Investing Activities (Tables)

3 Months Ended

Mar. 31, 2015

Investments, Debt and Equity Securities [Abstract]

Fair Value and Cost of Securities

The following tables present the debt and equity securities available-for-sale by sector held at March 31, 2015 and December 31, 2014, respectively. The unrealized loss amounts presented below include the non-credit loss component of OTTI losses. We classify these investments into various sectors in line with industry conventions.

Fair Value and Cost of Securities:	March 31, 2015
($ in millions)	Amortized Cost		Gross Unrealized Gains [1]		Gross Unrealized Losses [1]			Fair Value		OTTI Recognized in AOCI [2]
U.S. government and agency	$	82.0	$	8.3	$	—		$	90.3	$	—
State and political subdivision	227.7		18.5		(1.5		)	244.7		(0.2		)
Foreign government	77.9		6.8		(0.3		)	84.4		—
Corporate	2,930.1		168.2		(22.6		)	3,075.7		(1.5		)
Commercial mortgage-backed (“CMBS”)	235.5		22.4		—			257.9		—
Residential mortgage-backed (“RMBS”)	502.7		21.4		(2.5		)	521.6		(8.5		)
Collateralized debt obligations (“CDO”) /   collateralized loan obligations (“CLO”)	96.1		1.0		(0.6		)	96.5		(2.2		)
Other asset-backed (“ABS”)	86.8		4.1		(3.8		)	87.1		—
Available-for-sale debt securities	$	4,238.8	$	250.7	$	(31.3	)	$	4,458.2	$	(12.4	)
Available-for-sale equity securities	$	28.4	$	1.2	$	(0.1	)	$	29.5	$	—

———————

[1] Net unrealized investment gains and losses on securities classified as available-for-sale and certain other assets are included in our balance sheets as a component of AOCI.

[2] Represents the amount of non-credit OTTI losses recognized in AOCI excluding net unrealized gains or losses subsequent to the date of impairment. The table above presents the special category of AOCI for debt securities that are other-than-temporarily impaired when the impairment loss has been split between the credit loss component (in earnings) and the non-credit component (separate category of AOCI).

Fair Value and Cost of Securities:	December 31, 2014
($ in millions)	Amortized Cost		Gross Unrealized Gains [1]		Gross Unrealized Losses [1]			Fair Value		OTTI Recognized in AOCI [2]
U.S. government and agency	$	82.4	$	6.9	$	—		$	89.3	$	—
State and political subdivision	217.2		13.6		(1.6		)	229.2		(0.2		)
Foreign government	69.2		5.4		(0.8		)	73.8		—
Corporate	2,730.7		128.4		(27.2		)	2,831.9		(1.5		)
CMBS	236.2		19.4		—			255.6		—
RMBS	558.9		20.9		(3.4		)	576.4		(8.6		)
CDO/CLO	84.2		0.4		(1.1		)	83.5		(2.7		)
Other ABS	82.1		3.8		(3.8		)	82.1		—
Available-for-sale debt securities	$	4,060.9	$	198.8	$	(37.9	)	$	4,221.8	$	(13.0	)
Available-for-sale equity securities	$	28.4	$	0.6	$	(0.3	)	$	28.7	$	—

———————

[1] Net unrealized investment gains and losses on securities classified as available-for-sale and certain other assets are included in our balance sheets as a component of AOCI.

[2] Represents the amount of non-credit OTTI losses recognized in AOCI excluding net unrealized gains or losses subsequent to the date of impairment. The table above presents the special category of AOCI for debt securities that are other-than-temporarily impaired when the impairment loss has been split between the credit loss component (in earnings) and the non-credit component (separate category of AOCI).

Maturities of debt securities

Maturities of Debt Securities:	March 31, 2015
($ in millions)	Amortized Cost		Fair Value
Due in one year or less	$	51.3	$	51.9
Due after one year through five years	427.9		449.1
Due after five years through ten years	1,518.8		1,592.6
Due after ten years	1,319.7		1,401.5
CMBS/RMBS/ABS/CDO/CLO [1]	921.1		963.1
Total	$	4,238.8	$	4,458.2

———————

[1] CMBS, RMBS, ABS, CDO and CLO are not listed separately in the table as each security does not have a single fixed maturity.

Sales of Available-for-Sale Securities

The following table depicts the sources of available-for-sale investment proceeds and related investment gains (losses).

Sales of Available-for-Sale Securities: ($ in millions)	Three Months Ended   March 31,
	2015			2014
Debt securities, available-for-sale
Proceeds from sales	$	118.5		$	5.4
Proceeds from maturities/repayments	58.6			54.0
Gross investment gains from sales, prepayments and maturities	5.0			2.2
Gross investment losses from sales and maturities	(0.1		)	(0.8		)

Aging of Temporarily Impaired Securities:	March 31, 2015
($ in millions)	Less than 12 months					Greater than 12 months					Total
	Fair Value		Unrealized Losses			Fair Value		Unrealized Losses			Fair Value		Unrealized Losses
Debt Securities
U.S. government and agency	$	—	$	—		$	—	$	—		$	—	$	—
State and political subdivision	7.0		(0.3		)	16.9		(1.2		)	23.9		(1.5		)
Foreign government	6.7		(0.3		)	—		—			6.7		(0.3		)
Corporate	202.8		(7.7		)	171.0		(14.9		)	373.8		(22.6		)
CMBS	1.7		—			—		—			1.7		—
RMBS	11.8		—			73.4		(2.5		)	85.2		(2.5		)
CDO/CLO	13.1		(0.1		)	25.0		(0.5		)	38.1		(0.6		)
Other ABS	2.3		—			7.4		(3.8		)	9.7		(3.8		)
Debt securities	245.4		(8.4		)	293.7		(22.9		)	539.1		(31.3		)
Equity securities	—		—			4.4		(0.1		)	4.4		(0.1		)
Total temporarily   impaired securities	$	245.4	$	(8.4	)	$	298.1	$	(23.0	)	$	543.5	$	(31.4	)
Below investment grade	$	54.6	$	(3.2	)	$	22.7	$	(3.5	)	$	77.3	$	(6.7	)
Number of securities			85					89					174

Aging of Temporarily Impaired Securities

Aging of Temporarily Impaired Securities:	December 31, 2014
($ in millions)	Less than 12 months					Greater than 12 months					Total
	Fair Value		Unrealized Losses			Fair Value		Unrealized Losses			Fair Value		Unrealized Losses
Debt Securities
U.S. government and agency	$	—	$	—		$	—	—			$	—	$	—
State and political subdivision	7.0		(0.4		)	18.7		(1.2		)	25.7		(1.6		)
Foreign government	11.3		(0.8		)	—		—			11.3		(0.8		)
Corporate	265.4		(8.8		)	273.1		(18.4		)	538.5		(27.2		)
CMBS	6.3		—			5.5		—			11.8		—
RMBS	4.6		(0.1		)	86.7		(3.3		)	91.3		(3.4		)
CDO/CLO	42.3		(0.4		)	30.2		(0.7		)	72.5		(1.1		)
Other ABS	5.8		—			7.5		(3.8		)	13.3		(3.8		)
Debt securities	342.7		(10.5		)	421.7		(27.4		)	764.4		(37.9		)
Equity securities	—		—			4.2		(0.3		)	4.2		(0.3		)
Total temporarily   impaired securities	$	342.7	$	(10.5	)	$	425.9	$	(27.7	)	$	768.6	$	(38.2	)
Below investment grade	$	42.4	$	(2.4	)	$	17.1	$	(2.7	)	$	59.5	$	(5.1	)
Number of securities			121					127					248

Credit Losses Recognized in Earnings on Debt Securities

The following table presents a roll-forward of pre-tax credit losses recognized in earnings related to available-for-sale debt securities for which a portion of the OTTI was recognized in OCI.

Credit Losses Recognized in Earnings on Available-for-Sale Debt Securities for which a Portion of the OTTI Loss was Recognized in OCI:	Three Months Ended   March 31,
($ in millions)	2015			2014
Balance, beginning of period	$	(17.1	)	$	(18.5	)
Add: Credit losses on securities not previously impaired [1]	—			—
Add: Credit losses on securities previously impaired [1]	—			—
Less: Credit losses on securities impaired due to intent to sell	—			—
Less: Credit losses on securities sold	0.5			0.7
Less: Increases in cash flows expected on   previously impaired securities	—			—
Balance, end of period	$	(16.6	)	$	(17.8	)

———————

[1] Additional credit losses on securities for which a portion of the OTTI loss was recognized in AOCI are included within net OTTI losses recognized in earnings on the statements of income and comprehensive income.

Sources of Net Investment Income

Sources of Net Investment Income:	Three Months Ended   March 31,
($ in millions)	2015		2014
Debt securities [1]	$	47.3	$	37.6
Equity securities	0.5		0.2
Limited partnerships and other investments	0.5		1.2
Policy loans	0.8		0.8
Fair value investments	0.3		0.8
Total investment income	49.4		40.6
Less: Investment expenses	2.3		0.6
Net investment income	$	47.1	$	40.0

———————

[1] Includes net investment income on short-term investments.

Sources and Types of Net Realized Investment Gains (Losses)

Sources and Types of Net Realized Gains (Losses):	Three Months Ended   March 31,
($ in millions)	2015			2014
Total other-than-temporary debt impairments	$	(0.1	)	$	—
Portion of losses recognized in OCI	(0.1		)	—
Net debt impairments recognized in earnings	$	(0.2	)	$	—
Debt security impairments:
U.S. government and agency	$	—		$	—
State and political subdivision	—			—
Foreign government	—			—
Corporate	—			—
CMBS	—			—
RMBS	(0.2		)	—
CDO/CLO	—			—
Other ABS	—			—
Net debt security impairments	(0.2		)	—
Equity security impairments	—			—
Limited partnerships and other investment impairments	—			—
Impairment losses	(0.2		)	—
Debt security transaction gains	5.0			2.2
Debt security transaction losses	(0.1		)	(0.8		)
Equity security transaction gains	—			—
Equity security transaction losses	—			—
Limited partnerships and other investment transaction gains	—			—
Limited partnerships and other investment transaction losses	—			—
Net transaction gains (losses)	4.9			1.4
Derivative instruments	(3.3		)	(23.6		)
Embedded derivatives [1]	(10.2		)	(12.9		)
Net realized gains (losses), excluding impairment losses	(8.6		)	(35.1		)
Net realized gains (losses), including impairment losses	$	(8.8	)	$	(35.1	)

———————

[1] Includes the change in fair value of embedded derivatives associated with fixed index annuity indexed crediting feature and variable annuity riders. See Note 8 to these interim unaudited financial statements for additional disclosures.

Sources of Changes in Net Unrealized Investment Gains (Losses)

Sources of Changes in Net Unrealized Gains (Losses):	Three Months Ended   March 31,
($ in millions)	2015			2014
Debt securities	$	58.5		$	62.0
Equity securities	0.8			—
Other investments	(0.1		)	—
Net unrealized investment gains (losses)	$	59.2		$	62.0
Net unrealized investment gains (losses)	$	59.2		$	62.0
Applicable to DAC	17.3			15.5
Applicable to other actuarial offsets	40.2			33.5
Applicable to deferred income tax expense (benefit)	3.0			14.4
Offsets to net unrealized investment gains (losses)	60.5			63.4
Net unrealized gains (losses) included in OCI	$	(1.3	)	$	(1.4	)