Investments

9 Months Ended

Sep. 30, 2012

Investments, Debt and Equity Securities [Abstract]

Investments

Fixed Maturities and Equity Securities

Available-for-sale and fair value option ("FVO") fixed maturities and equity securities were as follows as of September 30, 2012:

	Amortized Cost		Gross Unrealized Capital Gains		Gross Unrealized Capital Losses		Embedded Derivatives(2)		Fair Value		OTTI(3)
Fixed maturities:
U.S. Treasuries	$	927.8	$	148.2	$	—	$	—	$	1,076.0	$	—
U.S. government agencies and authorities	379.2		21.5		—		—		400.7		—
State, municipalities and political subdivisions	77.2		14.1		—		—		91.3		—
U.S. corporate securities	8,901.7		1,169.8		11.0		—		10,060.5		—
Foreign securities(1):
Government	435.7		50.7		1.1		—		485.3		—
Other	4,427.5		497.6		18.6		—		4,906.5		—
Total foreign securities	4,863.2		548.3		19.7		—		5,391.8		—
Residential mortgage-backed securities:
Agency	1,794.7		200.1		3.6		34.0		2,025.2		0.6
Non-Agency	418.3		71.8		18.5		20.9		492.5		19.0
Total Residential mortgage-backed securities	2,213.0		271.9		22.1		54.9		2,517.7		19.6
Commercial mortgage-backed securities	786.8		84.6		0.2		—		871.2		4.4
Other asset-backed securities	477.7		26.0		10.1		—		493.6		3.5
Total fixed maturities, including securities pledged	18,626.6		2,284.4		63.1		54.9		20,902.8		27.5
Less: securities pledged	201.5		13.7		1.6		—		213.6		—
Total fixed maturities	18,425.1		2,270.7		61.5		54.9		20,689.2		27.5
Equity securities	130.1		12.4		0.1		—		142.4		—
Total fixed maturities and equity securities investments	$	18,555.2	$	2,283.1	$	61.6	$	54.9	$	20,831.6	$	27.5
(1) Primarily U.S. dollar denominated.
(2) Embedded derivatives within fixed maturity securities are reported with the host investment. The changes in fair value of embedded derivatives are reported in Other net realized capital gains (losses) in the Condensed Consolidated Statements of Operations.
(3) Represents other-than-temporary impairments ("OTTI") reported as a component of Other comprehensive income.

Available-for-sale and FVO fixed maturities and equity securities were as follows as of December 31, 2011:

	Amortized Cost		Gross Unrealized Capital Gains		Gross Unrealized Capital Losses		Embedded Derivatives(2)		Fair Value		OTTI(3)
Fixed maturities:
U.S. Treasuries	$	1,096.6	$	135.0	$	—	$	—	$	1,231.6	$	—
U.S. government agencies and authorities	379.7		31.0		—		—		410.7		—
State, municipalities and political subdivisions	95.1		10.9		—		—		106.0		—
U.S. corporate securities	8,166.9		770.8		31.1		—		8,906.6		—
Foreign securities(1):
Government	308.5		39.8		3.1		—		345.2		—
Other	4,352.5		328.8		38.4		—		4,642.9		—
Total foreign securities	4,661.0		368.6		41.5		—		4,988.1		—
Residential mortgage-backed securities:
Agency	1,442.0		218.7		3.4		39.4		1,696.7		0.7
Non-Agency	513.4		66.7		49.5		19.8		550.4		28.8
Total Residential mortgage-backed securities	1,955.4		285.4		52.9		59.2		2,247.1		29.5
Commercial mortgage-backed securities	866.1		51.0		5.8		—		911.3		4.4
Other asset-backed securities	441.5		19.4		22.1		—		438.8		4.2
Total fixed maturities, including securities pledged	17,662.3		1,672.1		153.4		59.2		19,240.2		38.1
Less: securities pledged	572.5		22.4		1.2		—		593.7		—
Total fixed maturities	17,089.8		1,649.7		152.2		59.2		18,646.5		38.1
Equity securities	131.8		13.1		—		—		144.9		—
Total fixed maturities and equity securities investments	$	17,221.6	$	1,662.8	$	152.2	$	59.2	$	18,791.4	$	38.1
(1) Primarily U.S. dollar denominated.
(2) Embedded derivatives within fixed maturity securities are reported with the host investment. The changes in fair value of embedded derivatives are reported in Other net realized capital gains (losses) in the Condensed Consolidated Statements of Operations.
(3) Represents other-than-temporary impairments ("OTTI") reported as a component of Other comprehensive income.

The amortized cost and fair value of fixed maturities, including securities pledged, as of September 30, 2012, are shown below by contractual maturity. Actual maturities may differ from contractual maturities as securities may be restructured, called, or prepaid. Mortgage-backed securities ("MBS") and other asset-backed securities ("ABS") are shown separately because they are not due at a single maturity date.

	Amortized Cost		Fair Value
Due to mature:
One year or less	$	864.0	$	904.5
After one year through five years	3,786.9		4,074.0
After five years through ten years	5,248.3		5,892.1
After ten years	5,249.9		6,149.7
Mortgage-backed securities	2,999.8		3,388.9
Other asset-backed securities	477.7		493.6
Fixed maturities, including securities pledged	$	18,626.6	$	20,902.8

The investment portfolio is monitored to maintain a diversified portfolio on an ongoing basis. Credit risk is mitigated by monitoring concentrations by issuer, sector and geographic stratification and limiting exposure to any one issuer. 

As of September 30, 2012, and December 31, 2011, 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 consolidated Shareholder’s equity.

The following tables set forth the composition of the U.S. and foreign corporate securities within the fixed maturity portfolio by industry category as of September 30, 2012 and December 31, 2011:

	Amortized Cost		Gross Unrealized Capital Gains		Gross Unrealized Capital Losses		Fair Value
2012
Communications	$	1,112.1	$	166.7	$	0.4	$	1,278.4
Financial	1,768.1		224.6		12.2		1,980.5
Industrial and other companies	7,353.3		862.5		6.0		8,209.8
Utilities	2,717.0		367.4		11.0		3,073.4
Transportation	378.7		46.2		—		424.9
Total	$	13,329.2	$	1,667.4	$	29.6	$	14,967.0
2011
Communications	$	1,108.8	$	116.3	$	2.0	$	1,223.1
Financial	1,948.9		133.2		39.6		2,042.5
Industrial and other companies	6,577.6		559.0		20.7		7,115.9
Utilities	2,527.2		259.2		6.4		2,780.0
Transportation	356.9		31.9		0.8		388.0
Total	$	12,519.4	$	1,099.6	$	69.5	$	13,549.5

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 significant decreases and increases in interest rates resulting in the prepayment of principal from the underlying mortgages, either earlier or later than originally anticipated. As of September 30, 2012 and December 31, 2011, approximately 41.1% of the Company’s CMO holdings were invested in those types of CMOs, which are subject to more prepayment and extension risk than traditional CMOs such as interest-only or principal-only strips.

Certain CMOs, primarily interest-only and principal-only strips, are accounted for as hybrid instruments and valued using the FVO with changes in the fair value recorded in Other net realized capital gains (losses) in the Condensed Consolidated Statements of Operations.

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 meet the requirements to be accounted for as financing arrangements. As of September 30, 2012 and December 31, 2011, the Company did not have any securities pledged in dollar rolls and repurchase agreement transactions.

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. As of September 30, 2012 and December 31, 2011, 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.  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 domestic securities from its portfolio are loaned to other institutions for short periods of time. As of September 30, 2012 and December 31, 2011, the fair value of loaned securities was $149.4 and $515.8, respectively, and is included in Securities pledged on the Condensed Consolidated Balance Sheets. Collateral retained by the lending agent and invested in liquid assets on behalf of the Company is recorded in Short-term investments under securities loan agreement, including collateral delivered. As of September 30, 2012 and December 31, 2011, liabilities to return collateral of $150.8 and $524.8, respectively, are included in Payables under securities loan agreement, including collateral held, on the Condensed Consolidated Balance Sheets.

Variable Interest Entities ("VIEs")

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. The Company provided no non-contractual financial support and its carrying value represents the Company’s exposure to loss. The carrying value of the equity tranches of the collateralized loan obligations ("CLOs") of $1.3 and $0.9 as of September 30, 2012 and December 31, 2011, respectively, is included in Limited partnerships/corporations on the Condensed Consolidated Balance Sheets. Income and losses recognized on these investments are reported in Net investment income in the Condensed Consolidated Statements of Operations.

On June 4, 2012, the Company entered into an agreement to sell certain general account private equity limited partnership investment interest holdings ("sale of certain alternative investments") with a carrying value of $331.9 as of March 31, 2012 to a group of private equity funds that are managed by Pomona Management LLC, an affiliate of the Company. The transaction resulted in a net pretax loss of $38.7 in the second quarter of 2012 reported in Net investment income on the Condensed Consolidated Statements of Operations. The transaction closed in two tranches with the first tranche closed on June 29, 2012 and the second tranche closed on October 29, 2012. Consideration received included $23.0 of promissory notes due in two equal installments at December 31, 2013 and 2014. In connection with these promissory notes, ING U.S., Inc. unconditionally guaranteed payment of the notes in the event of any default of payments due. No additional loss was incurred on the second tranche since the fair value of the alternative investments was reduced to the agreed-upon sales price as of June 30, 2012.

Securitizations

The Company invests in various tranches of securitization entities, including Residential Mortgage-backed Securities ("RMBS"), Commercial Mortgage-backed Securities ("CMBS") and ABS. Through its investments, the Company is not obligated to provide any financial or other support to these entities. Each of the RMBS, CMBS and ABS entities are thinly capitalized by design and considered VIEs. The Company's involvement with these entities is limited to that of a passive investor. The Company has no unilateral right to appoint or remove the servicer, special servicer, or investment manager, which are generally viewed to have the power to direct the activities that most significantly impact the securitization entities' economic performance, in any of these entities, nor does the Company function in any of these roles. The Company through its investments or other arrangements does not have the obligation to absorb losses or the right to receive benefits from the entity that could potentially be significant to the entity. Therefore, the Company is not the primary beneficiary and does not consolidate any of the RMBS, CMBS and ABS entities in which it holds investments. These investments are accounted for as investments available-for-sale and unrealized capital gains (losses) on these securities are recorded directly in AOCI, except for certain RMBS which are accounted for under the FVO for which changes in fair value are reflected in Other net realized gains (losses) in the Condensed Consolidated Statements of Operations. The Company's maximum exposure to loss on these structured investments is limited to the amount of its investment.

Fixed Maturity Securities Credit Quality - Ratings

The Securities Valuation Office (“SVO”) of the NAIC evaluates the fixed maturities investments of insurers for regulatory reporting and capital assessment purposes and assigns securities to one of six credit quality categories called “NAIC designations.” An internally developed rating is used if no rating is available as permitted by the NAIC. These designations are generally similar to the credit quality designations of the NAIC acceptable rating organization (“ARO”) for marketable fixed maturities, called “rating agency designations,” except for certain structured securities as described below. NAIC designations of “1,” highest quality and “2,” high quality, include fixed maturities generally considered investment grade (i.e., rated “Baa3” or better by Moody’s or rated “BBB-” or better by S&P and Fitch). NAIC designations “3” through “6” include fixed maturities generally considered below investment grade (i.e., rated “Ba1” or lower by Moody’s or rated “BB+” or lower by S&P and Fitch).

The NAIC adopted revised designation methodologies for non-agency residential mortgage-backed securities ("RMBS"), including RMBS backed by subprime mortgage loans reported within ABS and for commercial mortgage-backed securities ("CMBS"). The NAIC's objective with the revised designation methodologies for these structured securities was to increase the accuracy in assessing expected losses and to use the improved assessment to determine a more appropriate capital requirement for such structured securities. The revised methodologies reduce regulatory reliance on rating agencies and allow for greater regulatory input into the assumptions used to estimate expected losses from such structured securities.

As a result of time lags between the funding of investments, the finalization of legal documents and the completion of the SVO filing process, the fixed maturity portfolio generally includes securities that have not yet been rated by the SVO as of each balance sheet date, such as private placements. Pending receipt of SVO ratings, the categorization of these securities by NAIC designation is based on the expected ratings indicated by internal analysis.

Information about certain of the Company's fixed maturity securities holdings, by NAIC designations is set forth in the following tables. Corresponding rating agency designation does not directly translate into NAIC designation, but represents the Company's best estimate of comparable ratings from rating agencies, including Moody's Investors Service ("Moody's"), Standard & Poor's ("S&P") and Fitch Ratings Ltd. ("Fitch"). If no rating is available from a rating agency, then an internally developed rating is used.

The fixed maturities in the Company's portfolio are generally rated by external rating agencies and, if not externally rated, are rated by the Company on a basis similar to that used by the rating agencies. Ratings are derived from three ARO ratings and are applied as follows based on the number of agency ratings received:

• when three ratings are received then the middle rating is applied;

• when two ratings are received then the lower rating is applied;

• when a single rating is received, the ARO rating is applied; and

• when ratings are unavailable then an internal rating is applied.

Unrealized Capital Losses

Unrealized capital losses (including noncredit impairments), along with the fair value of fixed maturity securities, including securities pledged, by market sector and duration were as follows as of September 30, 2012 and December 31, 2011:

	Six Months or Less Below Amortized Cost				More Than Six Months and Twelve Months or Less Below Amortized Cost				More Than Twelve Months Below Amortized Cost				Total
	Fair Value		Unrealized Capital Losses		Fair Value		Unrealized Capital Losses		Fair Value		Unrealized Capital Losses		Fair Value		Unrealized Capital Losses
2012
U.S. corporate, state and municipalities	$	134.7	$	1.9	$	43.1	$	3.6	$	38.4	$	5.5	$	216.2	$	11.0
Foreign	70.3		4.1		28.8		2.2		84.1		13.4		183.2		19.7
Residential mortgage-backed	67.9		0.4		15.3		1.5		150.9		20.2		234.1		22.1
Commercial mortgage-backed	5.0		—		—		—		3.1		0.2		8.1		0.2
Other asset-backed	12.5		—		—		—		45.6		10.1		58.1		10.1
Total	$	290.4	$	6.4	$	87.2	$	7.3	$	322.1	$	49.4	$	699.7	$	63.1
2011
U.S. corporate, state and municipalities	$	595.1	$	22.8	$	46.5	$	3.0	$	52.9	$	5.3	$	694.5	$	31.1
Foreign	435.3		19.1		49.9		4.6		169.5		17.8		654.7		41.5
Residential mortgage-backed	49.4		1.6		97.0		5.2		175.4		46.1		321.8		52.9
Commercial mortgage-backed	28.3		1.8		69.0		2.5		8.9		1.5		106.2		5.8
Other asset-backed	32.6		0.2		4.9		1.3		44.1		20.6		81.6		22.1
Total	$	1,140.7	$	45.5	$	267.3	$	16.6	$	450.8	$	91.3	$	1,858.8	$	153.4

Of the unrealized capital losses aged more than twelve months, the average market value of the related fixed maturities was 86.7% and 83.2% of the average book value as of September 30, 2012 and December 31, 2011, respectively.

Unrealized capital losses (including noncredit impairments) in fixed maturities, including securities pledged, for instances in which fair value declined below amortized cost by greater than or less than 20% for consecutive months as indicated in the tables below, were as follows as of September 30, 2012 and December 31, 2011:

	Amortized Cost				Unrealized Capital Losses				Number of Securities
	< 20%		> 20%		< 20%		> 20%		< 20%	> 20%
2012
Six months or less below amortized cost	$	360.1	$	21.8	$	14.8	$	5.5	86	13
More than six months and twelve months or less below amortized cost	101.7		5.5		6.7		2.4		48	4
More than twelve months below amortized cost	205.5		68.2		8.6		25.1		92	29
Total	$	667.3	$	95.5	$	30.1	$	33.0	226	46
2011
Six months or less below amortized cost	$	1,197.2	$	60.1	$	46.9	$	16.9	256	31
More than six months and twelve months or less below amortized cost	270.3		25.1		13.9		9.1		52	9
More than twelve months below amortized cost	355.6		103.9		26.7		39.9		129	37
Total	$	1,823.1	$	189.1	$	87.5	$	65.9	437	77

Unrealized capital losses (including noncredit impairments) in fixed maturities, including securities pledged, by market sector for instances in which fair value declined below amortized cost by greater than or less than 20% for consecutive months as indicated in the tables below, were as follows as of September 30, 2012 and December 31, 2011:

	Amortized Cost				Unrealized Capital Losses				Number of Securities
	< 20%		> 20%		< 20%		> 20%		< 20%	> 20%
2012
U.S. corporate, state and municipalities	$	221.1	$	6.1	$	7.5	$	3.5	55	2
Foreign	162.6		40.3		7.1		12.6		25	10
Residential mortgage-backed	225.3		30.9		11.4		10.7		121	26
Commercial mortgage-backed	8.3		—		0.2		—		4	—
Other asset-backed	50.0		18.2		3.9		6.2		21	8
Total	$	667.3	$	95.5	$	30.1	$	33.0	226	46
2011
U.S. corporate, state and municipalities	$	717.7	$	7.9	$	28.8	$	2.3	119	3
Foreign	670.5		25.7		31.9		9.6		122	7
Residential mortgage-backed	276.5		98.2		19.0		33.9		119	47
Commercial mortgage-backed	110.1		1.9		5.4		0.4		16	1
Other asset-backed	48.3		55.4		2.4		19.7		61	19
Total	$	1,823.1	$	189.1	$	87.5	$	65.9	437	77

All investments with fair values less than amortized cost are included in the Company’s other-than-temporary impairments analysis and impairments were recognized as disclosed in the "Evaluating Securities for Other-Than-Temporary Impairments" section below. After detailed impairment analysis was completed, the Company 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.

Subprime and Alt-A Mortgage Exposure

The Company does not originate or purchase subprime or Alt-A whole-loan mortgages. The Company does have exposure to RMBS, CMBS and ABS. Subprime lending is the origination of loans to customers with weaker credit profiles. The Company defines Alt-A Loans to include the following: residential mortgage loans to customers who have strong credit profiles but lack some elements, such as documentation to substantiate income; residential mortgage loans to borrowers that would otherwise be classified as prime but whose loan structure provides repayment options to the borrower that increase the risk of default; and any securities backed by residential mortgage collateral not clearly identifiable as prime or subprime.

The Company's exposure to subprime mortgage backed securities is primarily in the form of ABS structures collateralized by subprime residential mortgages and the majority of these holdings are included in Other ABS in the "Fixed Maturities and Equity Securities" section above. As of September 30, 2012, the fair value and gross unrealized losses related to the Company's exposure to subprime mortgage backed securities was $58.0 and $9.6, respectively, representing 0.3% of total fixed maturities, including securities pledged. As of December 31, 2011, the fair value and gross unrealized losses related to the Company's exposure to subprime mortgage backed securities were $59.1 and $21.7, respectively, representing 0.3% of total fixed maturities, including securities pledged.

The following tables summarize the Company's exposure to subprime mortgage-backed securities by credit quality using NAIC designations, ARO ratings and vintage year as of September 30, 2012 and December 31, 2011:

	% of Total Subprime Mortgage-backed Securities
	NAIC Designation			ARO Ratings			Vintage
2012
	1	77.5	%	AAA	3.3	%	2007	8.5	%
	2	9.4	%	AA	—	%	2006	5.6	%
	3	4.9	%	A	17.6	%	2005 and prior	85.9	%
	4	7.1	%	BBB	19.5	%		100.0	%
	5	—	%	BB and below	59.6	%
	6	1.1	%		100.0	%
		100.0	%
2011
	1	75.8	%	AAA	7.5	%	2007	9.1	%
	2	5.3	%	AA	—	%	2006	4.5	%
	3	9.3	%	A	13.0	%	2005 and prior	86.4	%
	4	9.4	%	BBB	33.7	%		100.0	%
	5	—	%	BB and below	45.8	%
	6	0.2	%		100.0	%
		100.0	%

The Company's exposure to Alt-A mortgages is included in Residential mortgage-backed securities in the "Fixed Maturities and Equity Securities" section above. As of September 30, 2012, the fair value and gross unrealized losses related to the Company's exposure to Alt-A RMBS aggregated to $107.4 and $12.3, respectively, representing 0.5% of total fixed maturities, including securities pledged. As of December 31, 2011, the fair value and gross unrealized losses related to the Company's exposure to Alt-A RMBS aggregated to $98.8 and $19.6, respectively, representing 0.5% of total fixed maturities, including securities pledged.

The following tables summarize the Company's exposure to Alt-A residential mortgage-backed securities by credit quality using NAIC designations, ARO ratings and vintage year as of September 30, 2012 and December 31, 2011:

	% of Total Alt-A Mortgage-backed Securities
	NAIC Designation			ARO Ratings			Vintage
2012
	1	42.0	%	AAA	0.3	%	2007	13.0	%
	2	12.0	%	AA	1.8	%	2006	29.1	%
	3	19.8	%	A	11.1	%	2005 and prior	57.9	%
	4	16.9	%	BBB	3.0	%		100.0	%
	5	8.6	%	BB and below	83.8	%
	6	0.7	%		100.0	%
		100.0	%
2011
	1	39.9	%	AAA	0.3	%	2007	12.0	%
	2	14.9	%	AA	3.1	%	2006	28.3	%
	3	14.7	%	A	13.1	%	2005 and prior	59.7	%
	4	21.1	%	BBB	4.6	%		100.0	%
	5	4.7	%	BB and below	78.9	%
	6	4.7	%		100.0	%
		100.0	%

Commercial Mortgage-backed and Other Asset-backed Securities

As of September 30, 2012 and December 31, 2011, the fair value of the Company's CMBS totaled $871.2 and $911.3, respectively, and Other ABS, excluding subprime exposure, totaled $436.9 and $381.0, respectively. As of September 30, 2012 and December 31, 2011, the gross unrealized losses related to CMBS totaled $0.2 and $5.8, respectively, and gross unrealized losses related to Other ABS, excluding subprime exposure, totaled $0.6 and $0.7, respectively. CMBS investments represent pools of commercial mortgages that are broadly diversified across property types and geographical areas.

The following tables summarize the Company's exposure to CMBS holdings by credit quality using NAIC designations, ARO ratings and vintage year as of September 30, 2012 and December 31, 2011:

	% of Total CMBS
	NAIC Designation			ARO Ratings			Vintage
2012
	1	99.4	%	AAA	56.0	%	2007	27.1	%
	2	0.5	%	AA	2.4	%	2006	19.5	%
	3	0.1	%	A	22.7	%	2005 and prior	53.4	%
	4	—	%	BBB	6.8	%		100.0	%
	5	—	%	BB and below	12.1	%
	6	—	%		100.0	%
		100.0	%
2011
	1	97.4	%	AAA	63.7	%	2007	23.4	%
	2	0.9	%	AA	1.4	%	2006	18.2	%
	3	0.7	%	A	21.1	%	2005 and prior	58.4	%
	4	1.0	%	BBB	4.0	%		100.0	%
	5	—	%	BB and below	9.8	%
	6	—	%		100.0	%
		100.0	%

As of September 30, 2012, Other ABS was also broadly diversified both by type and issuer with credit card receivables, nonconsolidated collateralized loan obligations and automobile receivables, comprising 48.4%, 5.5% and 25.0%, respectively, of total Other ABS, excluding subprime exposure. As of December 31, 2011, Other ABS was also broadly diversified both by type and issuer with credit card receivables, nonconsolidated collateralized loan obligations and automobile receivables, comprising 49.3%, 5.5% and 17.2%, respectively, of total Other ABS, excluding subprime exposure.

The following tables summarize the Company's exposure to Other ABS holdings, excluding subprime exposure, by credit quality using NAIC designations, ARO ratings and vintage year as of September 30, 2012 and December 31, 2011:

	% of Total Other ABS
	NAIC Designation			ARO Ratings			Vintage
2012
	1	98.3	%	AAA	88.4	%	2012	20.1	%
	2	1.6	%	AA	2.0	%	2011	12.3	%
	3	0.1	%	A	7.9	%	2010	5.9	%
	4	—	%	BBB	1.6	%	2009	0.3	%
	5	—	%	BB and below	0.1	%	2008	9.5	%
	6	—	%		100.0	%	2007	23.1	%
		100.0	%				2006	6.1	%
							2005 and prior	22.7	%
								100.0	%
2011
	1	95.0	%	AAA	82.7	%	2011	14.3	%
	2	4.7	%	AA	1.2	%	2010	7.3	%
	3	—	%	A	8.4	%	2009	0.4	%
	4	0.3	%	BBB	7.4	%	2008	11.7	%
	5	—	%	BB and below	0.3	%	2007	30.3	%
	6	—	%		100.0	%	2006	6.8	%
		100.0	%				2005 and prior	29.2	%
								100.0	%

Troubled Debt Restructuring

The Company invests in high quality, well performing portfolios of commercial mortgage loans and private placements. Under certain circumstances, modifications to these contracts are granted. Each modification is evaluated as to whether a troubled debt restructuring has occurred. A modification is a troubled debt restructure when the borrower is in financial difficulty and the creditor makes concessions. Generally, the types of concessions may include reducing the face amount or maturity amount of the debt as originally stated, reducing the contractual interest rate, extending the maturity date at an interest rate lower than current market interest rates and/or reducing accrued interest. The Company considers the amount, timing and extent of the concession granted in determining any impairment or changes in the specific valuation allowance recorded in connection with the troubled debt restructuring. A valuation allowance may have been recorded prior to the quarter when the loan is modified in a troubled debt restructuring. Accordingly, the carrying value (net of the specific valuation allowance) before and after modification through a troubled debt restructuring may not change significantly, or may increase if the expected recovery is higher than the pre-modification recovery assessment. As of September 30, 2012 and December 31, 2011, the Company did not have any troubled debt restructurings.

During the three and nine months ended September 30, 2012, the Company did not have any commercial mortgage loans or private placements modified in a troubled debt restructuring with a subsequent payment default.

Mortgage Loans on Real Estate

The Company's mortgage loans on real estate are all commercial mortgage loans, which are reported at amortized cost, less impairment write-downs and allowance for losses.

The following table summarizes the Company’s investment in mortgage loans as of September 30, 2012 and December 31, 2011:

	2012			2011
Commercial mortgage loans	$	2,713.9		$	2,374.8
Collective valuation allowance	(1.6		)	(1.3		)
Total net commercial mortgage loans	$	2,712.3		$	2,373.5

There were no impairments taken on the mortgage loan portfolio for the three and nine months ended September 30, 2012 and 2011, respectively.

As of September 30, 2012, all commercial mortgage loans are held-for-investment. The Company diversifies its commercial mortgage loan portfolio by geographic region and property type to reduce concentration risk.  The Company manages risk when originating commercial mortgage loans by generally lending only up to 75% of the estimated fair value of the underlying real estate.  Subsequently, the Company continuously evaluates all mortgage loans based on relevant current information including an appraisal of loan-specific credit quality, property characteristics and market trends. Loan performance is monitored on a loan-specific basis through the review of submitted appraisals, operating statements, rent revenues and annual inspection reports, among other items. This review ensures properties are performing at a consistent and acceptable level to secure the debt.

The following table summarizes the activity in the allowance for losses for all commercial mortgage loans for the nine months ended September 30, 2012 and the year ended December 31, 2011:

	2012		2011
Collective valuation allowance for losses, beginning of period	$	1.3	$	1.3
Addition to / (release of) allowance for losses	0.3		—
Collective valuation allowance for losses, end of period	$	1.6	$	1.3

The carrying values and unpaid principal balances of impaired mortgage loans were as follows as of September 30, 2012 and December 31, 2011:

	2012		2011
Impaired loans with allowances for losses	$	—	$	—
Impaired loans without allowances for losses	5.7		5.8
Subtotal	5.7		5.8
Less: Allowances for losses on impaired loans	—		—
Impaired loans, net	$	5.7	$	5.8
Unpaid principal balance of impaired loans	$	7.2	$	7.3

The following table presents information on impaired loans as of September 30, 2012 and December 31, 2011:

	2012		2011
Impaired loans, average investment during the period	$	5.8	$	7.7

There were no mortgage loans in the Company's portfolio in process of foreclosure as of September 30, 2012. There were no other loans in arrears with respect to principal and interest as of September 30, 2012.

The following tables present information on interest income recognized on impaired and restructured loans for the three and nine months ended September 30, 2012 and 2011:

	Three Months Ended September 30,
	2012		2011
Interest income recognized on impaired loans, on an accrual basis	$	0.1	$	0.1
Interest income recognized on impaired loans, on a cash basis	0.1		0.2
	Nine Months Ended September 30,
	2012		2011
Interest income recognized on impaired loans, on an accrual basis	$	0.3	$	0.5
Interest income recognized on impaired loans, on a cash basis	0.3		0.5

Loan-to-value ("LTV") and debt service coverage ("DSC") ratios are measures commonly used to assess the risk and quality of mortgage loans. The LTV ratio, calculated at time of origination, is expressed as a percentage of the amount of the loan relative to the value of the underlying property. A LTV ratio in excess of 100% indicates the unpaid loan amount exceeds the underlying collateral. The DSC ratio, based upon the most recently received financial statements, is expressed as a percentage of the amount of a property’s net income to its debt service payments. A DSC ratio of less than 1.0 indicates that property’s operations do not generate sufficient income to cover debt payments. These ratios are utilized as part of the review process described above.

The following table presents the LTV ratios as of September 30, 2012 and December 31, 2011:

	2012(1)		2011(1)
Loan-to-Value Ratio:
0% - 50%	$	529.7	$	552.4
50% - 60%	793.2		771.5
60% - 70%	1,254.5		908.2
70% - 80%	120.3		125.2
80% and above	16.2		17.5
Total Commercial mortgage loans	$	2,713.9	$	2,374.8
(1) Balances do not include allowance for mortgage loan credit losses.

The following table presents the DSC ratios as of September 30, 2012 and December 31, 2011:

	2012(1)		2011(1)
Debt Service Coverage Ratio:
Greater than 1.5x	$	1,889.8	$	1,600.1
1.25x - 1.5x	405.0		408.1
1.0x - 1.25x	338.7		286.7
Less than 1.0x	80.4		79.9
Total Commercial mortgage loans	$	2,713.9	$	2,374.8
(1) Balances do not include allowance for mortgage loan credit losses.

The Company’s policy is to recognize interest income until a loan becomes 90 days delinquent or foreclosure proceedings are commenced, at which point interest accrual is discontinued. Interest accrual is not resumed until past due payments are brought current.

All commercial mortgages are evaluated for the purpose of quantifying the level of risk. Those loans with higher risk are placed on a watch list and are closely monitored for collateral deficiency or other credit events that may lead to a potential loss of principal or interest. If the value of any mortgage loan is determined to be impaired (i.e., when it is probable that the Company will be unable to collect on all amounts due according to the contractual terms of the loan agreement), the carrying value of the mortgage loan is reduced to either the present value of expected cash flows from the loan, discounted at the loan’s original purchase yield, or fair value of the collateral.

Properties collateralizing mortgage loans are geographically dispersed throughout the United States, as well as diversified by property type, as reflected in the following tables as of September 30, 2012 and December 31, 2011:

	2012(1)				2011(1)
	Gross Carrying Value		% of Total		Gross Carrying Value		% of Total
Commercial Mortgage Loans by U.S. Region:
Pacific	$	559.0	20.7	%	$	514.7	21.7	%
South Atlantic	546.0		20.1	%	412.0		17.3	%
Middle Atlantic	326.0		12.0	%	325.9		13.7	%
East North Central	344.3		12.7	%	285.6		12.0	%
West South Central	391.0		14.4	%	358.4		15.1	%
Mountain	166.7		6.1	%	191.2		8.0	%
New England	113.3		4.2	%	94.2		4.0	%
West North Central	177.2		6.5	%	98.9		4.2	%
East South Central	90.4		3.3	%	93.9		4.0	%
Total Commercial mortgage loans	$	2,713.9	100.0	%	$	2,374.8	100.0	%
(1) Balances do not include allowance for mortgage loan credit losses.

	2012(1)				2011(1)
	Gross Carrying Value		% of Total		Gross Carrying Value		% of Total
Commercial Mortgage Loans by Property Type:
Industrial	$	1,017.6	37.5	%	$	956.4	40.3	%
Retail	671.8		24.8	%	544.7		22.9	%
Office	427.2		15.7	%	351.5		14.8	%
Apartments	297.5		11.0	%	281.7		11.9	%
Hotel/Motel	117.6		4.3	%	132.7		5.6	%
Mixed use	34.3		1.3	%	0.9		—	%
Other	147.9		5.4	%	106.9		4.5	%
Total Commercial mortgage loans	$	2,713.9	100.0	%	$	2,374.8	100.0	%
(1) Balances do not include allowance for mortgage loan credit losses.

The following table sets forth the breakdown of mortgages by year of origination as of September 30, 2012 and December 31, 2011:

	2012(1)		2011(1)
Year of Origination:
2012	$	637.0	$	—
2011	847.2		857.9
2010	124.6		161.9
2009	73.3		92.6
2008	126.4		137.2
2007	131.0		202.1
2006 and prior	774.4		923.1
Total Commercial mortgage loans	$	2,713.9	$	2,374.8
(1) Balances do not include allowance for mortgage loan credit losses.

Evaluating Securities for Other-Than-Temporary Impairments

The Company performs a regular evaluation, on a security-by-security basis, of its available-for-sale securities holdings, including fixed maturity securities and equity securities in accordance with its impairment policy in order to evaluate whether such investments are other-than-temporarily impaired.

The following tables identify the Company’s credit-related and intent-related impairments included in the Condensed Consolidated Statements of Operations, excluding impairments included in Other comprehensive income by type for the three and nine months ended September 30, 2012 and 2011:

	Three Months Ended September 30,
	2012			2011
	Impairment		No. of Securities	Impairment		No. of Securities
U.S. corporate	$	1.3	1	$	6.1	4
Foreign(1)	—		—	16.1		12
Residential mortgage-backed	2.9		23	1.9		25
Commercial mortgage-backed	—		—	13.2		5
Other asset-backed	0.4		3	2.4		6
Total	$	4.6	27	$	39.7	52
(1) Primarily U.S. dollar denominated.
	Nine Months Ended September 30,
	2012			2011
	Impairment		No. of Securities	Impairment		No. of Securities
U.S. corporate	$	1.5	2	$	10.0	5
Foreign(1)	0.8		3	19.4		20
Residential mortgage-backed	4.5		30	5.2		30
Commercial mortgage-backed	—		—	21.3		6
Other asset-backed	0.8		4	21.8		51
Total	$	7.6	39	$	77.7	112
(1) Primarily U.S. dollar denominated.

The above tables include $4.6 and $6.5 of write-downs related to credit impairments for the three and nine months ended September 30, 2012, respectively, in Other-than-temporary impairments, which are recognized in the Condensed Consolidated Statements of Operations. The Company did not have any write-downs related to intent impairments for the three months ended September 30, 2012. For the nine months ended September 30, 2012, the remaining $1.1 in write-downs are related to intent impairments.

The above tables include $4.0 and $10.4 of write-downs related to credit impairments for the three and nine months ended September 30, 2011, respectively, in Other-than-temporary impairments, which are recognized in the Condensed Consolidated Statements of Operations. The remaining $35.7 and $67.3 in write-downs for the three and nine months ended September 30, 2011, respectively, are related to intent impairments.

The following tables summarize these intent impairments, which are also recognized in earnings, by type for the three and nine months ended September 30, 2012 and 2011:

	Three Months Ended September 30,
	2012			2011
	Impairment		No. of Securities	Impairment			No. of Securities
U.S. corporate	$	—	—	$	6.1		4
Foreign(1)	—		—	14.2			10
Residential mortgage-backed	—		—	—		*	3
Commercial mortgage-backed	—		—	13.2			5
Other asset-backed	—		—	2.2			4
Total	$	—	—	$	35.7		26
(1) Primarily U.S. dollar denominated.
* Less than $0.1.
	Nine Months Ended September 30,
	2012			2011
	Impairment		No. of Securities	Impairment			No. of Securities
U.S. corporate	$	0.2	1	$	10.0		5
Foreign(1)	0.8		3	15.4			17
Residential mortgage-backed	—		—	0.1			4
Commercial mortgage-backed	—		—	21.3			6
Other asset-backed	0.1		1	20.5			43
Total	$	1.1	5	$	67.3		75
(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. Accordingly, these factors may lead the Company to record additional intent related capital losses.

The fair value of fixed maturities with OTTI as of September 30, 2012 and December 31, 2011 was $1.2 billion and $1.9 billion, respectively.

The following tables identify the amount of credit impairments on fixed maturities for which a portion of the OTTI loss was recognized in Other comprehensive income (loss) and the corresponding changes in such amounts for the three and nine months ended September 30, 2012 and 2011:

	Three Months Ended September 30,
	2012			2011
Balance at July 1	$	20.0		$	31.2
Additional credit impairments:
On securities not previously impaired	—			0.3
On securities previously impaired	3.1			1.7
Reductions:
Securities intent impaired	—			—
Securities sold, matured, prepaid or paid down	(2.5		)	(15.1		)
Balance at September 30	$	20.6		$	18.1
	Nine Months Ended September 30,
	2012			2011
Balance at January 1	$	19.5		$	50.7
Additional credit impairments:
On securities not previously impaired	0.1			0.6
On securities previously impaired	4.8			5.1
Reductions:
Securities intent impaired	—			(8.6		)
Securities sold, matured, prepaid or paid down	(3.8		)	(29.7		)
Balance at September 30	$	20.6		$	18.1

Net Investment Income

The Company uses the equity method of accounting for investments in limited partnership interests that are not consolidated. This asset group consists primarily of private equities, hedge funds and certain VIEs. The Company records its share of earnings using a lag methodology, relying upon the most recent financial information available, generally not to exceed three months, where the contractual right exists to receive such financial information on a timely basis. The Company's equity in earnings from limited partnership interests accounted for under the equity method is recorded in Net investment income.

The following tables summarize Net investment income for the three and nine months ended September 30, 2012 and 2011:

	Three Months Ended September 30,
	2012			2011
Fixed maturities	$	308.2		$	297.8
Equity securities, available-for-sale	2.6			3.2
Mortgage loans on real estate	35.0			30.7
Policy loans	3.3			3.8
Short-term investments and cash equivalents	0.3			0.4
Other	6.3			12.7
Gross investment income	355.7			348.6
Less: Investment expenses	(11.0		)	(11.9		)
Net investment income	$	344.7		$	336.7
	Nine Months Ended September 30,
	2012			2011
Fixed maturities	$	916.2		$	910.4
Equity securities, available-for-sale	6.7			11.7
Mortgage loans on real estate	106.1			86.3
Policy loans	9.9			10.3
Short-term investments and cash equivalents	0.8			1.1
Other	2.9			74.0
Gross investment income	1,042.6			1,093.8
Less: Investment expenses	(34.0		)	(33.4		)
Net investment income	$	1,008.6		$	1,060.4

As of September 30, 2012 and December 31, 2011, the Company did not have any investments in fixed maturities which produced no investment income. Fixed maturities are moved to a non-accrual status immediately when the investment defaults.

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 the credit-related and intent-related other-than-temporary impairment of investments. Realized investment gains and losses are also primarily generated from changes in fair value of embedded derivatives within product guarantees and fixed maturities, changes in fair value of fixed maturities recorded at FVO and changes in fair value including accruals on derivative instruments, except for effective cash flow hedges. The cost of the investments on disposal is generally determined based on first-in-first-out ("FIFO") methodology.

Net realized capital gains (losses) were as follows for the three and nine months ended September 30, 2012 and 2011:

	Three Months Ended September 30,
	2012			2011
Fixed maturities, available-for-sale, including securities pledged	$	1.5		$	22.3
Fixed maturities, at fair value option	(31.7		)	(25.3		)
Equity securities, available-for-sale	(0.2		)	3.0
Derivatives	(12.7		)	(28.5		)
Embedded derivative - fixed maturities	(4.1		)	10.7
Embedded derivative - product guarantees	21.3			(148.8		)
Other investments	0.2			1.1
Net realized capital gains (losses)	$	(25.7	)	$	(165.5	)
After-tax net realized capital gains (losses)	$	(6.7	)	$	(33.7	)
	Nine Months Ended September 30,
	2012			2011
Fixed maturities, available-for-sale, including securities pledged	$	58.8		$	94.5
Fixed maturities, at fair value option	(78.0		)	(29.0		)
Equity securities, available-for-sale	(0.2		)	5.7
Derivatives	13.5			(68.4		)
Embedded derivative - fixed maturities	(4.3		)	9.1
Embedded derivative - product guarantees	110.8			(151.9		)
Other investments	(0.2		)	10.0
Net realized capital gains (losses)	$	100.4		$	(130.0	)
After-tax net realized capital gains (losses)	$	65.3		$	(23.5	)

Proceeds from the sale of fixed maturities and equity securities, available-for-sale and the related gross realized gains and losses, before tax were as follows for the nine months ended September 30, 2012 and 2011:

	Nine Months Ended September 30,
	2012		2011
Proceeds on sales	$	2,261.4	$	4,262.5
Gross gains	77.4		198.3
Gross losses	10.9		28.0