XML 75 R26.htm IDEA: XBRL DOCUMENT v3.2.0.727
Investing Activities (Tables)
 6 Months Ended
Jun. 30, 2015
Investments [Abstract]  
Fair Value and Cost of Securities
The following tables present the debt and equity securities available-for-sale by sector held at June 30, 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:
June 30, 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
$
89.1

 
$
6.2

 
$
—

 
$
95.3

 
$
—

State and political subdivision
234.6

 
11.1

 
(2.9
)
 
242.8

 
(0.2
)
Foreign government
74.8

 
4.6

 
(0.5
)
 
78.9

 
—

Corporate
3,062.4

 
93.7

 
(57.5
)
 
3,098.6

 
(1.5
)
Commercial mortgage-backed (“CMBS”)
237.1

 
17.4

 
(0.3
)
 
254.2

 
—

Residential mortgage-backed (“RMBS”)
321.5

 
12.3

 
(3.8
)
 
330.0

 
(8.5
)
Collateralized debt obligations (“CDO”) /
  collateralized loan obligations (“CLO”)
139.7

 
0.7

 
(1.0
)
 
139.4

 
(2.2
)
Other asset-backed (“ABS”)
88.4

 
3.2

 
(4.1
)
 
87.5

 
—

Available-for-sale debt securities
$
4,247.6

 
$
149.2

 
$
(70.1
)
 
$
4,326.7

 
$
(12.4
)
Available-for-sale equity securities
$
27.0

 
$
0.8

 
$
(0.2
)
 
$
27.6

 
$
—

———————
[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:
June 30, 2015
($ in millions)
Amortized
Cost
 
Fair
Value
 
 
 
 
Due in one year or less
$
33.5

 
$
33.8

Due after one year through five years
398.0

 
414.6

Due after five years through ten years
1,471.2

 
1,500.5

Due after ten years
1,558.2

 
1,566.7

CMBS/RMBS/ABS/CDO/CLO [1]
786.7

 
811.1

Total
$
4,247.6

 
$
4,326.7

———————
[1]
CMBS, RMBS, ABS, CDO and CLO are not listed separately in the table as each security does not have a single fixed maturity.
Summary of Available-For-Sale Investment Proceeds and Related Investment Gains (Losses)
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)
Six Months Ended 
 June 30,
 
2015
 
2014
Debt securities, available-for-sale
 
 
 
Proceeds from sales
$
392.2

 
$
5.4

Proceeds from maturities/repayments
134.7

 
116.2

Gross investment gains from sales, prepayments and maturities
13.8

 
3.0

Gross investment losses from sales and maturities
(0.6
)
 
(1.2
)
Aging of Temporarily Impaired Securities
Aging of Temporarily Impaired Securities:
June 30, 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
45.8

 
(1.1
)
 
16.2

 
(1.8
)
 
62.0

 
(2.9
)
Foreign government
19.9

 
(0.5
)
 
—

 
—

 
19.9

 
(0.5
)
Corporate
1,056.9

 
(39.0
)
 
172.6

 
(18.5
)
 
1,229.5

 
(57.5
)
CMBS
20.1

 
(0.3
)
 
—

 
—

 
20.1

 
(0.3
)
RMBS
36.7

 
(0.6
)
 
59.8

 
(3.2
)
 
96.5

 
(3.8
)
CDO/CLO
56.4

 
(0.5
)
 
27.0

 
(0.5
)
 
83.4

 
(1.0
)
Other ABS
6.4

 
—

 
7.1

 
(4.1
)
 
13.5

 
(4.1
)
Debt securities
1,242.2

 
(42.0
)
 
282.7

 
(28.1
)
 
1,524.9

 
(70.1
)
Equity securities
—

 
—

 
4.3

 
(0.2
)
 
4.3

 
(0.2
)
Total temporarily
  impaired securities
$
1,242.2

 
$
(42.0
)
 
$
287.0

 
$
(28.3
)
 
$
1,529.2

 
$
(70.3
)
Below investment grade
$
65.2

 
$
(3.2
)
 
$
24.0

 
$
(3.5
)
 
$
89.2

 
$
(6.7
)
Number of securities
 
 
313

 
 
 
92

 
 
 
405



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 
 June 30,
 
Six Months Ended 
 June 30,
($ in millions)
2015
 
2014
 
2015
 
2014
 
 
 
 
 
 
 
 
Balance, beginning of period
$
(16.6
)
 
$
(17.8
)
 
$
(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
—

 
0.4

 
0.5

 
1.1

Less: Increases in cash flows expected on
  previously impaired securities
—

 
—

 
—

 
—

Balance, end of period
$
(16.6
)
 
$
(17.4
)
 
$
(16.6
)
 
$
(17.4
)
———————
[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 operations and comprehensive income.
Summary of Limited Partnerships and Other Investments
Limited Partnerships and Other Investments:
($ in millions)
June 30, 
 2015
 
December 31, 2014
Limited partnerships and other investments
 
 
 
  Private equity funds
$
8.8

 
$
8.4

  Mezzanine funds
0.2

 
—

Direct equity investments
4.4

 
4.1

Limited partnerships and other investments
$
13.4

 
$
12.5
Sources of Net Investment Income
Sources of Net Investment Income:
Three Months Ended 
 June 30,
 
Six Months Ended 
 June 30,
($ in millions)
2015
 
2014
 
2015
 
2014
 
 
 
 
 
 
 
 
Debt securities [1]
$
49.2

 
$
39.7

 
$
96.5

 
$
77.3

Equity securities
0.5

 
0.2

 
1.0

 
0.4

Limited partnerships and other investments
0.4

 
1.0

 
0.9

 
2.2

Policy loans
0.8

 
0.8

 
1.6

 
1.6

Fair value investments
(0.5
)
 
0.6

 
(0.2
)
 
1.4

Total investment income
50.4

 
42.3

 
99.8

 
82.9

Less: Investment expenses
2.1

 
0.3

 
4.4

 
0.9

Net investment income
$
48.3

 
$
42.0

 
$
95.4

 
$
82.0


———————
[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 
 June 30,
 
Six Months Ended 
 June 30,
($ in millions)
2015
 
2014
 
2015
 
2014
 
 
 
 
 
 
 
 
Total other-than-temporary debt impairments
$
(0.1
)
 
$
—

 
$
(0.2
)
 
$
—

Portion of losses recognized in OCI
—

 
—

 
(0.1
)
 
—

Net debt impairments recognized in earnings
$
(0.1
)
 
$
—

 
$
(0.3
)
 
$
—

Debt security impairments:
 
 
 
 
 
 
 
U.S. government and agency
$
—

 
$
—

 
$
—

 
$
—

State and political subdivision
—

 
—

 
—

 
—

Foreign government
—

 
—

 
—

 
—

Corporate
(0.2
)
 
—

 
(0.2
)
 
—

CMBS
—

 
—

 
—

 
—

RMBS
0.1

 
—

 
(0.1
)
 
—

CDO/CLO
—

 
—

 
—

 
—

Other ABS
—

 
—

 
—

 
—

Net debt security impairments
(0.1
)
 
—

 
(0.3
)
 
—

Equity security impairments
—

 
—

 
—

 
—

Limited partnerships and other investment impairments
—

 
—

 
—

 
—

Impairment losses
(0.1
)
 
—

 
(0.3
)
 
—

Debt security transaction gains
8.8

 
0.8

 
13.8

 
3.0

Debt security transaction losses
(0.5
)
 
(0.4
)
 
(0.6
)
 
(1.2
)
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)
8.3

 
0.4

 
13.2

 
1.8

Derivative instruments
(11.1
)
 
—

 
(14.4
)
 
(23.6
)
Embedded derivatives [1]
4.2

 
(2.3
)
 
(6.0
)
 
(15.2
)
Net realized gains (losses), excluding impairment losses
1.4

 
(1.9
)
 
(7.2
)
 
(37.0
)
Net realized gains (losses), including impairment losses
$
1.3

 
$
(1.9
)
 
$
(7.5
)
 
$
(37.0
)
———————
[1]
Includes the change in fair value of embedded derivatives associated with fixed index annuity indexed crediting feature and variable annuity riders. See Note 7 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 
 June 30,
 
Six Months Ended 
 June 30,
($ in millions)
2015
 
2014
 
2015
 
2014
 
 
 
 
 
 
 
 
Debt securities
$
(140.3
)
 
$
62.6

 
$
(81.8
)
 
$
124.7

Equity securities
(0.5
)
 
—

 
0.3

 
—

Other investments
(0.2
)
 
—

 
(0.3
)
 
—

Net unrealized investment gains (losses)
$
(141.0
)
 
$
62.6

 
$
(81.8
)
 
$
124.7

 
 
 
 
 
 
 
 
Net unrealized investment gains (losses)
$
(141.0
)
 
$
62.6

 
$
(81.8
)
 
$
124.7

Applicable to DAC
(42.1
)
 
14.5

 
(24.8
)
 
30.0

Applicable to other actuarial offsets
(65.6
)
 
11.5

 
(25.4
)
 
45.1

Applicable to deferred income tax expense (benefit)
(14.3
)
 
6.9

 
(11.3
)
 
21.3

Offsets to net unrealized investment gains (losses)
(122.0
)
 
32.9

 
(61.5
)
 
96.4

Net unrealized gains (losses) included in OCI
$
(19.0
)
 
$
29.7

 
$
(20.3
)
 
$
28.3