Investments (Tables)

6 Months Ended

Jun. 30, 2011

Investments

Schedule of gross unrealized gains and losses

	Amortized		Gross Unrealized
	Cost		Gains		Losses			Fair Value		OTTI(1)
	(in thousands)
June 30, 2011
Fixed maturities held to maturity and carried at amortized cost:
States, municipalities and political subdivisions	$	1,187,591	$	61,152	$	(242	)	$	1,248,501	$	—
Fixed maturities available for sale and carried at fair value:
U.S. Government	$	14,280	$	1,614	$	—		$	15,894	$	—
U.S. Government agencies	929,277		18,898		(1,299		)	946,876		—
States, municipalities and political subdivisions	4,517,344		165,405		(26,486		)	4,656,263		—
Foreign governments	710,883		12,914		(75		)	723,722		—
U.S. corporate	2,299,514		43,561		(4,761		)	2,338,314		(386		)
Foreign corporate	1,953,149		45,136		(7,836		)	1,990,449		—
Asset-backed:
RMBS	279,580		888		(33,794		)	246,674		(113,820		)
CMBS	238,933		12,285		(4,302		)	246,916		—
Other asset-backed	83,525		1,626		(864		)	84,287		—
Total	$	11,026,485	$	302,327	$	(79,417	)	$	11,249,395	$	(114,206	)
December 31, 2010
Fixed maturities held to maturity and carried at amortized cost:
States, municipalities and political subdivisions	$	1,189,801	$	54,641	$	(3,764	)	$	1,240,678	$	—
Fixed maturities available for sale and carried at fair value:
U.S. Government	$	24,164	$	1,465	$	(3	)	$	25,626	$	—
U.S. Government agencies	856,708		11,215		(3,324		)	864,599		—
States, municipalities and political subdivisions	4,785,607		119,890		(63,858		)	4,841,639		—
Foreign governments	790,710		11,248		(650		)	801,308		—
U.S. corporate	1,944,114		34,544		(14,934		)	1,963,724		(386		)
Foreign corporate	1,692,919		48,816		(10,107		)	1,731,628		—
Asset-backed:
RMBS	285,431		525		(41,416		)	244,540		(113,820		)
CMBS	248,258		7,850		(6,117		)	249,991		—
Other asset-backed	99,806		812		(1,337		)	99,281		—
Total	$	10,727,717	$	236,365	$	(141,746	)	$	10,822,336	$	(114,206	)

(1)Represents the non-credit portion of OTTI, not adjusted for subsequent changes in unrealized gains or losses, taken on securities still held as of period-end.

Schedule of contractual maturities of fixed maturities

	As of June 30, 2011
	Amortized		Fair
	Cost		Value
	(in thousands)
Fixed maturities held to maturity:
Due after one through five years	$	55,209	$	60,826
Due after five years through ten years	364,297		383,097
Due after ten years	768,085		804,578
Total	$	1,187,591	$	1,248,501
Fixed maturities available for sale:
Non-asset backed and non-U.S. Government agencies:
Due in one year or less	$	423,937	$	427,811
Due after one through five years	3,898,992		3,977,201
Due after five through ten years	2,149,447		2,237,739
Due after ten years	3,022,794		3,081,891
Asset-backed and U.S. Government agencies(1)	1,531,315		1,524,753
Total	$	11,026,485	$	11,249,395

(1) Asset-backed and U.S. Government agency fixed maturities by their nature do not generally have single maturity dates.

Schedule of net investment income

	Three Months Ended						Six Months Ended
	June 30,						June 30,
	2011			2010			2011			2010
	(in thousands)
Fixed maturities	$	115,671		$	112,502		$	227,947		$	221,163
Equities	4,391			2,730			8,578			5,293
Other invested assets (including alternative investments)	1,077			2,994			(6,248		)	4,903
Other	1,129			1,342			2,310			4,000
Total investment income	122,268			119,568			232,587			235,359
Investment expenses	(2,760		)	(3,794		)	(6,239		)	(6,975		)
Net investment income	$	119,508		$	115,774		$	226,348		$	228,384

Schedule of investment gains and losses

	Three Months Ended					Six Months Ended
	June 30,					June 30,
	2011			2010		2011			2010
	(in thousands)
Realized net capital (losses) gains resulted from:
Total OTTI	$	(1,639	)	$	—	$	(3,139	)	$	(13,045	)
Less: OTTI recognized in OCI	—			—		—			6,713
OTTI charged to earnings	(1,639		)	—		(3,139		)	(6,332		)
Sales and redemptions of securities	9,774			6,257		69,384			25,701
Net foreign currency transaction gains (losses)	(8,901		)	2,020		(11,599		)	(12,981		)
Total	$	(766	)	$	8,277	$	54,646		$	6,388
Realized net capital (losses) gains by source:
Fixed maturities available for sale	$	9,365		$	2,753	$	8,652		$	1,016
Equities available for sale	(1,231		)	3,496		57,591			18,344
Net foreign currency transaction gains (losses)	(8,901		)	2,020		(11,599		)	(12,981		)
Other	1			8		2			9
Total	$	(766	)	$	8,277	$	54,646		$	6,388

Schedule of net unrealized appreciation of investments

	Three Months Ended						Six Months Ended
	June 30,						June 30,
	2011			2010			2011			2010
	(in thousands)
Change in net unrealized appreciation of investments, before deferred income tax effect:
Fixed maturities held to maturity carried at amortized cost	$	13,799		$	12,266		$	10,033		$	11,495
Fixed maturities available for sale carried at fair value(1)	$	162,234		$	90,778		$	128,291		$	64,509
Equity securities available for sale carried at fair value(1)	(121		)	(50,606		)	(34,525		)	(58,701		)
Other	(294		)	(743		)	(370		)	(477		)
Total	$	161,819		$	39,429		$	93,396		$	5,331

(1) See Note 1 of Notes to Condensed Consolidated Financial Statements.

Schedule of gross realized gains (losses) on sales and redemptions of available for sale securities

	Three Months Ended June 30,										Six Months Ended June 30,
	2011					2010					2011					2010
	Gross Realized Gains		Gross Realized Losses			Gross Realized Gains		Gross Realized Losses			Gross Realized Gains		Gross Realized Losses			Gross Realized Gains		Gross Realized Losses
	(in millions)
Fixed maturities	$	10.3	$	(0.9	)	$	6.5	$	(3.7	)	$	12.2	$	(2.6	)	$	13.3	$	(5.9	)
Equity securities	0.7		(0.3		)	4.3		(0.8		)	62.1		(2.3		)	19.7		(1.4		)

Schedule of credit loss impairments on fixed maturities investments

	Three Months Ended				Six Months Ended
	June 30,				June 30,
	2011		2010		2011		2010
	(in millions)
Beginning balance	$	10.8	$	10.8	$	10.8	$	4.5
New securities subject to credit impairment losses	—		—		—		6.3
Ending balance	$	10.8	$	10.8	$	10.8	$	10.8

Schedule of aging of gross unrealized losses

	Less than 12 Months					12 Months or More					Total
			Gross					Gross					Gross
	Fair		Unrealized			Fair		Unrealized			Fair		Unrealized
	Value		Losses			Value		Losses			Value		Losses
	(in millions)
June 30, 2011:
Fixed maturities:
U.S. Government	$	—	$	—		$	—	$	—		$	—	$	—
U.S. Government agencies	122		(1		)	3		*			125		(1		)
States, municipalities and political subdivisions	480		(11		)	95		(16		)	575		(27		)
Foreign governments	21		*			—		—			21		*
U.S. corporate	498		(5		)	11		*			509		(5		)
Foreign corporate	343		(5		)	80		(3		)	423		(8		)
Asset-backed:
RMBS	—		—			224		(34		)	224		(34		)
CMBS	—		—			49		(4		)	49		(4		)
Other asset-backed	6		*			30		(1		)	36		(1		)
Total fixed maturities	1,470		(22		)	492		(58		)	1,962		(80		)
Equities available for sale	144		(14		)	—		—			144		(14		)
Total	$	1,614	$	(36	)	$	492	$	(58	)	$	2,106	$	(94	)
December 31, 2010:
Fixed maturities:
U.S. Government	$	6	$	*		$	—	$	—		$	6	$	*
U.S. Government agencies	179		(3		)	—		—			179		(3		)
States, municipalities and political subdivisions	1,367		(49		)	91		(19		)	1,458		(68		)
Foreign governments	162		(1		)	—		—			162		(1		)
U.S. corporate	709		(15		)	8		*			717		(15		)
Foreign corporate	277		(5		)	112		(5		)	389		(10		)
Asset-backed:
RMBS	46		(2		)	175		(40		)	221		(42		)
CMBS	38		*			49		(6		)	87		(6		)
Other asset-backed	32		*			31		(1		)	63		(1		)
Total fixed maturities	2,816		(75		)	466		(71		)	3,282		(146		)
Equities available for sale	58		(4		)	—		—			58		(4		)
Total	$	2,874	$	(79	)	$	466	$	(71	)	$	3,340	$	(150	)

* Rounds to zero.

Schedule of industry concentration of fixed maturities and equities with unrealized losses

	Concentration as of
	June 30, 2011		December 31, 2010
	(in millions)
RMBS	$	34	$	42
States, municipalities and political subdivisions	27		68
Banking and financial institutions	11		11
CMBS	4		6
Other	18		23
Total	$	94	$	150

Schedule of contractual maturities of fixed maturities with gross unrealized losses

	June 30, 2011		December 31, 2010
	(in millions)
Non-asset backed and non-U.S. Government agencies:
Due in one year or less	$	40	$	68
Due after one year through five years	743		926
Due after five through ten years	161		297
Due after ten years	584		1,441
Asset-backed and U.S. Government agencies(1)	434		550
Total	$	1,962	$	3,282

(1) Asset-backed and U.S. Government agency fixed maturities by their nature do not generally have single maturity dates.