Investments (Tables)
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3 Months Ended |
Mar. 31, 2012
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Notes to Financial Statements [Abstract] |
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Schedule of Available-for-sale Securities Reconciliation |
At March 31, 2012 and December 31, 2011, all fixed maturity securities were classified as available-for-sale. The amortized cost and fair values of securities by security type are shown as follows. | | | | | | | | | | | | | | | | | | March 31, 2012 | | (in millions of dollars) | | Amortized Cost | | Gross Unrealized Gain | | Gross Unrealized Loss | | Fair Value | United States Government and Government Agencies and Authorities | $ | 997.1 |
| | $ | 254.5 |
| | $ | 2.0 |
| | $ | 1,249.6 |
| States, Municipalities, and Political Subdivisions | 1,341.1 |
| | 226.5 |
| | 11.2 |
| | 1,556.4 |
| Foreign Governments | 1,185.3 |
| | 226.5 |
| | — |
| | 1,411.8 |
| Public Utilities | 9,026.0 |
| | 1,451.0 |
| | 36.1 |
| | 10,440.9 |
| Mortgage/Asset-Backed Securities | 2,504.4 |
| | 338.8 |
| | 0.9 |
| | 2,842.3 |
| All Other Corporate Bonds | 21,793.6 |
| | 3,178.8 |
| | 106.6 |
| | 24,865.8 |
| Redeemable Preferred Stocks | 40.5 |
| | 4.5 |
| | 0.6 |
| | 44.4 |
| Total Fixed Maturity Securities | $ | 36,888.0 |
| | $ | 5,680.6 |
| | $ | 157.4 |
| | $ | 42,411.2 |
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| | | | | | | | | | | | | | | | | | December 31, 2011 | | (in millions of dollars) | | Amortized Cost | | Gross Unrealized Gain | | Gross Unrealized Loss | | Fair Value | United States Government and Government Agencies and Authorities | $ | 1,005.8 |
| | $ | 299.7 |
| | $ | 1.1 |
| | $ | 1,304.4 |
| States, Municipalities, and Political Subdivisions | 1,377.8 |
| | 222.6 |
| | 8.8 |
| | 1,591.6 |
| Foreign Governments | 1,139.4 |
| | 237.3 |
| | — |
| | 1,376.7 |
| Public Utilities | 9,015.7 |
| | 1,646.2 |
| | 28.6 |
| | 10,633.3 |
| Mortgage/Asset-Backed Securities | 2,634.6 |
| | 344.1 |
| | 5.5 |
| | 2,973.2 |
| All Other Corporate Bonds | 21,411.6 |
| | 3,314.8 |
| | 176.3 |
| | 24,550.1 |
| Redeemable Preferred Stocks | 55.8 |
| | 3.5 |
| | 1.9 |
| | 57.4 |
| Total Fixed Maturity Securities | $ | 36,640.7 |
| | $ | 6,068.2 |
| | $ | 222.2 |
| | $ | 42,486.7 |
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As of March 31, 2012 and December 31, 2011, we held no fixed maturity securities for which a portion of an other-than-temporary impairment had previously been recognized in other comprehensive income.
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Length of Time Fixed Maturity Securities had been in a Gross Unrealized Loss Position |
The following charts indicate the length of time our fixed maturity securities had been in a gross unrealized loss position. | | | | | | | | | | | | | | | | | | March 31, 2012 | | (in millions of dollars) | | Less Than 12 Months | | 12 Months or Greater | | Fair Value | | Gross Unrealized Loss | | Fair Value | | Gross Unrealized Loss | United States Government and Government Agencies and Authorities | $ | 8.9 |
| | $ | 0.2 |
| | $ | 5.6 |
| | $ | 1.8 |
| States, Municipalities, and Political Subdivisions | 68.7 |
| | 3.8 |
| | 74.8 |
| | 7.4 |
| Public Utilities | 229.4 |
| | 19.0 |
| | 128.9 |
| | 17.1 |
| Mortgage/Asset-Backed Securities | 38.6 |
| | 0.3 |
| | 9.0 |
| | 0.6 |
| All Other Corporate Bonds | 1,253.4 |
| | 39.9 |
| | 590.1 |
| | 66.7 |
| Redeemable Preferred Stocks | — |
| | — |
| | 6.9 |
| | 0.6 |
| Total Fixed Maturity Securities | $ | 1,599.0 |
| | $ | 63.2 |
| | $ | 815.3 |
| | $ | 94.2 |
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| | | | | | | | | | | | | | | | | | December 31, 2011 | | (in millions of dollars) | | Less Than 12 Months | | 12 Months or Greater | | Fair Value | | Gross Unrealized Loss | | Fair Value | | Gross Unrealized Loss | United States Government and Government Agencies and Authorities | $ | — |
| | $ | — |
| | $ | 6.3 |
| | $ | 1.1 |
| States, Municipalities, and Political Subdivisions | 51.6 |
| | 1.3 |
| | 75.3 |
| | 7.5 |
| Public Utilities | 192.0 |
| | 7.9 |
| | 142.2 |
| | 20.7 |
| Mortgage/Asset-Backed Securities | 94.2 |
| | 4.8 |
| | 19.6 |
| | 0.7 |
| All Other Corporate Bonds | 1,703.9 |
| | 65.5 |
| | 684.9 |
| | 110.8 |
| Redeemable Preferred Stocks | — |
| | — |
| | 20.9 |
| | 1.9 |
| Total Fixed Maturity Securities | $ | 2,041.7 |
| | $ | 79.5 |
| | $ | 949.2 |
| | $ | 142.7 |
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Distribution of the Maturity Dates for Fixed Maturity Securities |
The following is a distribution of the maturity dates for fixed maturity securities. The maturity dates have not been adjusted for possible calls or prepayments. | | | | | | | | | | | | | | | | | | | | | | March 31, 2012 | | (in millions of dollars) | | Total Amortized Cost | | Unrealized Gain Position | | Unrealized Loss Position | | | Gross Gain | | Fair Value | | Gross Loss | | Fair Value | 1 year or less | $ | 617.5 |
| | $ | 17.3 |
| | $ | 629.8 |
| | $ | — |
| | $ | 5.0 |
| Over 1 year through 5 years | 5,281.0 |
| | 496.2 |
| | 5,428.0 |
| | 6.2 |
| | 343.0 |
| Over 5 years through 10 years | 9,659.8 |
| | 1,315.4 |
| | 10,269.9 |
| | 34.5 |
| | 670.8 |
| Over 10 years | 18,825.3 |
| | 3,512.9 |
| | 20,874.5 |
| | 115.8 |
| | 1,347.9 |
| | 34,383.6 |
| | 5,341.8 |
| | 37,202.2 |
| | 156.5 |
| | 2,366.7 |
| Mortgage/Asset-Backed Securities | 2,504.4 |
| | 338.8 |
| | 2,794.7 |
| | 0.9 |
| | 47.6 |
| Total Fixed Maturity Securities | $ | 36,888.0 |
| | $ | 5,680.6 |
| | $ | 39,996.9 |
| | $ | 157.4 |
| | $ | 2,414.3 |
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Note 4 - Investments - Continued
| | | | | | | | | | | | | | | | | | | | | | December 31, 2011 | | (in millions of dollars) | | Total Amortized Cost | | Unrealized Gain Position | | Unrealized Loss Position | | | Gross Gain | | Fair Value | | Gross Loss | | Fair Value | 1 year or less | $ | 715.1 |
| | $ | 16.0 |
| | $ | 701.4 |
| | $ | 0.1 |
| | $ | 29.6 |
| Over 1 year through 5 years | 5,161.5 |
| | 449.8 |
| | 4,949.0 |
| | 20.7 |
| | 641.6 |
| Over 5 years through 10 years | 9,630.5 |
| | 1,266.3 |
| | 9,903.8 |
| | 52.8 |
| | 940.2 |
| Over 10 years | 18,499.0 |
| | 3,992.0 |
| | 21,082.2 |
| | 143.1 |
| | 1,265.7 |
| | 34,006.1 |
| | 5,724.1 |
| | 36,636.4 |
| | 216.7 |
| | 2,877.1 |
| Mortgage/Asset-Backed Securities | 2,634.6 |
| | 344.1 |
| | 2,859.4 |
| | 5.5 |
| | 113.8 |
| Total Fixed Maturity Securities | $ | 36,640.7 |
| | $ | 6,068.2 |
| | $ | 39,495.8 |
| | $ | 222.2 |
| | $ | 2,990.9 |
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Credit Losses Remaining in Retained Earnings Related to Adoption of Accounting Standard |
The following table presents the before-tax credit related portion of other-than-temporary impairments on fixed maturity securities still held for which a portion of an other-than-temporary impairment was recognized in other comprehensive income. We held no fixed maturity securities as of the beginning of 2012 or at the end of the first quarter of 2012 for which a portion of an other-than-temporary impairment was previously recognized in other comprehensive income. | | | | | | Three Months Ended | | March 31, 2011 | | (in millions of dollars) | Balance at Beginning of Year | $ | 8.5 |
| Sales or Maturities of Securities | (8.5 | ) | Balance at End of Period | $ | — |
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Mortgage Loans by Property Type |
Mortgage loans by property type and geographic region are as follows: | | | | | | | | | | | | | | | | March 31, 2012 | | December 31, 2011 | | Carrying | | Percent of | | Carrying | | Percent of | | Amount | | Total | | Amount | | Total | | (in millions of dollars) | Property Type | | | | | | | | Apartment | $ | 27.8 |
| | 1.7 | % | | $ | 28.0 |
| | 1.8 | % | Industrial | 504.5 |
| | 31.2 |
| | 502.0 |
| | 31.1 |
| Mixed | 93.0 |
| | 5.8 |
| | 93.5 |
| | 5.8 |
| Office | 663.8 |
| | 41.1 |
| | 659.3 |
| | 40.9 |
| Retail | 319.8 |
| | 19.8 |
| | 322.4 |
| | 20.0 |
| Other | 7.0 |
| | 0.4 |
| | 7.1 |
| | 0.4 |
| Total | $ | 1,615.9 |
| | 100.0 | % | | $ | 1,612.3 |
| | 100.0 | % |
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Mortgage Loans by Geographic Region |
| | | | | | | | | | | | | | | Region | | | | | | | | New England | $ | 145.8 |
| | 9.0 | % | | $ | 147.0 |
| | 9.1 | % | Mid-Atlantic | 172.5 |
| | 10.7 |
| | 174.1 |
| | 10.8 |
| East North Central | 211.3 |
| | 13.1 |
| | 212.7 |
| | 13.2 |
| West North Central | 149.9 |
| | 9.3 |
| | 151.2 |
| | 9.4 |
| South Atlantic | 397.5 |
| | 24.6 |
| | 383.8 |
| | 23.8 |
| East South Central | 52.1 |
| | 3.2 |
| | 52.4 |
| | 3.3 |
| West South Central | 158.8 |
| | 9.8 |
| | 160.4 |
| | 9.9 |
| Mountain | 69.0 |
| | 4.3 |
| | 69.5 |
| | 4.3 |
| Pacific | 259.0 |
| | 16.0 |
| | 261.2 |
| | 16.2 |
| Total | $ | 1,615.9 |
| | 100.0 | % | | $ | 1,612.3 |
| | 100.0 | % |
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Mortgage Loans, Sorted by Applicable Credit Quality Indicators, Internal Rating |
Mortgage loans, sorted by the applicable credit quality indicators, are as follows: | | | | | | | | | | March 31 | | December 31 | | 2012 | | 2011 | | (in millions of dollars) | Internal Rating | | | | Aa | $ | 13.9 |
| | $ | 10.9 |
| A | 690.7 |
| | 712.6 |
| Baa | 878.1 |
| | 855.0 |
| Ba | 20.1 |
| | 20.7 |
| B | 13.1 |
| | 13.1 |
| Total | $ | 1,615.9 |
| | $ | 1,612.3 |
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Mortgage Loans by Applicable Credit Quality Indicators Loan to Value Ratio |
| | | | | | | | | Loan-to-Value Ratio | | | | <= 65% | $ | 614.7 |
| | $ | 578.4 |
| > 65% <= 75% | 778.3 |
| | 802.3 |
| > 75% <= 85% | 171.6 |
| | 165.1 |
| > 85% <= 100% | 51.3 |
| | 66.5 |
| Total | $ | 1,615.9 |
| | $ | 1,612.3 |
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Activity in the Allowance for Credit Losses |
The activity in the allowance for credit losses is as follows: | | | | | | | | | | Three Months Ended March 31 | | 2012 | | 2011 | | (in millions of dollars) | Balance at Beginning of Year | $ | 1.5 |
| | $ | 1.5 |
| Provision | 0.5 |
| | — |
| Balance at End of Period | $ | 2.0 |
| | $ | 1.5 |
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Impaired Mortgage Loans |
Impaired mortgage loans are as follows: | | | | | | | | | | | | | | March 31, 2012 | | (in millions of dollars) | | | | Unpaid | | | | Recorded | | Principal | | Related | | Investment | | Balance | | Allowance | With an Allowance Recorded | $ | 22.0 |
| | $ | 24.0 |
| | $ | 2.0 |
| | | December 31, 2011 | | (in millions of dollars) | | | | Unpaid | | | | Recorded | | Principal | | Related | | Investment | | Balance | | Allowance | With No Related Allowance Recorded | $ | 9.4 |
| | $ | 9.4 |
| | $ | — |
| With an Allowance Recorded | 13.1 |
| | 14.6 |
| | 1.5 |
| Total | $ | 22.5 |
| | $ | 24.0 |
| | $ | 1.5 |
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Troubled Debt Restructurings |
Our troubled debt restructurings during the three months ended March 31, 2012 and 2011 were comprised entirely of loan foreclosures. A summary of our troubled debt restructurings is as follows: | | | | | | | | | | Three Months Ended March 31 | | 2012 | | 2011 | | (in millions of dollars) | Foreclosure | | | | Carrying Amount | $ | 4.2 |
| | $ | 9.8 |
| Number of Loans | 1 |
| | 1 |
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We had no realized losses on loan foreclosures for the three months ended March 31, 2012 and 2011 |
Realized Investment Gains and Losses Reported in Consolidated Statements of Income |
Realized Investment Gain and Loss
Realized investment gains and losses reported in our consolidated statements of income are as follows: | | | | | | | | | | Three Months Ended March 31 | | 2012 | | 2011 | | (in millions of dollars) | Fixed Maturity Securities | | | | Gross Gains on Sales | $ | 5.9 |
| | $ | 9.5 |
| Gross Losses on Sales | (5.0 | ) | | (6.9 | ) | Other-Than-Temporary Impairment Loss | — |
| | (2.3 | ) | Mortgage Loans and Other Invested Assets | | | | Gross Gains on Sales | — |
| | 1.2 |
| Impairment Loss | (0.5 | ) | | — |
| Embedded Derivative in Modified Coinsurance Arrangement | 12.3 |
| | 14.1 |
| Foreign Currency Transactions | (0.3 | ) | | (0.4 | ) | Net Realized Investment Gain | $ | 12.4 |
| | $ | 15.2 |
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