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Fair Value Measurements (Tables)
 9 Months Ended
Sep. 30, 2012
Fair Value, Assets and Liabilities Measured on Recurring Basis [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
$
1,022.5

 
$
53.5

 
$
—

 
$
1,076.0

U.S. government agencies and authorities
—

 
400.7

 
—

 
400.7

U.S. corporate, state and municipalities
—

 
9,995.0

 
156.8

 
10,151.8

Foreign(1)
—

 
5,357.0

 
34.8

 
5,391.8

Residential mortgage-backed securities
—

 
2,511.1

 
6.6

 
2,517.7

Commercial mortgage-backed securities
—

 
871.2

 
—

 
871.2

Other asset-backed securities
—

 
451.0

 
42.6

 
493.6

Total fixed maturities, including securities pledged
1,022.5

 
19,639.5

 
240.8

 
20,902.8

Equity securities, available-for-sale
125.4

 
—

 
17.0

 
142.4

Derivatives:


 


 


 
 
Interest rate contracts
10.4

 
530.1

 
—

 
540.5

Foreign exchange contracts
—

 
0.4

 
—

 
0.4

Credit contracts
—

 
2.8

 
—

 
2.8

Cash and cash equivalents, short-term investments and short-term investments under securities loan agreements
866.7

 
—

 
—

 
866.7

Assets held in separate accounts
46,928.2

 
4,671.0

 
8.5

 
51,607.7

Total assets
$
48,953.2

 
$
24,843.8

 
$
266.3

 
$
74,063.3

 
 
 
 
 
 
 
 
Liabilities:
 
 
 
 
 
 
 
Product guarantees:
 
 
 
 
 
 
 
Stabilizer and MCGs
$
—

 
$
—

 
$
113.0

 
$
113.0

FIA
—

 
—

 
17.5

 
17.5

Derivatives:
 
 
 
 
 
 
 
Interest rate contracts
—

 
346.4

 
—

 
346.4

Foreign exchange contracts
—

 
32.9

 
—

 
32.9

Equity contracts
0.1

 
—

 
—

 
0.1

Credit contracts
—

 
0.6

 
—

 
0.6

Total liabilities
$
0.1

 
$
379.9

 
$
130.5

 
$
510.5

(1) Primarily U.S. dollar denominated.

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
 
Level 1
 
Level 2
 
Level 3
 
Total
Assets:
 
 
 
 
 
 
 
Fixed maturities, including securities pledged:
 
 
 
 
 
 
 
U.S. Treasuries
$
1,180.3

 
$
51.3

 
$
—

 
$
1,231.6

U.S. government agencies and authorities
—

 
410.7

 
—

 
410.7

U.S. corporate, state and municipalities
—

 
8,883.5

 
129.1

 
9,012.6

Foreign(1)
—

 
4,937.0

 
51.1

 
4,988.1

Residential mortgage-backed securities
—

 
2,206.1

 
41.0

 
2,247.1

Commercial mortgage-backed securities
—

 
911.3

 
—

 
911.3

Other asset-backed securities
—

 
411.1

 
27.7

 
438.8

Total fixed maturities, including securities pledged
1,180.3

 
17,811.0

 
248.9

 
19,240.2

Equity securities, available-for-sale
125.9

 
—

 
19.0

 
144.9

Derivatives:
 
 
 
 
 
 
 
Interest rate contracts
5.7

 
437.6

 
—

 
443.3

Foreign exchange contracts
—

 
0.7

 
—

 
0.7

Credit contracts
—

 
2.6

 
—

 
2.6

Cash and cash equivalents, short-term investments and short-term investments under securities loan agreements
953.9

 
4.8

 
—

 
958.7

Assets held in separate accounts
40,556.8

 
4,722.3

 
16.1

 
45,295.2

Total assets
$
42,822.6

 
$
22,979.0

 
$
284.0

 
$
66,085.6

 
 
 
 
 
 
 
 
Liabilities:
 
 
 
 
 
 
 
Product guarantees:
 
 
 
 
 
 
 
Stabilizers and MCGs
$
—

 
$
—

 
$
221.0

 
$
221.0

FIA
—

 
—

 
16.3

 
16.3

Derivatives:
 
 
 
 
 
 
 
Interest rate contracts
—

 
306.4

 
—

 
306.4

Foreign exchange contracts
—

 
32.4

 
—

 
32.4

Credit contracts
—

 
8.6

 
12.7

 
21.3

Total liabilities
$
—

 
$
347.4

 
$
250.0

 
$
597.4
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
$
151.6

 
$
—

 
$
2.0

 
$
—

 
$
—

 
$
—

 
$
(0.9
)
 
$
4.1

 
$
—

 
$
156.8

 
$
—

Foreign
19.4

 
—

 
(3.6
)
 
—

 
—

 
—

 
(2.5
)
 
21.5

 
—

 
34.8

 
—

Residential mortgage-backed securities
6.0

 
(0.1
)
 
(0.5
)
 
—

 
—

 
—

 
(0.1
)
 
1.3

 
—

 
6.6

 
(0.1
)
Other asset-backed securities
30.1

 
0.4

 
1.3

 
10.0

 
—

 
—

 
(0.4
)
 
1.2

 
—

 
42.6

 
0.4

Total fixed maturities, including securities pledged
207.1

 
0.3

 
(0.8
)
 
10.0

 
—

 
—

 
(3.9
)
 
28.1

 
—

 
240.8

 
0.3

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Equity securities, available-for-sale
18.5

 
(0.2
)
 
—

 
—

 
—

 
(1.3
)
 
—

 
—

 
—

 
17.0

 
—

Derivatives, net
—

 
—

 
—

 
—

 
—

 
—

 
—

 
—

 
—

 
—

 
—

Product guarantees:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Stabilizer and MCGs
(133.0
)
 
21.2

(1) 
—

 
(1.2
)
 
—

 
—

 
—

 
—

 
—

 
(113.0
)
 
—

FIA
(17.6
)
 
0.1

(1) 
—

 
—

 
—

 
—

 
—

 
—

 
—

 
(17.5
)
 
—

Separate Accounts(4)
8.7

 
0.3

 
—

 
0.1

 
—

 
(2.0
)
 
—

 
1.4

 
—

 
8.5

 
0.2

(1) All gains and losses on Level 3 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 Consolidated 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 Consolidated Statements of Operations.
(4) The investment income and realized gains (losses) and change in unrealized gains (losses) included in net income (loss) for separate account assets are offset by an equal amount for separate account liabilities, which result in a net zero impact on net income (loss) for the Company.
 
 
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
$
129.1

 
$
(0.2
)
 
$
(1.2
)
 
$
7.2

 
$
—

 
$
—

 
$
(7.2
)
 
$
32.7

 
$
(3.6
)
 
$
156.8

 
$
(0.2
)
Foreign
51.1

 
0.9

 
(4.0
)
 
—

 
—

 
(5.7
)
 
(2.5
)
 
20.7

 
(25.7
)
 
34.8

 
—

Residential mortgage-backed securities
41.0

 
0.7

 
1.3

 
—

 
—

 
(6.0
)
 
(0.1
)
 
—

 
(30.3
)
 
6.6

 
(0.3
)
Other asset-backed securities
27.7

 
0.8

 
1.8

 
10.0

 
—

 
—

 
(1.6
)
 
3.9

 
—

 
42.6

 
0.8

Total fixed maturities, including securities pledged
248.9

 
2.2

 
(2.1
)
 
17.2

 
—

 
(11.7
)
 
(11.4
)
 
57.3

 
(59.6
)
 
240.8

 
0.3

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Equity securities, available-for-sale
19.0

 
(0.2
)
 
(0.1
)
 
0.7

 
—

 
(2.4
)
 
—

 
—

 
—

 
17.0

 
—

Derivatives, net
(12.7
)
 
(1.7
)
 
—

 
—

 
—

 
—

 
14.4

 
—

 
—

 
—

 
—

Product guarantees:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Stabilizer and MCGs
(221.0
)
 
112.0

(1) 
—

 
(4.0
)
 
—

 
—

 
—

 
—

 
—

 
(113.0
)
 
—

FIA
(16.3
)
 
(1.2
)
(1) 
—

 
—

 
—

 
—

 
—

 
—

 
—

 
(17.5
)
 
—

Separate Accounts(4)
16.1

 
0.7

 
—

 
0.1

 
—

 
(10.0
)
 
—

 
1.6

 
—

 
8.5

 
0.9

(1) All gains and losses on Level 3 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 Consolidated 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 Consolidated Statements of Operations.
(4) The investment income and realized gains (losses) and change in unrealized gains (losses) included in net income (loss) for separate account assets are offset by an equal amount for separate account liabilities, which result in a net zero impact on net income (loss) for the Company.

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
 
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
$
133.5

 
$
—

 
$
3.2

 
$
—

 
$
(0.5
)
 
$
—

 
$
—

 
$
136.2

 
$
—

Foreign
24.9

 
—

 
(0.4
)
 
—

 
(1.6
)
 
—

 
(2.7
)
 
20.2

 
—

Residential mortgage-backed securities
12.3

 
(0.3
)
 
0.1

 
—

 
(0.1
)
 
—

 
—

 
12.0

 
(0.3
)
Other asset-backed securities
49.1

 
(1.7
)
 
(0.5
)
 
—

 
(7.9
)
 
—

 
(1.3
)
 
37.7

 
(2.1
)
Total fixed maturities, including securities pledged
219.8

 
(2.0
)
 
2.4

 
—

 
(10.1
)
 
—

 
(4.0
)
 
206.1

 
(2.4
)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Equity securities, available-for-sale
21.7

 
—

 
—

 
0.2

 
(2.9
)
 
—

 
—

 
19.0

 
—

Derivatives, net
(9.7
)
 
(6.2
)
 
—

 
0.3

 
—

 
—

 
—

 
(15.6
)
 
(6.2
)
Product guarantees:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Stabilizer and MCGs
(2.5
)
 
(146.8
)
(1) 
—

 
(1.5
)
 
—

 
—

 
—

 
(150.8
)
 
—

FIA
(11.8
)
 
(2.0
)
(1) 
—

 
—

 
—

 
—

 
—

 
(13.8
)
 
—

Separate Accounts(4)
13.5

 
(0.6
)
 
—

 
7.7

 
(0.4
)
 
—

 
(5.9
)
 
14.3

 
(0.7
)
(1) All gains and losses on Level 3 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 Consolidated 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 Consolidated Statements of Operations.
(4) The investment income and realized gains (losses) and change in unrealized gains (losses) included in net income (loss) for separate account assets are offset by an equal amount for separate account liabilities, which result in a net zero impact on net income (loss) for the Company.
 
 
Nine Months Ended September 30, 2011
 
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
$
11.2

 
$
—

 
$
6.4

 
$
13.9

 
$
(16.0
)
 
$
120.7

 
$
—

 
$
136.2

 
$
—

Foreign
11.4

 
0.7

 
(1.2
)
 
—

 
(8.8
)
 
22.3

 
(4.2
)
 
20.2

 
—

Residential mortgage-backed securities
254.7

 
(2.9
)
 
2.4

 
3.0

 
(15.8
)
 
—

 
(229.4
)
 
12.0

 
(0.7
)
Other asset-backed securities
247.7

 
(28.3
)
 
16.6

 
—

 
(127.7
)
 
1.5

 
(72.1
)
 
37.7

 
(3.7
)
Total fixed maturities, including securities pledged
525.0

 
(30.5
)
 
24.2

 
16.9

 
(168.3
)
 
144.5

 
(305.7
)
 
206.1

 
(4.4
)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Equity securities, available-for-sale
27.7

 
0.1

 
0.1

 
4.2

 
(4.2
)
 
—

 
(8.9
)
 
19.0

 
—

Derivatives, net
(13.6
)
 
(2.2
)
 
—

 
0.2

 
—

 
—

 
—

 
(15.6
)
 
(2.3
)
Product guarantees:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Stabilizer and MCGs
(3.0
)
 
(143.7
)
(1) 
—

 
(4.1
)
 
—

 
—

 
—

 
(150.8
)
 
—

FIA
(5.6
)
 
(8.2
)
(1) 
—

 
—

 
—

 
—

 
—

 
(13.8
)
 
—

Separate Accounts(4)
22.3

 
(0.1
)
 
—

 
7.8

 
(3.1
)
 
—

 
(12.6
)
 
14.3

 
—

(1) All gains and losses on Level 3 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 Consolidated 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 Consolidated Statements of Operations.
(4) The investment income and realized gains (losses) and change in unrealized gains (losses) included in net income (loss) for separate account assets are offset by an equal amount for separate account liabilities, which result in a net zero impact on net income (loss) for the Company.
Fair Value Inputs, Assets, Quantitative Information
The following table presents the unobservable inputs for Level 3 fair value measurements as of September 30, 2012:

 
 
Range(1)
Unobservable Input
 
FIA
 
Stabilizer / MCG
Interest rate implied volatility
 
-
 
0% to 4%
Nonperformance risk
 
0.25% to 3.5%
 
0.25% to 3.5%
Policyholder Behavior Assumptions:
 
 
 
 
Lapses
 
0% to 10%
 
0% to 55%
Policyholder deposits(2)
 
-
 
0% to 20%
(1) Represents the range of reasonable assumptions that management has used in its fair value calculations.
(2) Measured as a percentage of assets under management or assets under administration.
Fair Value, by Balance Sheet Grouping
The 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
 
Carrying
Value
 
Fair
Value
 
Carrying
Value
 
Fair
Value
Assets:
 
 
 
 
 
 
 
Fixed maturities, including securities pledged
$
20,318.6

 
$
20,318.6

 
$
18,728.3

 
$
18,728.3

Fixed maturities, at fair value using the fair value option
584.2

 
584.2

 
511.9

 
511.9

Equity securities, available-for-sale
142.4

 
142.4

 
144.9

 
144.9

Mortgage loans on real estate
2,712.3

 
2,802.9

 
2,373.5

 
2,423.1

Loan - Dutch State obligation
353.9

 
354.5

 
417.0

 
421.9

Policy loans
242.5

 
242.5

 
245.9

 
245.9

Limited partnerships/corporations
369.7

 
369.7

 
510.6

 
510.6

Cash, cash equivalents, short-term investments and short-term investments under securities loan agreements
866.7

 
866.7

 
958.7

 
958.7

Derivatives
543.7

 
543.7

 
446.6

 
446.6

Notes receivable from affiliates
175.0

 
185.1

 
175.0

 
165.2

Assets held in separate accounts
51,607.7

 
51,607.7

 
45,295.2

 
45,295.2

Liabilities:
 
 
 
 
 
 
 
Investment contract liabilities:
 
 
 
 
 
 
 
Without a fixed maturity
19,311.6

 
23,582.6

 
18,410.4

 
21,739.8

With a fixed maturity
1,099.7

 
1,253.6

 
1,222.4

 
1,369.1

Product guarantees:
 
 
 
 
 
 
 
Stabilizer and MCGs
113.0

 
113.0

 
221.0

 
221.0

FIA
17.5

 
17.5

 
16.3

 
16.3

Derivatives
380.0

 
380.0

 
360.0

 
360.0