non-credit impairments) in fixed maturities, including securities pledged to creditors, by market sector for instances in which fair value declined below amortized cost by greater than or less than 20% for consecutive periods as indicated in the tables below, were as follows for June 30, 2011 and December 31, 2010.

	Amortized Cost				Unrealized Capital Loss				Number of Securities
	< 20%		> 20%		< 20%		> 20%		< 20%	> 20%
2011
U.S. Treasuries	$	753.1	$	—	$	5.4	$	—	3	—
U.S. government agencies and authorities	2.5		—		0.1		—		1	—
U.S. corporate, state and municipalities	2,215.9		15.8		67.1		4.5		225	2
Foreign	1,300.3		42.3		46.4		9.7		131	7
Residential mortgage-backed	694.5		152.9		31.7		50.2		120	72
Commercial mortgage-backed	405.3		10.7		23.0		3.3		23	2
Other asset-backed	366.7		126.1		23.6		44.2		138	31
Total	$	5,738.3	$	347.8	$	197.3	$	111.9	641	114
2010
U.S. Treasuries	$	680.2	$	—	$	2.4	$	—	2	—
U.S. government agencies and authorities	18.3		—		0.2		—		2	—
U.S. corporate, state and municipalities	2,850.0		34.2		84.1		9.4		279	6
Foreign	1,563.7		19.3		69.2		5.1		142	7
Residential mortgage-backed	636.6		272.0		22.1		76.4		121	77
Commercial mortgage-backed	418.6		37.6		22.1		17.0		27	9
Other asset-backed	461.5		246.4		28.7		95.4		153	55
Total	$	6,628.9	$	609.5	$	228.8	$	203.3	726	154

At June 30, 2011, the Company held no fixed maturities with an unrealized capital loss in excess of $10.0.  At December 31, 2010, the Company held 1 fixed maturity with an unrealized capital loss in excess of $10.0. The unrealized capital loss on this fixed maturity equaled $17.8, or 4.1% of the total unrealized capital losses, as of December 31, 2010.

All investments with fair values less than amortized cost are included in the Company’s other-than-temporary impairment analysis, and impairments were recognized as disclosed in Other-Than-Temporary Impairments (“OTTI”), which follows this section. After detailed impairment analysis was completed, management determined that the remaining investments in an unrealized loss position were not other-than-temporarily impaired, and therefore no further other-than-temporary impairment was necessary.

Other-Than-Temporary Impairments

The Company analyzes its general account investments to determine whether there has been an other-than-temporary decline in fair value below the amortized cost basis. Factors considered in this analysis include, but are not limited to, the length of time and the extent to which the fair value has been less than amortized cost, the issuer’s financial condition and near-term prospects, future economic conditions and market forecasts, interest rate changes, and changes in ratings of the security.

When assessing the Company’s intent to sell a security or if it is more likely than not it will be required to sell a security before recovery of its amortized cost basis, management evaluates facts and circumstances such as, but not limited to, decisions to rebalance the investment portfolio and sales of investments to meet cash flow needs.

When the Company has determined it has the intent to sell or if it is more likely than not that it will be required to sell a security before recovery of its amortized cost basis and the fair value has declined below amortized cost (“intent impairment”) the individual security is written down from amortized cost to fair value and a corresponding charge is recorded in Net realized capital gains (losses) on the Condensed Statements of Operations as an OTTI.  If the Company does not intend to sell the security nor is it more likely than not it will be required to sell the security before recovery of its amortized cost basis, but the Company has determined that there has been an other-than-temporary decline in fair value below the amortized cost basis, the OTTI is bifurcated into the amount representing the present value of the decrease in cash flows expected to be collected (“credit impairment”) and the amount related to other factors (“noncredit impairment”).  The credit impairment is recorded in Net realized capital gains (losses) on the Condensed Statements of Operations. The noncredit impairment is recorded in Other comprehensive income (loss) on the Condensed Balance Sheets.

In order to determine the amount of the OTTI that is considered a credit impairment, the Company utilizes the following methodology and significant inputs:

·Recovery value is estimated by performing a discounted cash flow analysis based upon the best estimate of expected future cash flows, discounted at the effective interest rate implicit in the underlying debt security.  The effective interest rate is the current yield prior to impairment for a fixed rate security or current coupon yield for a floating rate security.

·Collectability and recoverability are estimated using the same considerations as the Company uses in its overall impairment analysis which includes, but is not limited to, the length of time and the extent to which the fair value has been less than amortized cost, the issuer’s financial condition and near-term prospects, future economic conditions and market forecasts, interest rate changes, and changes in ratings of the security.

·Additional factors considered for structured securities such as Residential Mortgage-backed Securities (“RMBS”), Commercial Mortgage-backed Securities (“CMBS”) and other Asset-backed Securities (“ABS”) include, but are not limited to, quality of underlying collateral, anticipated loss severities, third party guarantors, collateral default rates, and other collateral characteristics such as vintage, repayment terms, and the geographical makeup of the collateral.

The following tables identify the Company’s credit-related and intent-related impairments included in the Condensed Statements of Operations, excluding noncredit impairments included in Accumulated other comprehensive income (loss), by type for the three and six months ended June 30, 2011 and 2010.

	Three Months Ended June 30,
	2011			2010
			No. of				No. of
	Impairment		Securities	Impairment			Securities
U.S. corporate	$	1.2	1	$	2.4		12
Foreign(1)	1.2		4	10.9			13
Residential mortgage-backed	2.4		39	6.0			51
Commercial mortgage-backed	9.2		10	6.2			2
Other asset-backed	9.5		28	11.7			19
Equity securities	—		—	—		*	1
Public utilities	—		—	0.1			2
Mortgage loans on real estate	0.3		1	0.3			1
Total	$	23.8	83	$	37.6		101

(1) Primarily U.S. dollar denominated.

* Less than $0.1.

	Six Months Ended June 30,
	2011			2010
			No. of				No. of
	Impairment		Securities	Impairment			Securities
U.S. corporate	$	3.1	4	$	3.7		17
Foreign(1)	4.0		12	22.8			19
Residential mortgage-backed	2.9		41	12.5			54
Commercial mortgage-backed	10.4		10	8.3			2
Other asset-backed	63.2		51	15.1			24
Equity securities	—		—	—		*	1
Public utilities	—		—	0.3			5
Mortgage loans on real estate	2.3		3	0.5			1
Total	$	85.9	121	$	63.2		123

(1) Primarily U.S. dollar denominated.

* Less than $0.1.

The above tables include $2.8 and $9.5 for the three and six months ended June 30, 2011, respectively, and $24.0 and $46.4 for the three and six months ended June 30, 2010, respectively, in other-than-temporary write-downs related to credit impairments, which are recognized in earnings. The remaining write-downs are related to intent impairments. The following tables summarize these intent impairments, which are also recognized in earnings, by type for the three and six months ended June 30, 2011 and 2010.

	Three Months Ended June 30,
	2011			2010
			No. of			No. of
	Impairment		Securities	Impairment		Securities
U.S. corporate	$	1.2	1	$	2.4	12
Foreign(1)	1.1		1	10.8		13
Commercial mortgage-backed	9.2		10	—		—
Other asset-backed	9.5		28	0.3		1
Public utilities	—		—	0.1		2
Total	$	21.0	40	$	13.6	28

(1) Primarily U.S. dollar denominated.

	Six Months Ended June 30,
	2011			2010
			No. of			No. of
	Impairment		Securities	Impairment		Securities
U.S. corporate	$	3.1	4	$	3.7	17
Foreign(1)	2.4		9	12.5		16
Commercial mortgage-backed	9.2		10	—		—
Other asset-backed	61.7		51	0.3		1
Public utilities	—		—	0.3		5
Total	$	76.4	74	$	16.8	39

(1) Primarily U.S. dollar denominated.

The Company may sell securities during the period in which fair value has declined below amortized cost for fixed maturities or cost for equity securities. In certain situations, new factors, including changes in the business environment, can change the Company’s previous intent to continue holding a security.

The fair value of fixed maturities with other-than-temporary impairments as of June 30, 2011 and 2010 was $2.2 billion and $2.5 billion, respectively.

The following tables identify the amount of credit impairments on fixed maturities for the three and six months ended June 30, 2011 and 2010, for which a portion of the OTTI was recognized in Accumulated other comprehensive income (loss), and the corresponding changes in such amounts.

	Three Months Ended June 30,
	2011			2010
Balance at April 1	$	112.8		$	117.5
Additional credit impairments:
On securities not previously impaired	0.1			3.8
On securities previously impaired	2.4			9.6
Reductions:
Intent impairments	(0.6		)	—
Securities sold, matured, prepaid or paid down	(22.1		)	(6.9		)
Balance at June 30	$	92.6		$	124.0

	Six Months Ended June 30,
	2011			2010
Balance at January 1	$	136.5		$	123.3
Additional credit impairments:
On securities not previously impaired	0.5			8.2
On securities previously impaired	4.2			4.9
Reductions:
Intent impairments	(16.9		)	—
Securities sold, matured, prepaid or paid down	(31.7		)	(12.4		)
Balance at June 30	$	92.6		$	124.0

Net Realized Capital Gains (Losses)

Net realized capital gains (losses) are comprised of the difference between the amortized cost of investments and proceeds from sale, and redemption, as well as losses incurred due to credit-related and intent-related other-than-temporary impairment of investments and changes in fair value of fixed maturities accounted for using the fair value option and derivatives. The cost of the investments on disposal is determined based on first-in-first-out (“FIFO”) methodology. Net realized capital gains (losses) on investments were as follows for the three and six months ended June 30, 2011 and 2010.

	Three Months Ended June 30,
	2011			2010
Fixed maturities, available-for-sale	$	36.2		$	(13.5	)
Fixed maturities, at fair value using the fair value option	(3.8		)	(8.1		)
Equity securities, available-for-sale	(0.1		)	2.2
Derivatives	98.0			640.5
Other investments	—			1.4
Net realized capital gains	$	130.3		$	622.5
After-tax net realized capital gains	$	109.7		$	404.4

	Six Months Ended June 30,
	2011			2010
Fixed maturities, available-for-sale	$	(10.5	)	$	5.8
Fixed maturities, at fair value using the fair value option	(8.2		)	(8.3		)
Equity securities, available-for-sale	1.2			2.3
Derivatives	(249.9		)	357.0
Other investments	(2.3		)	3.7
Net realized capital (losses) gains	$	(269.7	)	$	360.5
After-tax net realized capital (losses) gains	$	(165.3	)	$	234.4

Proceeds from the sale of fixed maturities and equity securities and the related gross realized gains and losses were as follows for the six months ended June 30, 2011 and 2010.

	2011		2010
Proceeds on sales	$	2,136.9	$	2,536.7
Gross gains	83.8		81.9
Gross losses	9.9		9.2