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Investments (Tables)
12 Months Ended
Dec. 31, 2012
Available-for-sale Securities Including Securities Pledged [Line Items]  
Marketable Securities
Available-for-sale and fair value option ("FVO") fixed maturities and equity securities were as follows as of December 31, 2012:
 
Amortized
Cost
 
Gross
Unrealized
Capital
Gains
 
Gross
Unrealized
Capital
Losses
 
Embedded Derivatives(2)
 
Fair
Value
 
OTTI(3)
Fixed maturities:
 
 
 
 
 
 
 
 
 
 
 
U.S. Treasuries
$
1,011.5

 
$
135.6

 
$
0.5

 
$
—

 
$
1,146.6

 
$
—

U.S. government agencies and authorities
379.4

 
17.6

 
—

 
—

 
397.0

 
—

State, municipalities and political subdivisions
77.2

 
15.9

 
—

 
—

 
93.1

 
—

U.S. corporate securities
9,438.0

 
1,147.4

 
11.1

 
—

 
10,574.3

 
2.0

 
 
 
 
 
 
 
 
 
 
 
 
Foreign securities(1):


 


 
 
 
 
 


 


Government
439.7

 
57.4

 
1.1

 
—

 
496.0

 
—

Other
4,570.0

 
501.3

 
15.3

 
—

 
5,056.0

 
—

Total foreign securities
5,009.7

 
558.7

 
16.4

 
—

 
5,552.0

 
—

 
 
 
 
 
 
 
 
 
 
 
 
Residential mortgage-backed securities:
 
 
 
 
 
 
 
 
 
 
 
Agency
1,679.5

 
181.5

 
3.4

 
33.7

 
1,891.3

 
0.6

Non-Agency
390.9

 
70.0

 
14.7

 
20.0

 
466.2

 
17.4

Total Residential mortgage-backed securities
2,070.4

 
251.5

 
18.1

 
53.7

 
2,357.5

 
18.0

 
 
 
 
 
 
 
 
 
 
 
 
Commercial mortgage-backed securities
748.7

 
90.6

 
0.2

 
—

 
839.1

 
4.4

Other asset-backed securities
475.7

 
26.6

 
6.7

 
—

 
495.6

 
3.1

Total fixed maturities, including securities pledged
19,210.6

 
2,243.9

 
53.0

 
53.7

 
21,455.2

 
27.5

Less: Securities pledged
207.2

 
13.0

 
0.5

 
—

 
219.7

 
—

Total fixed maturities
19,003.4

 
2,230.9

 
52.5

 
53.7

 
21,235.5

 
27.5

Equity securities
129.3

 
13.6

 
0.1

 
—

 
142.8

 
—

Total fixed maturities and equity securities investments
$
19,132.7

 
$
2,244.5

 
$
52.6

 
$
53.7

 
$
21,378.3

 
$
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) on the 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) on the Consolidated Statements of Operations.
(3) Represents OTTI reported as a component of Other comprehensive income.

Investments Classifed by Contractual Maturity Date
The amortized cost and fair value of fixed maturities, including securities pledged, as of December 31, 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
$
853.5

 
$
880.9

After one year through five years
3,953.8

 
4,249.9

After five years through ten years
5,700.3

 
6,339.8

After ten years
5,408.2

 
6,292.4

Mortgage-backed securities
2,819.1

 
3,196.6

Other asset-backed securities
475.7

 
495.6

Fixed maturities, including securities pledged
$
19,210.6

 
$
21,455.2

U.S. and Foreign Corporate Securities by Industry
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 December 31, 2012 and 2011:
 
Amortized
Cost
 
Gross Unrealized Capital Gains
 
Gross Unrealized Capital Losses
 
Fair Value
2012
 
 
 
 
 
 
 
Communications
$
1,154.1

 
$
161.4

 
$
0.9

 
$
1,314.6

Financial
1,859.3

 
240.1

 
10.9

 
2,088.5

Industrial and other companies
7,883.1

 
850.9

 
6.9

 
8,727.1

Utilities
2,715.4

 
349.8

 
7.3

 
3,057.9

Transportation
396.1

 
46.5

 
0.4

 
442.2

Total
$
14,008.0

 
$
1,648.7

 
$
26.4

 
$
15,630.3

 
 
 
 
 
 
 
 
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

Schedule of Unrealized Loss on Investments
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 December 31, 2012 and 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. Treasuries
$
300.0

 
$
0.5

 
$
—

 
$
—

 
$
—

 
$
—

 
$
300.0

 
$
0.5

U.S. corporate, state and municipalities
479.8

 
6.8

 
22.5

 
0.9

 
49.4

 
3.4

 
551.7

 
11.1

Foreign
166.8

 
4.7

 
7.8

 
0.5

 
87.7

 
11.2

 
262.3

 
16.4

Residential mortgage-backed
68.7

 
1.6

 
7.2

 
0.3

 
132.4

 
16.2

 
208.3

 
18.1

Commercial mortgage-backed
7.5

 
0.1

 
1.6

 
—

 
2.5

 
0.1

 
11.6

 
0.2

Other asset-backed
15.6

 
—

 
—

 
—

 
34.2

 
6.7

 
49.8

 
6.7

Total
$
1,038.4

 
$
13.7

 
$
39.1

 
$
1.7

 
$
306.2

 
$
37.6

 
$
1,383.7

 
$
53.0

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
2011
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
U.S. Treasuries
$
—

 
$
—

 
$
—

 
$
—

 
$
—

 
$
—

 
$
—

 
$
—

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


Risk Exposure to Securities Based on Credit Quality
The following tables summarize the Company's exposure to CMBS holdings by credit quality using NAIC designations, ARO ratings and vintage year as of December 31, 2012 and 2011:
 
% of Total CMBS
 
NAIC Designation
 
ARO Ratings
 
Vintage
2012
 
 
 
 
 
 
 
 
 
1
99.9
%
 
AAA
54.1
%
 
2007
28.7
%
 
2
—
%
 
AA
17.1
%
 
2006
20.4
%
 
3
0.1
%
 
A
8.4
%
 
2005 and prior
50.9
%
 
4
—
%
 
BBB
5.3
%
 
 
100.0
%
 
5
—
%
 
BB and below
15.1
%
 
 
 
 
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
%
 
 
 
 
 
 
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 December 31, 2012 and 2011:
 
% of Total Alt-A Mortgage-backed Securities
 
NAIC Designation
 
ARO Ratings
 
Vintage
2012
 
 
 
 
 
 
 
 
 
1
33.4
%
 
AAA
0.2
%
 
2007
13.8
%
 
2
12.4
%
 
AA
1.4
%
 
2006
29.3
%
 
3
21.0
%
 
A
3.4
%
 
2005 and prior
56.9
%
 
4
30.3
%
 
BBB
5.6
%
 
 
100.0
%
 
5
2.3
%
 
BB and below
89.4
%
 
 
 
 
6
0.6
%
 
 
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
%
 
 
 
 
 
 
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 December 31, 2012 and 2011:
 
% of Total Subprime Mortgage-backed Securities
 
NAIC Designation
 
ARO Ratings
 
Vintage
2012
 
 
 
 
 
 
 
 
 
1
67.8
%
 
AAA
3.2
%
 
2007
8.0
%
 
2
3.2
%
 
AA
—
%
 
2006
6.0
%
 
3
19.6
%
 
A
16.2
%
 
2005 and prior
86.0
%
 
4
8.7
%
 
BBB
21.5
%
 
 
100.0
%
 
5
0.5
%
 
BB and below
59.1
%
 
 
 
 
6
0.2
%
 
 
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 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 December 31, 2012 and 2011:
 
% of Total Other ABS
 
NAIC Designation
 
ARO Ratings
 
Vintage
2012
 
 
 
 
 
 
 
 
 
1
98.3
%
 
AAA
88.4
%
 
2012
21.4
%
 
2
1.6
%
 
AA
1.9
%
 
2011
12.2
%
 
3
0.1
%
 
A
8.0
%
 
2010
5.7
%
 
4
—
%
 
BBB
1.6
%
 
2009
0.3
%
 
5
—
%
 
BB and below
0.1
%
 
2008
9.5
%
 
6
—
%
 
 
100.0
%
 
2007
22.9
%
 
 
100.0
%
 
 
 
 
2006
6.1
%
 
 
 
 
 
 
 
2005 and prior
21.9
%
 
 
 
 
 
 
 
 
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
%
Schedule of Mortgage Loans Real Estate and Valuation Allowance
The following table summarizes the Company’s investment in mortgage loans as of December 31, 2012 and 2011:
 
2012
 
2011
Commercial mortgage loans
$
2,874.0

 
$
2,374.8

Collective valuation allowance
(1.3
)
 
(1.3
)
Total net commercial mortgage loans
$
2,872.7

 
$
2,373.5

The following table summarizes the activity in the allowance for losses for all commercial mortgage loans as of December 31, 2012 and 2011:
 
2012
 
2011
Collective valuation allowance for losses, beginning of period
$
1.3

 
$
1.3

Addition to (reduction of) allowance for losses
—

 
—

Collective valuation allowance for losses, end of period
$
1.3

 
$
1.3

Impaired Financing Receivables
The carrying values and unpaid principal balances of impaired mortgage loans were as follows as of December 31, 2012 and 2011:
 
2012
 
2011
Impaired loans with allowances for losses
$
—

 
$
—

Impaired loans without allowances for losses
5.6

 
5.8

Subtotal
5.6

 
5.8

Less: Allowances for losses on impaired loans
—

 
—

Impaired loans, net
$
5.6

 
$
5.8

Unpaid principal balance of impaired loans
$
7.1

 
$
7.3


The following table presents information on impaired loans as of December 31, 2012 and 2011:
 
2012
 
2011
Impaired loans, average investment during the period
$
5.7

 
$
7.7

The following table presents information on interest income recognized on impaired and restructured loans for the years ended December 31, 2012, 2011 and 2010:
 
2012
 
2011
 
2010
Interest income recognized on impaired loans, on an accrual basis
$
0.4

 
$
0.6

 
$
0.9

Interest income recognized on impaired loans, on a cash basis
0.4

 
0.6

 
1.0

Loans Receivable, Grouped by Loan to Value and Debt Service Coverage Ratio
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 December 31, 2012 and 2011:
 
2012(1)
 
2011(1)
Loan-to-Value Ratio:
 
 
 
0% - 50%
$
501.3

 
$
552.4

50% - 60%
768.9

 
771.5

60% - 70%
1,491.6

 
908.2

70% - 80%
96.4

 
125.2

80% and above
15.8

 
17.5

Total Commercial mortgage loans
$
2,874.0

 
$
2,374.8

(1) Balances do not include allowance for mortgage loan credit losses.

The following table presents the DSC ratios as of December 31, 2012 and 2011:
 
2012(1)
 
2011(1)
Debt Service Coverage Ratio:
 
 
 
Greater than 1.5x
$
2,114.4

 
$
1,600.1

1.25x - 1.5x
390.5

 
408.1

1.0x - 1.25x
293.1

 
286.7

Less than 1.0x
76.0

 
79.9

Total Commercial mortgage loans
$
2,874.0

 
$
2,374.8

(1) Balances do not include allowance for mortgage loan credit losses.

Mortgage Loans by Geographic Location of 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 December 31, 2012 and 2011:
 
2012(1)
 
2011(1)
 
Gross
Carrying Value
 
% of
Total
 
Gross
Carrying Value
 
% of
Total
Commercial Mortgage Loans by U.S. Region:
 
 
 
 
 
 
 
Pacific
$
564.1

 
19.6
%
 
$
514.7

 
21.7
%
South Atlantic
561.0

 
19.5
%
 
412.0

 
17.3
%
Middle Atlantic
332.7

 
11.6
%
 
325.9

 
13.7
%
East North Central
337.8

 
11.8
%
 
285.6

 
12.0
%
West South Central
460.4

 
16.0
%
 
358.4

 
15.1
%
Mountain
214.5

 
7.5
%
 
191.2

 
8.0
%
West North Central
205.2

 
7.1
%
 
98.9

 
4.2
%
New England
119.1

 
4.1
%
 
94.2

 
4.0
%
East South Central
79.2

 
2.8
%
 
93.9

 
4.0
%
Total Commercial mortgage loans
$
2,874.0

 
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
$
1,035.2

 
36.0
%
 
$
956.4

 
40.3
%
Retail
824.0

 
28.7
%
 
544.7

 
22.9
%
Office
427.0

 
14.8
%
 
351.5

 
14.8
%
Apartments
298.7

 
10.4
%
 
281.7

 
11.9
%
Hotel/Motel
92.1

 
3.2
%
 
132.7

 
5.6
%
Mixed use
34.2

 
1.2
%
 
0.9

 
0.0
%
Other
162.8

 
5.7
%
 
106.9

 
4.5
%
Total Commercial mortgage loans
$
2,874.0

 
100.0
%
 
$
2,374.8

 
100.0
%
(1) Balances do not include allowance for mortgage loan credit losses.

Mortgage Loans by Year of Origination
The following table sets forth the breakdown of mortgages by year of origination as of December 31, 2012 and 2011:
 
2012(1)
 
2011(1)
Year of Origination:
 
 
 
2012
$
939.0

 
$
—

2011
836.9

 
857.9

2010
124.0

 
161.9

2009
73.0

 
92.6

2008
119.0

 
137.2

2007
102.3

 
202.1

2006 and prior
679.8

 
923.1

Total Commercial mortgage loans
$
2,874.0

 
$
2,374.8

(1) Balances do not include allowance for mortgage loan credit losses.

Other than Temporary Impairment, Credit Losses Recognized in Earnings
The following tables identify the Company’s credit-related and intent-related impairments included in the Consolidated Statements of Operations, excluding impairments included in Other comprehensive income by type for the years ended December 31, 2012, 2011 and 2010:

 
2012
 
2011
 
2010
 
Impairment
 
No. of Securities
 
Impairment
 
No. of Securities
 
Impairment
 
No. of Securities
U.S. Treasuries
$
—

 
—

 
$
—

 
—

 
$
1.7

 
1

U.S. corporate
2.9

 
3

 
20.4

 
17

 
6.6

 
24

Foreign(1)
0.8

 
3

 
27.8

 
50

 
42.4

 
20

Residential mortgage-backed
6.0

 
33

 
8.2

 
38

 
14.8

 
53

Commercial mortgage-backed
—

 
—

 
28.2

 
8

 
20.5

 
8

Other asset-backed
1.2

 
4

 
22.7

 
53

 
58.5

 
42

Limited partnerships
—

 
—

 
—

 
—

 
1.6

 
4

Equity securities
—

 
—

 
—

 
—

 
—

*
1

Mortgage loans on real estate
—

 
—

 
—

 
—

 
1.0

 
1

Total
$
10.9

 
43

 
$
107.3

 
166

 
$
147.1

 
154

(1) Primarily U.S. dollar denominated.
* Less than $0.1.

Net Investment Income
The following table summarizes Net investment income for the years ended December 31, 2012, 2011 and 2010:

 
2012
 
2011
 
2010
Fixed maturities
$
1,222.5

 
$
1,224.2

 
$
1,182.4

Equity securities, available-for-sale
7.5

 
13.6

 
15.3

Mortgage loans on real estate
143.5

 
118.1

 
104.0

Policy loans
13.2

 
13.7

 
13.3

Short-term investments and cash equivalents
1.4

 
0.8

 
0.8

Other
6.8

 
95.5

 
68.0

Gross investment income
1,394.9

 
1,465.9

 
1,383.8

Less: Investment expenses
46.1

 
45.0

 
41.5

Net investment income
$
1,348.8

 
$
1,420.9

 
$
1,342.3

Realized Gain (Loss) on Investments
Net realized capital gains (losses) were as follows for the years ended December 31, 2012, 2011 and 2010:
 
2012
 
2011
 
2010
Fixed maturities, available-for-sale, including securities pledged
$
67.5

 
$
112.6

 
$
38.7

Fixed maturities, at fair value option
(124.2
)
 
(60.6
)
 
(39.2
)
Equity securities, available-for-sale
(0.2
)
 
7.4

 
4.1

Derivatives
1.3

 
(64.3
)
 
(44.6
)
Embedded derivative - fixed maturities
(5.5
)
 
4.9

 
8.0

Embedded derivative - product guarantees
120.4

 
(216.1
)
 
9.3

Other investments
—

 
0.3

 
4.9

Net realized capital gains (losses)
$
59.3

 
$
(215.8
)
 
$
(18.8
)
After-tax net realized capital gains (losses)
$
38.5

 
$
(53.3
)
 
$
1.5


Gain (Loss) on Investments
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 years ended December 31, 2012, 2011 and 2010:
 
2012
 
2011
 
2010
Proceeds on sales
$
2,887.1

 
$
5,596.3

 
$
5,312.9

Gross gains
88.7

 
249.0

 
213.6

Gross losses
(12.7
)
 
(33.6
)
 
(27.8
)
Intent related impairment
 
Available-for-sale Securities Including Securities Pledged [Line Items]  
Other than Temporary Impairment, Credit Losses Recognized in Earnings
The following tables summarize these intent impairments, which are also recognized in earnings, by type for the years ended December 31, 2012, 2011 and 2010:

 
2012
 
2011
 
2010
 
Impairment
 
No. of Securities
 
Impairment
 
No. of Securities
 
Impairment
 
No. of Securities
U.S. Treasuries
$
—

 
—

 
$
—

 
—

 
$
1.7

 
1

U.S. corporate
0.2

 
1

 
20.4

 
17

 
6.7

 
24

Foreign(1)
0.8

 
3

 
23.7

 
46

 
28.5

 
15

Residential mortgage-backed
0.7

 
3

 
1.6

 
7

 
8.6

 
18

Commercial mortgage-backed
—

 
—

 
22.9

 
8

 
16.2

 
6

Other asset-backed
0.1

 
1

 
21.1

 
50

 
37.0

 
26

Total
$
1.8

 
8

 
$
89.7

 
128

 
$
98.7

 
90

(1) Primarily U.S. dollar denominated.

Credit related impairment
 
Available-for-sale Securities Including Securities Pledged [Line Items]  
Other than Temporary Impairment, Credit Losses Recognized in Earnings
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 years ended December 31, 2012, 2011 and 2010:
 
2012
 
2011
 
2010
Balance at January 1
$
19.4

 
$
50.7

 
$
46.0

Additional credit impairments:
 
 
 
 
 
On securities not previously impaired
1.5

 
0.9

 
12.0

On securities previously impaired
3.7

 
6.7

 
11.7

Reductions:
 
 
 
 
 
Securities intent impaired
—

 
(8.7
)
 
(5.9
)
Securities sold, matured, prepaid or paid down
(4.6
)
 
(30.2
)
 
(13.1
)
Balance at December 31
$
20.0

 
$
19.4

 
$
50.7

Duration
 
Available-for-sale Securities Including Securities Pledged [Line Items]  
Schedule of Unrealized Loss on Investments
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% were as follows as of December 31, 2012 and 2011:
 
Amortized Cost
 
Unrealized Capital Losses
 
Number of Securities
 
< 20%
 
> 20%
 
< 20%
 
> 20%
 
< 20%
 
> 20%
2012
 
 
 
 
 
 
 
 
 
 
 
Six months or less below amortized cost
$
1,110.8

 
$
15.2

 
$
19.3

 
$
3.9

 
141

 
10

More than six months and twelve months or less below amortized cost
49.5

 
1.5

 
2.6

 
0.4

 
31

 
2

More than twelve months below amortized cost
198.1

 
61.6

 
6.2

 
20.6

 
99

 
28

Total
$
1,358.4

 
$
78.3

 
$
28.1

 
$
24.9

 
271

 
40

 
 
 
 
 
 
 
 
 
 
 
 
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

Market Sector (Type of Security)
 
Available-for-sale Securities Including Securities Pledged [Line Items]  
Schedule of Unrealized Loss on Investments
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 December 31, 2012 and 2011:
 
Amortized Cost
 
Unrealized Capital Losses
 
Number of Securities
 
< 20%
 
> 20%
 
< 20%
 
> 20%
 
< 20%
 
> 20%
2012
 
 
 
 
 
 
 
 
 
 
 
U.S. Treasuries
$
300.5

 
$
—

 
$
0.5

 
$
—

 
2

 
—

U.S. corporate, state and municipalities
558.1

 
4.7

 
9.1

 
2.0

 
82

 
2

Foreign
242.7

 
36.0

 
5.7

 
10.7

 
38

 
8

Residential mortgage-backed
201.2

 
25.2

 
10.2

 
7.9

 
124

 
24

Commercial mortgage-backed
11.8

 
—

 
0.2

 
—

 
8

 
—

Other asset-backed
44.1

 
12.4

 
2.4

 
4.3

 
17

 
6

Total
$
1,358.4

 
$
78.3

 
$
28.1

 
$
24.9

 
271

 
40

 
 
 
 
 
 
 
 
 
 
 
 
2011
 
 
 
 
 
 
 
 
 
 
 
U.S. Treasuries
$
—

 
$
—

 
$
—

 
$
—

 
—

 
—

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