Investments (Tables)
| 9 Months Ended |
|---|
Sep. 30, 2011 |
|---|
| Investments | |
| Fixed Maturities and Equity Securities Available-for-Sale (Table) |
|
|
|
|
Amortized cost |
|
Gross
unrealized
gains |
|
Gross
unrealized
losses |
|
Other-than-
temporary
impairments in
AOCI (1) |
|
Fair value |
|
|
|
|
(in millions) |
|
|
September 30, 2011 |
|
|
|
|
|
|
|
|
|
|
|
|
Fixed maturities, available-for-sale: |
|
|
|
|
|
|
|
|
|
|
|
|
U.S. government and agencies |
|
$ |
758.5 |
|
$ |
34.3 |
|
$ |
0.1 |
|
$ |
— |
|
$ |
792.7 |
|
|
Non-U.S. governments |
|
673.1 |
|
119.6 |
|
1.0 |
|
— |
|
791.7 |
|
|
States and political subdivisions |
|
2,734.9 |
|
208.1 |
|
5.7 |
|
— |
|
2,937.3 |
|
|
Corporate |
|
32,155.4 |
|
2,426.1 |
|
716.2 |
|
21.3 |
|
33,844.0 |
|
|
Residential mortgage-backed pass-through securities |
|
3,089.3 |
|
189.3 |
|
0.3 |
|
— |
|
3,278.3 |
|
|
Commercial mortgage-backed securities |
|
4,069.1 |
|
112.4 |
|
467.3 |
|
138.9 |
|
3,575.3 |
|
|
Collateralized debt obligations |
|
396.6 |
|
1.9 |
|
57.8 |
|
8.5 |
|
332.2 |
|
|
Other debt obligations |
|
3,552.5 |
|
97.9 |
|
50.1 |
|
82.3 |
|
3,518.0 |
|
|
Total fixed maturities, available-for-sale |
|
$ |
47,429.4 |
|
$ |
3,189.6 |
|
$ |
1,298.5 |
|
$ |
251.0 |
|
$ |
49,069.5 |
|
|
Total equity securities, available-for-sale |
|
$ |
120.9 |
|
$ |
8.8 |
|
$ |
9.2 |
|
|
|
$ |
120.5 |
|
|
December 31, 2010 |
|
|
|
|
|
|
|
|
|
|
|
|
Fixed maturities, available-for-sale: |
|
|
|
|
|
|
|
|
|
|
|
|
U.S. government and agencies |
|
$ |
748.5 |
|
$ |
21.0 |
|
$ |
0.2 |
|
$ |
— |
|
$ |
769.3 |
|
|
Non-U.S. governments |
|
744.7 |
|
127.9 |
|
— |
|
— |
|
872.6 |
|
|
States and political subdivisions |
|
2,615.0 |
|
64.7 |
|
23.3 |
|
— |
|
2,656.4 |
|
|
Corporate |
|
32,523.8 |
|
1,913.7 |
|
527.0 |
|
18.0 |
|
33,892.5 |
|
|
Residential mortgage-backed pass-through securities |
|
3,077.9 |
|
124.2 |
|
5.9 |
|
— |
|
3,196.2 |
|
|
Commercial mortgage-backed securities |
|
4,424.9 |
|
118.0 |
|
506.1 |
|
194.6 |
|
3,842.2 |
|
|
Collateralized debt obligations |
|
380.5 |
|
1.7 |
|
51.8 |
|
37.4 |
|
293.0 |
|
|
Other debt obligations |
|
3,184.9 |
|
53.7 |
|
40.0 |
|
84.5 |
|
3,114.1 |
|
|
Total fixed maturities, available-for-sale |
|
$ |
47,700.2 |
|
$ |
2,424.9 |
|
$ |
1,154.3 |
|
$ |
334.5 |
|
$ |
48,636.3 |
|
|
Total equity securities, available-for-sale |
|
$ |
180.0 |
|
$ |
8.1 |
|
$ |
18.2 |
|
|
|
$ |
169.9 |
|
(1) Excludes $55.8 million and $58.6 million as of September 30, 2011 and December 31, 2010, respectively, of net unrealized gains on impaired fixed maturities, available-for-sale related to changes in fair value subsequent to the impairment date. |
|
| Fixed Maturities Available-for-Sale by Contractual Maturity (Table) |
|
|
|
|
Amortized
cost |
|
Fair value |
|
|
|
|
(in millions) |
|
|
Due in one year or less |
|
$ |
2,799.0 |
|
$ |
2,844.7 |
|
|
Due after one year through five years |
|
13,175.9 |
|
13,615.4 |
|
|
Due after five years through ten years |
|
9,050.8 |
|
9,676.1 |
|
|
Due after ten years |
|
11,296.2 |
|
12,229.5 |
|
|
Subtotal |
|
36,321.9 |
|
38,365.7 |
|
|
Mortgage-backed and other asset-backed securities |
|
11,107.5 |
|
10,703.8 |
|
|
Total |
|
$ |
47,429.4 |
|
$ |
49,069.5 |
| | | |
|
| Net Realized Capital Gains and Losses (Table) |
|
|
|
|
For the three months ended
September 30, |
|
For the nine months ended
September 30, |
|
|
|
|
2011 |
|
2010 |
|
2011 |
|
2010 |
|
|
|
|
(in millions) |
|
|
Fixed maturities, available-for-sale: |
|
|
|
|
|
|
|
|
|
|
Gross gains |
|
$ |
5.4 |
|
$ |
10.5 |
|
$ |
23.6 |
|
$ |
51.3 |
|
|
Gross losses |
|
(13.3 |
) |
(62.3 |
) |
(74.5 |
) |
(285.3 |
) |
|
Other-than-temporary impairment losses reclassified to (from) OCI |
|
(34.9 |
) |
6.3 |
|
(83.0 |
) |
64.3 |
|
|
Hedging, net |
|
110.1 |
|
80.8 |
|
139.6 |
|
257.4 |
|
|
Fixed maturities, trading |
|
(11.2 |
) |
11.8 |
|
(12.5 |
) |
26.3 |
|
|
Equity securities, available-for-sale: |
|
|
|
|
|
|
|
|
|
|
Gross gains |
|
0.1 |
|
0.9 |
|
2.3 |
|
8.7 |
|
|
Gross losses |
|
— |
|
(0.7 |
) |
(4.5 |
) |
(2.8 |
) |
|
Equity securities, trading |
|
(35.8 |
) |
(1.7 |
) |
20.8 |
|
6.1 |
|
|
Mortgage loans |
|
(13.0 |
) |
(19.7 |
) |
(35.0 |
) |
(128.1 |
) |
|
Derivatives |
|
(105.7 |
) |
(25.4 |
) |
(161.4 |
) |
(232.3 |
) |
|
Other |
|
67.6 |
|
(21.2 |
) |
133.6 |
|
101.8 |
|
|
Net realized capital losses |
|
$ |
(30.7 |
) |
$ |
(20.7 |
) |
$ |
(51.0 |
) |
$ |
(132.6 |
) | | |
|
| Other-Than-Temporary Impairment Losses, Net of Recoveries (Table) |
|
|
|
|
For the three months ended
September 30, |
|
For the nine months ended
September 30, |
|
|
|
|
2011 |
|
2010 |
|
2011 |
|
2010 |
|
|
|
|
(in millions) |
|
|
Fixed maturities, available-for-sale |
|
$ |
(12.8 |
) |
$ |
(56.2 |
) |
$ |
(65.4 |
) |
$ |
(251.7 |
) |
|
Equity securities, available-for-sale |
|
0.1 |
|
0.3 |
|
(2.2 |
) |
4.1 |
|
|
Total other-than-temporary impairment losses, net of recoveries from the sale of previously impaired securities |
|
(12.7 |
) |
(55.9 |
) |
(67.6 |
) |
(247.6 |
) |
|
Other-than-temporary impairment losses on fixed maturities, available-for-sale reclassified to (from) OCI (1) |
|
(34.9 |
) |
6.3 |
|
(83.0 |
) |
64.3 |
|
|
Net impairment losses on available-for-sale securities |
|
$ |
(47.6 |
) |
$ |
(49.6 |
) |
$ |
(150.6 |
) |
$ |
(183.3 |
) |
(1) Represents the net impact of (1) gains resulting from reclassification of noncredit impairment losses for fixed maturities with bifurcated OTTI from net realized capital gains (losses) to OCI and (2) losses resulting from reclassification of previously recognized noncredit impairment losses from OCI to net realized capital gains (losses) for fixed maturities with bifurcated OTTI that had additional credit losses or fixed maturities that previously had bifurcated OTTI that have now been sold or are intended to be sold. |
|
| Other-Than-Temporary Impairment, Credit Losses Recognized in Earnings (Table) |
|
|
|
|
For the three months ended
September 30, |
|
For the nine months ended
September 30, |
|
|
|
|
2011 |
|
2010 |
|
2011 |
|
2010 |
|
|
|
|
(in millions) |
|
|
Beginning balance |
|
$ |
(359.7 |
) |
$ |
(303.0 |
) |
$ |
(325.7 |
) |
$ |
(204.7 |
) |
|
Credit losses for which an other-than-temporary impairment was not previously recognized |
|
(9.1 |
) |
(3.7 |
) |
(24.1 |
) |
(97.9 |
) |
|
Credit losses for which an other-than-temporary impairment was previously recognized |
|
(35.3 |
) |
(32.3 |
) |
(104.0 |
) |
(78.4 |
) |
|
Reduction for credit losses previously recognized on fixed maturities now sold or intended to be sold |
|
11.6 |
|
— |
|
63.3 |
|
39.7 |
|
|
Reduction for credit losses previously recognized on fixed maturities reclassified to trading (1) |
|
— |
|
44.4 |
|
— |
|
44.4 |
|
|
Net reduction (increase) for positive changes in cash flows expected to be collected and amortization (2) |
|
(0.9 |
) |
0.6 |
|
(2.9 |
) |
2.9 |
|
|
Ending balance |
|
$ |
(393.4 |
) |
$ |
(294.0 |
) |
$ |
(393.4 |
) |
$ |
(294.0 |
) |
(1) Fixed maturities previously classified as available-for-sale have been reclassified to trading as a result of electing the fair value option upon adoption of accounting guidance related to the evaluation of credit derivatives embedded in beneficial interests in securitized financial assets.
(2) Amounts are recognized in net investment income. |
|
| Gross Unrealized Losses for Fixed Maturities and Equity Securities (Table) |
|
|
|
|
September 30, 2011 |
|
|
|
|
Less than
twelve months |
|
Greater than or
equal to twelve months |
|
Total |
|
|
|
|
Carrying
value |
|
Gross
unrealized
losses |
|
Carrying
value |
|
Gross
unrealized
losses |
|
Carrying
value |
|
Gross
unrealized
losses |
|
|
|
|
(in millions) |
|
|
Fixed maturities, available-for-sale: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. government and agencies |
|
$ |
45.6 |
|
$ |
0.1 |
|
$ |
— |
|
$ |
— |
|
$ |
45.6 |
|
$ |
0.1 |
|
|
Non-U.S. governments |
|
28.0 |
|
1.0 |
|
0.3 |
|
— |
|
28.3 |
|
1.0 |
|
|
States and political subdivisions |
|
75.8 |
|
0.7 |
|
56.6 |
|
5.0 |
|
132.4 |
|
5.7 |
|
|
Corporate |
|
3,639.4 |
|
160.1 |
|
2,421.6 |
|
577.4 |
|
6,061.0 |
|
737.5 |
|
|
Residential mortgage-backed pass-through securities |
|
35.9 |
|
0.1 |
|
4.4 |
|
0.2 |
|
40.3 |
|
0.3 |
|
|
Commercial mortgage-backed securities |
|
855.2 |
|
73.1 |
|
921.5 |
|
533.1 |
|
1,776.7 |
|
606.2 |
|
|
Collateralized debt obligations |
|
114.0 |
|
2.3 |
|
196.5 |
|
64.0 |
|
310.5 |
|
66.3 |
|
|
Other debt obligations |
|
520.6 |
|
15.7 |
|
458.8 |
|
116.7 |
|
979.4 |
|
132.4 |
|
|
Total fixed maturities, available-for-sale |
|
$ |
5,314.5 |
|
$ |
253.1 |
|
$ |
4,059.7 |
|
$ |
1,296.4 |
|
$ |
9,374.2 |
|
$ |
1,549.5 |
|
|
Total equity securities, available-for-sale |
|
$ |
20.3 |
|
$ |
4.0 |
|
$ |
35.2 |
|
$ |
5.2 |
|
$ |
55.5 |
|
$ |
9.2 |
|
|
|
|
December 31, 2010 |
|
|
|
|
Less than
twelve months |
|
Greater than or
equal to twelve months |
|
Total |
|
|
|
|
Carrying
value |
|
Gross
unrealized
losses |
|
Carrying
value |
|
Gross
unrealized
losses |
|
Carrying
value |
|
Gross
unrealized
losses |
|
|
|
|
(in millions) |
|
|
Fixed maturities, available-for-sale: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. government and agencies |
|
$ |
224.5 |
|
$ |
0.2 |
|
$ |
— |
|
$ |
— |
|
$ |
224.5 |
|
$ |
0.2 |
|
|
Non-U.S. governments |
|
7.9 |
|
— |
|
— |
|
— |
|
7.9 |
|
— |
|
|
States and political subdivisions |
|
771.0 |
|
18.4 |
|
44.2 |
|
4.9 |
|
815.2 |
|
23.3 |
|
|
Corporate |
|
2,457.4 |
|
69.1 |
|
3,948.9 |
|
475.9 |
|
6,406.3 |
|
545.0 |
|
|
Residential mortgage-backed pass-through securities |
|
384.9 |
|
5.9 |
|
— |
|
— |
|
384.9 |
|
5.9 |
|
|
Commercial mortgage-backed securities |
|
340.1 |
|
4.9 |
|
1,186.4 |
|
695.8 |
|
1,526.5 |
|
700.7 |
|
|
Collateralized debt obligations |
|
10.4 |
|
0.5 |
|
233.0 |
|
88.7 |
|
243.4 |
|
89.2 |
|
|
Other debt obligations |
|
401.5 |
|
8.4 |
|
578.4 |
|
116.1 |
|
979.9 |
|
124.5 |
|
|
Total fixed maturities, available-for-sale |
|
$ |
4,597.7 |
|
$ |
107.4 |
|
$ |
5,990.9 |
|
$ |
1,381.4 |
|
$ |
10,588.6 |
|
$ |
1,488.8 |
|
|
Total equity securities, available-for-sale |
|
$ |
47.3 |
|
$ |
7.2 |
|
$ |
77.0 |
|
$ |
11.0 |
|
$ |
124.3 |
|
$ |
18.2 |
| | | |
|
| Net Unrealized Gains and Losses on Available-for-Sale Securities and Derivative Instruments (Table) |
|
|
|
|
September 30, 2011 |
|
December 31, 2010 |
|
|
|
|
(in millions) |
|
|
Net unrealized gains on fixed maturities, available-for-sale (1) |
|
$ |
1,891.1 |
|
$ |
1,197.7 |
|
|
Noncredit component of impairment losses on fixed maturities, available-for-sale |
|
(251.0 |
) |
(334.5 |
) |
|
Net unrealized losses on equity securities, available-for-sale |
|
(0.4 |
) |
(10.1 |
) |
|
Adjustments for assumed changes in amortization patterns |
|
(445.7 |
) |
(273.8 |
) |
|
Adjustments for assumed changes in policyholder liabilities |
|
(245.8 |
) |
(212.4 |
) |
|
Net unrealized gains on derivative instruments |
|
107.2 |
|
53.5 |
|
|
Net unrealized gains on equity method subsidiaries and noncontrolling interest adjustments |
|
151.4 |
|
145.2 |
|
|
Provision for deferred income taxes |
|
(395.2 |
) |
(169.0 |
) |
|
Effects of implementation of accounting change related to variable interest entities, net |
|
— |
|
10.7 |
|
|
Effects of electing fair value option for fixed maturities upon implementation of accounting changes related to embedded credit derivatives, net |
|
— |
|
25.4 |
|
|
Net unrealized gains on available-for-sale securities and derivative instruments |
|
$ |
811.6 |
|
$ |
432.7 |
|
(1) Excludes net unrealized gains (losses) on fixed maturities, available-for-sale included in fair value hedging relationships. |
|
| Mortgage Loans (Table) |
|
|
|
|
September 30, 2011 |
|
December 31, 2010 |
|
|
|
|
(in millions) |
|
|
|
|
|
|
|
|
|
Commercial mortgage loans |
|
$ |
9,576.2 |
|
$ |
9,689.6 |
|
|
Residential mortgage loans |
|
1,395.4 |
|
1,556.6 |
|
|
Total amortized cost |
|
10,971.6 |
|
11,246.2 |
|
|
|
|
|
|
|
|
|
Valuation allowance |
|
(111.2 |
) |
(121.1 |
) |
|
Total carrying value |
|
$ |
10,860.4 |
|
$ |
11,125.1 |
| | | |
|
| Commercial Mortgage Loans by Geographic Distribution and Property Type Distribution (Table) |
|
|
|
|
September 30, 2011 |
|
December 31, 2010 |
|
|
|
|
Amortized
cost |
|
Percent
of total |
|
Amortized
cost |
|
Percent
of total |
|
|
|
|
($ in millions) |
|
|
Geographic distribution |
|
|
|
|
|
|
|
|
|
|
New England |
|
$ |
457.9 |
|
4.8 |
% |
$ |
430.3 |
|
4.5 |
% |
|
Middle Atlantic |
|
1,640.9 |
|
17.1 |
|
1,648.4 |
|
17.0 |
|
|
East North Central |
|
789.4 |
|
8.2 |
|
841.1 |
|
8.7 |
|
|
West North Central |
|
418.9 |
|
4.4 |
|
466.7 |
|
4.8 |
|
|
South Atlantic |
|
2,263.7 |
|
23.7 |
|
2,358.1 |
|
24.3 |
|
|
East South Central |
|
233.9 |
|
2.4 |
|
231.5 |
|
2.4 |
|
|
West South Central |
|
627.3 |
|
6.6 |
|
548.6 |
|
5.7 |
|
|
Mountain |
|
641.3 |
|
6.7 |
|
691.0 |
|
7.1 |
|
|
Pacific |
|
2,492.4 |
|
26.0 |
|
2,464.5 |
|
25.4 |
|
|
International |
|
10.5 |
|
0.1 |
|
9.4 |
|
0.1 |
|
|
Total |
|
$ |
9,576.2 |
|
100.0 |
% |
$ |
9,689.6 |
|
100.0 |
% |
|
Property type distribution |
|
|
|
|
|
|
|
|
|
|
Office |
|
$ |
2,887.7 |
|
30.3 |
% |
$ |
2,886.2 |
|
29.8 |
% |
|
Retail |
|
2,502.2 |
|
26.1 |
|
2,503.0 |
|
25.8 |
|
|
Industrial |
|
2,174.8 |
|
22.7 |
|
2,334.5 |
|
24.1 |
|
|
Apartments |
|
1,192.0 |
|
12.4 |
|
1,138.1 |
|
11.7 |
|
|
Hotel |
|
460.4 |
|
4.8 |
|
471.8 |
|
4.9 |
|
|
Mixed use/other |
|
359.1 |
|
3.7 |
|
356.0 |
|
3.7 |
|
|
Total |
|
$ |
9,576.2 |
|
100.0 |
% |
$ |
9,689.6 |
|
100.0 |
% | | |
|
| Commercial Mortgage Loan Portfolio by Credit Risk (Table) |
|
|
|
|
September 30, 2011 |
|
|
|
|
Brick and mortar |
|
CTL |
|
Total |
|
|
|
|
(in millions) |
|
|
A- and above |
|
$ |
5,443.1 |
|
$ |
314.8 |
|
$ |
5,757.9 |
|
|
BBB+ thru BBB- |
|
2,254.9 |
|
243.2 |
|
2,498.1 |
|
|
BB+ thru BB- |
|
598.9 |
|
19.3 |
|
618.2 |
|
|
B+ and below |
|
698.4 |
|
3.6 |
|
702.0 |
|
|
Total |
|
$ |
8,995.3 |
|
$ |
580.9 |
|
$ |
9,576.2 |
|
|
|
|
December 31, 2010 |
|
|
|
|
Brick and mortar |
|
CTL |
|
Total |
|
|
|
|
(in millions) |
|
|
A- and above |
|
$ |
4,781.8 |
|
$ |
324.7 |
|
$ |
5,106.5 |
|
|
BBB+ thru BBB- |
|
2,636.1 |
|
249.5 |
|
2,885.6 |
|
|
BB+ thru BB- |
|
726.1 |
|
38.5 |
|
764.6 |
|
|
B+ and below |
|
929.0 |
|
3.9 |
|
932.9 |
|
|
Total |
|
$ |
9,073.0 |
|
$ |
616.6 |
|
$ |
9,689.6 |
| | |
|
| Performing and Non-Performing Residential Mortgage Loans (Table) |
|
|
|
|
September 30, 2011 |
|
|
|
|
Home equity |
|
First liens |
|
Total |
|
|
|
|
(in millions) |
|
|
Performing |
|
$ |
626.9 |
|
$ |
733.1 |
|
$ |
1,360.0 |
|
|
Nonperforming |
|
13.5 |
|
21.9 |
|
35.4 |
|
|
Total |
|
$ |
640.4 |
|
$ |
755.0 |
|
$ |
1,395.4 |
|
|
|
|
December 31, 2010 |
|
|
|
|
Home equity |
|
First liens |
|
Total |
|
|
|
|
(in millions) |
|
|
Performing |
|
$ |
705.0 |
|
$ |
811.6 |
|
$ |
1,516.6 |
|
|
Nonperforming |
|
14.3 |
|
25.7 |
|
40.0 |
|
|
Total |
|
$ |
719.3 |
|
$ |
837.3 |
|
$ |
1,556.6 |
| | |
|
| Non-Accrual Mortgage Loans (Table) |
|
|
|
|
September 30, 2011 |
|
December 31, 2010 |
|
|
|
|
(in millions) |
|
|
Commercial: |
|
|
|
|
|
|
Brick and mortar |
|
$ |
74.1 |
|
$ |
67.1 |
|
|
Residential: |
|
|
|
|
|
|
Home equity |
|
13.5 |
|
14.3 |
|
|
First liens |
|
15.0 |
|
15.7 |
|
|
Total |
|
$ |
102.6 |
|
$ |
97.1 |
| | | |
|
| Mortgage Loans Aging (Table) |
|
|
|
|
September 30, 2011 |
|
|
|
|
30-59 days
past due |
|
60-89 days
past due |
|
90 days or
more past
due |
|
Total past
due |
|
Current |
|
Total loans |
|
Recorded
investment
90 days or
more and
accruing |
|
|
|
|
(in millions) |
|
|
Commercial-brick and mortar |
|
$ |
18.4 |
|
$ |
— |
|
$ |
27.0 |
|
$ |
45.4 |
|
$ |
8,949.9 |
|
$ |
8,995.3 |
|
$ |
— |
|
|
Commercial-CTL |
|
— |
|
— |
|
— |
|
— |
|
580.9 |
|
580.9 |
|
— |
|
|
Residential-home equity |
|
15.1 |
|
5.1 |
|
6.7 |
|
26.9 |
|
613.5 |
|
640.4 |
|
— |
|
|
Residential-first liens |
|
16.5 |
|
6.1 |
|
20.9 |
|
43.5 |
|
711.5 |
|
755.0 |
|
6.9 |
|
|
Total |
|
$ |
50.0 |
|
$ |
11.2 |
|
$ |
54.6 |
|
$ |
115.8 |
|
$ |
10,855.8 |
|
$ |
10,971.6 |
|
$ |
6.9 |
|
|
|
|
December 31, 2010 |
|
|
|
|
30-59 days
past due |
|
60-89 days
past due |
|
90 days or
more past
due |
|
Total past
due |
|
Current |
|
Total loans |
|
Recorded
investment
90 days or
more and
accruing |
|
|
|
|
(in millions) |
|
|
Commercial-brick and mortar |
|
$ |
— |
|
$ |
22.5 |
|
$ |
9.1 |
|
$ |
31.6 |
|
$ |
9,041.4 |
|
$ |
9,073.0 |
|
$ |
— |
|
|
Commercial-CTL |
|
— |
|
— |
|
— |
|
— |
|
616.6 |
|
616.6 |
|
— |
|
|
Residential-home equity |
|
9.3 |
|
4.5 |
|
9.2 |
|
23.0 |
|
696.3 |
|
719.3 |
|
— |
|
|
Residential-first liens |
|
19.1 |
|
8.5 |
|
23.0 |
|
50.6 |
|
786.7 |
|
837.3 |
|
10.0 |
|
|
Total |
|
$ |
28.4 |
|
$ |
35.5 |
|
$ |
41.3 |
|
$ |
105.2 |
|
$ |
11,141.0 |
|
$ |
11,246.2 |
|
$ |
10.0 |
| | |
|
| Mortgage Loan Valuation Allowance (Table) |
|
|
|
|
For the three months ended September 30, 2011 |
|
|
|
|
Commercial |
|
Residential |
|
Total |
|
|
|
|
(in millions) |
|
|
Beginning balance |
|
$ |
75.6 |
|
$ |
38.7 |
|
$ |
114.3 |
|
|
Provision |
|
0.4 |
|
7.4 |
|
7.8 |
|
|
Charge-offs |
|
(4.2 |
) |
(7.6 |
) |
(11.8 |
) |
|
Recoveries |
|
— |
|
1.1 |
|
1.1 |
|
|
Effect of exchange rates |
|
— |
|
(0.2 |
) |
(0.2 |
) |
|
Ending balance |
|
$ |
71.8 |
|
$ |
39.4 |
|
$ |
111.2 |
|
|
|
|
For the nine months ended, September 30, 2011 |
|
|
|
|
Commercial |
|
Residential |
|
Total |
|
|
|
|
(in millions) |
|
|
Beginning balance |
|
$ |
80.6 |
|
$ |
40.5 |
|
$ |
121.1 |
|
|
Provision |
|
13.5 |
|
21.3 |
|
34.8 |
|
|
Charge-offs |
|
(22.4 |
) |
(24.8 |
) |
(47.2 |
) |
|
Recoveries |
|
0.1 |
|
2.6 |
|
2.7 |
|
|
Effect of exchange rates |
|
— |
|
(0.2 |
) |
(0.2 |
) |
|
Ending balance |
|
$ |
71.8 |
|
$ |
39.4 |
|
$ |
111.2 |
|
|
Allowance ending balance by basis of impairment method: |
|
|
|
|
|
|
|
|
Individually evaluated for impairment |
|
$ |
4.1 |
|
$ |
3.8 |
|
$ |
7.9 |
|
|
Collectively evaluated for impairment |
|
67.7 |
|
35.6 |
|
103.3 |
|
|
Allowance ending balance |
|
$ |
71.8 |
|
$ |
39.4 |
|
$ |
111.2 |
|
|
Loan balance by basis of impairment method: |
|
|
|
|
|
|
|
|
Individually evaluated for impairment |
|
$ |
19.1 |
|
$ |
25.8 |
|
$ |
44.9 |
|
|
Collectively evaluated for impairment |
|
9,557.1 |
|
1,369.6 |
|
10,926.7 |
|
|
Loan ending balance |
|
$ |
9,576.2 |
|
$ |
1,395.4 |
|
$ |
10,971.6 |
| | |
|
| Impaired Mortgage Loans (Table) |
|
|
|
|
September 30, 2011 |
|
|
|
|
Recorded
investment |
|
Unpaid
principal
balance |
|
Related
allowance |
|
|
|
|
(in millions) |
|
|
With no related allowance recorded: |
|
|
|
|
|
|
|
|
Commercial-brick and mortar |
|
$ |
40.7 |
|
$ |
51.2 |
|
$ |
— |
|
|
Residential-first liens |
|
4.1 |
|
4.0 |
|
— |
|
|
With an allowance recorded: |
|
|
|
|
|
|
|
|
Commercial-brick and mortar |
|
19.1 |
|
19.1 |
|
4.1 |
|
|
Residential-home equity |
|
12.9 |
|
12.5 |
|
2.2 |
|
|
Residential-first liens |
|
8.9 |
|
8.8 |
|
1.6 |
|
|
Total: |
|
|
|
|
|
|
|
|
Commercial |
|
$ |
59.8 |
|
$ |
70.3 |
|
$ |
4.1 |
|
|
Residential |
|
$ |
25.9 |
|
$ |
25.3 |
|
$ |
3.8 |
|
|
|
|
December 31, 2010 |
|
|
|
|
Recorded
investment |
|
Unpaid
principal
balance |
|
Related allowance |
|
|
|
|
(in millions) |
|
|
With no related allowance recorded: |
|
|
|
|
|
|
|
|
Commercial-brick and mortar |
|
$ |
22.5 |
|
$ |
28.9 |
|
$ |
— |
|
|
Residential-first liens |
|
5.3 |
|
5.2 |
|
— |
|
|
With an allowance recorded: |
|
|
|
|
|
|
|
|
Commercial-brick and mortar |
|
29.8 |
|
29.7 |
|
9.1 |
|
|
Residential-home equity |
|
11.5 |
|
11.2 |
|
2.3 |
|
|
Residential-first liens |
|
10.0 |
|
9.9 |
|
3.0 |
|
|
Total: |
|
|
|
|
|
|
|
|
Commercial |
|
$ |
52.3 |
|
$ |
58.6 |
|
$ |
9.1 |
|
|
Residential |
|
$ |
26.8 |
|
$ |
26.3 |
|
$ |
5.3 |
|
|
|
|
For the three months ended
September 30, 2011 |
|
For the nine months ended
September 30, 2011 |
|
|
|
|
Average
recorded
investment |
|
Interest income
recognized |
|
Average
recorded
investment |
|
Interest income
recognized |
|
|
|
|
(in millions) |
|
|
With no related allowance recorded: |
|
|
|
|
|
|
|
|
|
|
Commercial-brick and mortar |
|
$ |
45.0 |
|
$ |
0.2 |
|
$ |
31.6 |
|
$ |
0.7 |
|
|
Residential-first liens |
|
4.0 |
|
— |
|
4.5 |
|
— |
|
|
With an allowance recorded: |
|
|
|
|
|
|
|
|
|
|
Commercial-brick and mortar |
|
22.4 |
|
0.3 |
|
28.5 |
|
0.9 |
|
|
Residential-home equity |
|
12.6 |
|
0.2 |
|
12.4 |
|
0.5 |
|
|
Residential-first liens |
|
9.5 |
|
— |
|
9.7 |
|
0.1 |
|
|
Total: |
|
|
|
|
|
|
|
|
|
|
Commercial |
|
$ |
67.4 |
|
$ |
0.5 |
|
$ |
60.1 |
|
$ |
1.6 |
|
|
Residential |
|
$ |
26.1 |
|
$ |
0.2 |
|
$ |
26.6 |
|
$ |
0.6 | | |
|
| Mortgage Loans Modified as a Troubled Debt Restructuring (Table) |
|
|
|
|
For the three months ended September 30, 2011 |
|
|
|
|
TDRs |
|
TDRs in payment default |
|
|
|
|
Number of
contracts |
|
Recorded
investment |
|
Number of
contracts |
|
Recorded
investment |
|
|
|
|
|
|
(in millions) |
|
|
|
(in millions) |
|
|
Commercial-brick and mortar |
|
— |
|
$ |
— |
|
— |
|
$ |
— |
|
|
Residential-home equity |
|
20 |
|
0.8 |
|
1 |
|
— |
|
|
Residential-first liens |
|
1 |
|
0.2 |
|
1 |
|
0.3 |
|
|
Total |
|
21 |
|
$ |
1.0 |
|
2 |
|
$ |
0.3 |
|
|
|
|
For the nine months ended September 30, 2011 |
|
|
|
|
TDRs |
|
TDRs in payment default |
|
|
|
|
Number of
contracts |
|
Recorded
investment |
|
Number of
contracts |
|
Recorded
investment |
|
|
|
|
|
|
(in millions) |
|
|
|
(in millions) |
|
|
Commercial-brick and mortar |
|
4 |
|
$ |
28.5 |
|
2 |
|
$ |
17.6 |
|
|
Residential-home equity |
|
80 |
|
4.1 |
|
4 |
|
— |
|
|
Residential-first liens |
|
5 |
|
1.3 |
|
1 |
|
0.3 |
|
|
Total |
|
89 |
|
$ |
33.9 |
|
7 |
|
$ |
17.9 | | |
|