(Mark One) | |
ý | QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
o | TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
Connecticut | 71-0294708 |
(State or other jurisdiction of incorporation or organization) | (IRS Employer Identification No.) |
One Orange Way | |
Windsor, Connecticut | 06095-4774 |
(Address of principal executive offices) | (Zip Code) |
Large accelerated filer o | Accelerated filer o |
Non-accelerated filer x | Smaller reporting company o |
(Do not check if a smaller reporting company) |
INDEX | ||
PAGE | ||
PART I. | FINANCIAL INFORMATION (UNAUDITED) | |
Item 1. | Financial Statements: | |
Item 2. | ||
Item 4. | ||
PART II. | OTHER INFORMATION | |
Item 1. | ||
Item 1A. | ||
Item 5. | ||
Item 6. | ||
2 |
3 |
June 30, 2013 | December 31, 2012 | ||||||
Assets | |||||||
Investments: | |||||||
Fixed maturities, available-for-sale, at fair value (amortized cost of $18,791.1 at 2013 and $18,458.7 at 2012) | $ | 19,798.8 | $ | 20,690.8 | |||
Fixed maturities, at fair value using the fair value option | 514.2 | 544.7 | |||||
Equity securities, available-for-sale, at fair value (cost of $110.2 at 2013 and $129.3 at 2012) | 126.7 | 142.8 | |||||
Short-term investments | 310.5 | 679.8 | |||||
Mortgage loans on real estate, net of valuation allowance of $1.5 at 2013 and $1.3 at 2012 | 3,187.9 | 2,872.7 | |||||
Policy loans | 239.8 | 240.9 | |||||
Limited partnerships/corporations | 181.3 | 179.6 | |||||
Derivatives | 430.5 | 512.7 | |||||
Securities pledged (amortized cost of $214.3 at 2013 and $207.2 at 2012) | 217.4 | 219.7 | |||||
Total investments | 25,007.1 | 26,083.7 | |||||
Cash and cash equivalents | 284.5 | 363.4 | |||||
Short-term investments under securities loan agreement, including collateral delivered | 162.7 | 186.1 | |||||
Accrued investment income | 286.5 | 273.0 | |||||
Receivable for securities sold | 17.5 | 3.9 | |||||
Reinsurance recoverable | 2,098.8 | 2,153.7 | |||||
Deferred policy acquisition costs, Value of business acquired and Sales inducements to contract owners | 1,100.4 | 695.0 | |||||
Notes receivable from affiliate | 175.0 | 175.0 | |||||
Due from affiliates | 56.8 | 99.8 | |||||
Property and equipment | 80.2 | 81.8 | |||||
Other assets | 104.2 | 101.1 | |||||
Assets held in separate accounts | 58,022.3 | 53,655.3 | |||||
Total assets | $ | 87,396.0 | $ | 83,871.8 |
The accompanying notes are an integral part of these Condensed Consolidated Financial Statements. | ||
4 |
June 30, 2013 | December 31, 2012 | ||||||
Liabilities and Shareholder’s Equity | |||||||
Future policy benefits and contract owner account balances | $ | 24,324.2 | $ | 24,191.2 | |||
Payable for securities purchased | 58.4 | — | |||||
Payables under securities loan agreement, including collateral held | 268.4 | 353.2 | |||||
Long-term debt | 4.9 | 4.9 | |||||
Due to affiliates | 100.7 | 95.1 | |||||
Derivatives | 306.3 | 346.8 | |||||
Current income tax payable to Parent | 7.0 | 32.1 | |||||
Deferred income taxes | 252.6 | 507.1 | |||||
Other liabilities | 339.7 | 424.7 | |||||
Liabilities related to separate accounts | 58,022.3 | 53,655.3 | |||||
Total liabilities | 83,684.5 | 79,610.4 | |||||
Shareholder’s equity: | |||||||
Common stock (100,000 shares authorized, 55,000 issued and outstanding; $50 per share value) | 2.8 | 2.8 | |||||
Additional paid-in capital | 4,043.3 | 4,217.2 | |||||
Accumulated other comprehensive income (loss) | 495.0 | 1,023.0 | |||||
Retained earnings (deficit) | (829.6 | ) | (981.6 | ) | |||
Total shareholder’s equity | 3,711.5 | 4,261.4 | |||||
Total liabilities and shareholder’s equity | $ | 87,396.0 | $ | 83,871.8 |
The accompanying notes are an integral part of these Condensed Consolidated Financial Statements. | ||
5 |
Three Months Ended June 30, | Six Months Ended June 30, | ||||||||||||||
2013 | 2012 | 2013 | 2012 | ||||||||||||
Revenues: | |||||||||||||||
Net investment income | $ | 342.9 | $ | 311.9 | $ | 691.1 | $ | 663.9 | |||||||
Fee income | 183.1 | 156.7 | 358.0 | 311.8 | |||||||||||
Premiums | 7.2 | 11.7 | 15.1 | 23.5 | |||||||||||
Broker-dealer commission revenue | 61.0 | 56.5 | 118.8 | 112.2 | |||||||||||
Net realized capital gains (losses): | |||||||||||||||
Total other-than-temporary impairments | (1.8 | ) | (2.6 | ) | (2.9 | ) | (4.0 | ) | |||||||
Less: Portion of other-than-temporary impairments recognized in Other comprehensive income (loss) | (0.5 | ) | (0.9 | ) | (1.0 | ) | (1.0 | ) | |||||||
Net other-than-temporary impairments recognized in earnings | (1.3 | ) | (1.7 | ) | (1.9 | ) | (3.0 | ) | |||||||
Other net realized capital gains (losses) | (68.6 | ) | 0.5 | (108.1 | ) | 129.1 | |||||||||
Total net realized capital gains (losses) | (69.9 | ) | (1.2 | ) | (110.0 | ) | 126.1 | ||||||||
Other revenue | (0.6 | ) | 2.3 | (5.5 | ) | 2.8 | |||||||||
Total revenues | 523.7 | 537.9 | 1,067.5 | 1,240.3 | |||||||||||
Benefits and expenses: | |||||||||||||||
Interest credited and other benefits to contract owners/policyholders | 145.3 | 193.0 | 332.1 | 387.7 | |||||||||||
Operating expenses | 176.3 | 177.2 | 349.9 | 357.6 | |||||||||||
Broker-dealer commission expense | 61.0 | 56.5 | 118.8 | 112.2 | |||||||||||
Net amortization of deferred policy acquisition costs and value of business acquired | 28.3 | 52.2 | 46.9 | 105.0 | |||||||||||
Interest expense | — | 0.5 | 0.1 | 1.1 | |||||||||||
Total benefits and expenses | 410.9 | 479.4 | 847.8 | 963.6 | |||||||||||
Income (loss) before income taxes | 112.8 | 58.5 | 219.7 | 276.7 | |||||||||||
Income tax expense (benefit) | 35.9 | 20.6 | 67.7 | 94.8 | |||||||||||
Net income (loss) | $ | 76.9 | $ | 37.9 | $ | 152.0 | $ | 181.9 |
The accompanying notes are an integral part of these Condensed Consolidated Financial Statements. | ||
6 |
Three Months Ended June 30, | Six Months Ended June 30, | ||||||||||||||
2013 | 2012 | 2013 | 2012 | ||||||||||||
Net income (loss) | $ | 76.9 | $ | 37.9 | $ | 152.0 | $ | 181.9 | |||||||
Other comprehensive income (loss), before tax: | |||||||||||||||
Unrealized gains/losses on securities | (639.9 | ) | 273.9 | (809.4 | ) | 201.5 | |||||||||
Other-than-temporary impairments | 0.5 | 2.0 | 1.4 | 3.6 | |||||||||||
Pension and other postretirement benefits liability | (0.4 | ) | (0.5 | ) | (1.0 | ) | (1.1 | ) | |||||||
Other comprehensive income (loss), before tax | (639.8 | ) | 275.4 | (809.0 | ) | 204.0 | |||||||||
Income tax expense (benefit) related to items of other comprehensive income (loss) | (222.8 | ) | 90.5 | (281.0 | ) | 59.4 | |||||||||
Other comprehensive income (loss), after tax | (417.0 | ) | 184.9 | (528.0 | ) | 144.6 | |||||||||
Comprehensive income (loss) | $ | (340.1 | ) | $ | 222.8 | $ | (376.0 | ) | $ | 326.5 |
The accompanying notes are an integral part of these Condensed Consolidated Financial Statements. | ||
7 |
Common Stock | Additional Paid-In Capital | Accumulated Other Comprehensive Income (Loss) | Retained Earnings (Deficit) | Total Shareholder's Equity | ||||||||||||||||
Balance at January 1, 2013 | $ | 2.8 | $ | 4,217.2 | $ | 1,023.0 | $ | (981.6 | ) | $ | 4,261.4 | |||||||||
Comprehensive income (loss): | ||||||||||||||||||||
Net income (loss) | — | — | — | 152.0 | 152.0 | |||||||||||||||
Other comprehensive income (loss), after tax | — | — | (528.0 | ) | — | (528.0 | ) | |||||||||||||
Total comprehensive income (loss) | (376.0 | ) | ||||||||||||||||||
Dividends paid and distribution of capital | — | (174.0 | ) | — | — | (174.0 | ) | |||||||||||||
Employee related benefits | — | 0.1 | — | — | 0.1 | |||||||||||||||
Balance at June 30, 2013 | $ | 2.8 | $ | 4,043.3 | $ | 495.0 | $ | (829.6 | ) | $ | 3,711.5 | |||||||||
Balance at January 1, 2012 | $ | 2.8 | $ | 4,533.0 | $ | 747.5 | $ | (1,307.0 | ) | $ | 3,976.3 | |||||||||
Comprehensive income (loss): | ||||||||||||||||||||
Net income (loss) | — | — | — | 181.9 | 181.9 | |||||||||||||||
Other comprehensive income (loss), after tax | — | — | 144.6 | — | 144.6 | |||||||||||||||
Total comprehensive income (loss) | 326.5 | |||||||||||||||||||
Dividends paid and distribution of capital | — | (340.0 | ) | — | — | (340.0 | ) | |||||||||||||
Employee related benefits | — | 24.2 | — | — | 24.2 | |||||||||||||||
Balance at June 30, 2012 | $ | 2.8 | $ | 4,217.2 | $ | 892.1 | $ | (1,125.1 | ) | $ | 3,987.0 |
The accompanying notes are an integral part of these Condensed Consolidated Financial Statements. | ||
8 |
Six Months Ended June 30, | |||||||
2013 | 2012 | ||||||
Net cash provided by operating activities | $ | 572.3 | $ | 552.6 | |||
Cash Flows from Investing Activities: | |||||||
Proceeds from the sale, maturity, disposal or redemption of: | |||||||
Fixed maturities | 1,781.4 | 2,181.2 | |||||
Equity securities, available-for-sale | 0.4 | 1.2 | |||||
Mortgage loans on real estate | 91.4 | 233.0 | |||||
Limited partnerships/corporations | 13.8 | 119.5 | |||||
Acquisition of: | |||||||
Fixed maturities | (2,160.3 | ) | (2,504.6 | ) | |||
Equity securities, available-for-sale | (0.3 | ) | (0.7 | ) | |||
Mortgage loans on real estate | (406.8 | ) | (569.6 | ) | |||
Limited partnerships/corporations | (4.1 | ) | (17.5 | ) | |||
Derivatives, net | (101.2 | ) | (16.5 | ) | |||
Policy loans, net | 1.1 | 5.4 | |||||
Short-term investments, net | 369.3 | (329.9 | ) | ||||
Loan-Dutch State obligation, net | — | 37.9 | |||||
Collateral (delivered) received, net | (61.4 | ) | 58.6 | ||||
Purchases of fixed assets, net | (0.2 | ) | (0.2 | ) | |||
Net cash used in investing activities | (476.9 | ) | (802.2 | ) | |||
Cash Flows from Financing Activities: | |||||||
Deposits received for investment contracts | 1,251.7 | 1,195.4 | |||||
Maturities and withdrawals from investment contracts | (1,252.0 | ) | (1,140.7 | ) | |||
Short-term repayments of repurchase agreements, net | — | 648.0 | |||||
Dividends paid and return of capital distribution | (174.0 | ) | (340.0 | ) | |||
Net cash (used in) provided by financing activities | (174.3 | ) | 362.7 | ||||
Net (decrease) increase in cash and cash equivalents | (78.9 | ) | 113.1 | ||||
Cash and cash equivalents, beginning of period | 363.4 | 217.1 | |||||
Cash and cash equivalents, end of period | $ | 284.5 | $ | 330.2 |
The accompanying notes are an integral part of these Condensed Consolidated Financial Statements. | ||
9 |
10 |
11 |
• | An unrecognized tax benefit should be presented as a reduction to a deferred tax asset for a net operating loss carryforward, a similar tax loss or a tax credit carryforward, except, |
• | An unrecognized tax benefit should be presented as a liability and not be combined with a deferred tax asset (i) to the extent a net operating loss carryforward, a similar tax loss or a tax credit carryforward is not available at the reporting date to settle any additional income taxes that would result from the disallowance of a tax position or (ii) the tax law does not require the entity to use, or the entity does not intend to use, the deferred tax asset for such a purpose. |
• | The assessment of whether a deferred tax asset is available is based on the unrecognized tax benefit and deferred tax asset that exist at the reporting date and should be made presuming disallowance of the tax position at the reporting date. |
12 |
Amortized Cost | Gross Unrealized Capital Gains | Gross Unrealized Capital Losses | Embedded Derivatives(2) | Fair Value | OTTI(3) | ||||||||||||||||||
Fixed maturities: | |||||||||||||||||||||||
U.S. Treasuries | $ | 754.4 | $ | 74.4 | $ | 4.8 | $ | — | $ | 824.0 | $ | — | |||||||||||
U.S. Government agencies and authorities | 376.9 | 9.8 | — | — | 386.7 | — | |||||||||||||||||
State, municipalities and political subdivisions | 77.2 | 7.8 | — | — | 85.0 | — | |||||||||||||||||
U.S. corporate securities | 10,008.2 | 614.7 | 192.5 | — | 10,430.4 | 1.9 | |||||||||||||||||
Foreign securities:(1) | |||||||||||||||||||||||
Government | 437.1 | 26.6 | 16.7 | — | 447.0 | — | |||||||||||||||||
Other | 4,858.9 | 279.8 | 84.0 | — | 5,054.7 | — | |||||||||||||||||
Total foreign securities | 5,296.0 | 306.4 | 100.7 | — | 5,501.7 | — | |||||||||||||||||
Residential Mortgage-backed securities: | |||||||||||||||||||||||
Agency | 1,524.2 | 133.7 | 14.3 | 21.8 | 1,665.4 | 0.5 | |||||||||||||||||
Non-Agency | 334.0 | 57.2 | 10.7 | 14.6 | 395.1 | 16.2 | |||||||||||||||||
Total Residential Mortgage-backed securities | 1,858.2 | 190.9 | 25.0 | 36.4 | 2,060.5 | 16.7 | |||||||||||||||||
Commercial Mortgage-backed securities | 669.5 | 75.8 | 0.1 | — | 745.2 | 4.4 | |||||||||||||||||
Other asset-backed securities | 479.2 | 21.6 | 3.9 | — | 496.9 | 3.0 | |||||||||||||||||
Total fixed maturities, including securities pledged | 19,519.6 | 1,301.4 | 327.0 | 36.4 | 20,530.4 | 26.0 | |||||||||||||||||
Less: Securities pledged | 214.3 | 9.2 | 6.1 | — | 217.4 | — | |||||||||||||||||
Total fixed maturities | 19,305.3 | 1,292.2 | 320.9 | 36.4 | 20,313.0 | 26.0 | |||||||||||||||||
Equity securities | 110.2 | 16.5 | — | — | 126.7 | — | |||||||||||||||||
Total fixed maturities and equity securities investments | $ | 19,415.5 | $ | 1,308.7 | $ | 320.9 | $ | 36.4 | $ | 20,439.7 | $ | 26.0 |
13 |
Amortized Cost | Gross Unrealized Capital Gains | Gross Unrealized Capital Losses | Embedded Derivatives(2) | Fair Value | OTTI(3) | ||||||||||||||||||
Fixed maturities: | |||||||||||||||||||||||
U.S. Treasuries | $ | 1,011.5 | $ | 135.6 | $ | 0.5 | $ | — | $ | 1,146.6 | $ | — | |||||||||||
U.S. Government agencies and authorities | 379.4 | 17.6 | — | — | 397.0 | — | |||||||||||||||||
State, municipalities and political subdivisions | 77.2 | 15.9 | — | — | 93.1 | — | |||||||||||||||||
U.S. corporate securities | 9,438.0 | 1,147.4 | 11.1 | — | 10,574.3 | 2.0 | |||||||||||||||||
Foreign securities(1): | |||||||||||||||||||||||
Government | 439.7 | 57.4 | 1.1 | — | 496.0 | — | |||||||||||||||||
Other | 4,570.0 | 501.3 | 15.3 | — | 5,056.0 | — | |||||||||||||||||
Total foreign securities | 5,009.7 | 558.7 | 16.4 | — | 5,552.0 | — | |||||||||||||||||
Residential Mortgage-backed securities: | |||||||||||||||||||||||
Agency | 1,679.5 | 181.5 | 3.4 | 33.7 | 1,891.3 | 0.6 | |||||||||||||||||
Non-Agency | 390.9 | 70.0 | 14.7 | 20.0 | 466.2 | 17.4 | |||||||||||||||||
Total Residential Mortgage-backed securities | 2,070.4 | 251.5 | 18.1 | 53.7 | 2,357.5 | 18.0 | |||||||||||||||||
Commercial Mortgage-backed securities | 748.7 | 90.6 | 0.2 | — | 839.1 | 4.4 | |||||||||||||||||
Other asset-backed securities | 475.7 | 26.6 | 6.7 | — | 495.6 | 3.1 | |||||||||||||||||
Total fixed maturities, including securities pledged | 19,210.6 | 2,243.9 | 53.0 | 53.7 | 21,455.2 | 27.5 | |||||||||||||||||
Less: Securities pledged | 207.2 | 13.0 | 0.5 | — | 219.7 | — | |||||||||||||||||
Total fixed maturities | 19,003.4 | 2,230.9 | 52.5 | 53.7 | 21,235.5 | 27.5 | |||||||||||||||||
Equity securities | 129.3 | 13.6 | 0.1 | — | 142.8 | — | |||||||||||||||||
Total fixed maturities and equity securities investments | $ | 19,132.7 | $ | 2,244.5 | $ | 52.6 | $ | 53.7 | $ | 21,378.3 | $ | 27.5 |
14 |
Amortized Cost | Fair Value | ||||||
Due to mature: | |||||||
One year or less | $ | 800.6 | $ | 823.4 | |||
After one year through five years | 3,905.6 | 4,142.0 | |||||
After five years through ten years | 6,152.3 | 6,365.7 | |||||
After ten years | 5,654.2 | 5,896.7 | |||||
Mortgage-backed securities | 2,527.7 | 2,805.7 | |||||
Other asset-backed securities | 479.2 | 496.9 | |||||
Fixed maturities, including securities pledged | $ | 19,519.6 | $ | 20,530.4 |
Amortized Cost | Gross Unrealized Capital Gains | Gross Unrealized Capital Losses | Fair Value | ||||||||||||
June 30, 2013 | |||||||||||||||
Communications | $ | 1,318.7 | $ | 89.8 | $ | 29.4 | $ | 1,379.1 | |||||||
Financial | 1,844.1 | 154.3 | 22.4 | 1,976.0 | |||||||||||
Industrial and other companies | 8,566.0 | 439.0 | 188.1 | 8,816.9 | |||||||||||
Utilities | 2,697.6 | 186.2 | 28.4 | 2,855.4 | |||||||||||
Transportation | 440.7 | 25.2 | 8.2 | 457.7 | |||||||||||
Total | $ | 14,867.1 | $ | 894.5 | $ | 276.5 | $ | 15,485.1 | |||||||
December 31, 2012 | |||||||||||||||
Communications | $ | 1,154.1 | $ | 161.4 | $ | 0.9 | $ | 1,314.6 | |||||||
Financial | 1,859.3 | 240.1 | 10.9 | 2,088.5 | |||||||||||
Industrial and other companies | 7,883.1 | 850.9 | 6.9 | 8,727.1 | |||||||||||
Utilities | 2,715.4 | 349.8 | 7.3 | 3,057.9 | |||||||||||
Transportation | 396.1 | 46.5 | 0.4 | 442.2 | |||||||||||
Total | $ | 14,008.0 | $ | 1,648.7 | $ | 26.4 | $ | 15,630.3 |
15 |
16 |
Six Months or Less Below Amortized Cost | More Than Six Months and Twelve Months or Less Below Amortized Cost | More Than Twelve Months Below Amortized Cost | Total | ||||||||||||||||||||||||||||
Fair Value | Unrealized Capital Losses | Fair Value | Unrealized Capital Losses | Fair Value | Unrealized Capital Losses | Fair Value | Unrealized Capital Losses | ||||||||||||||||||||||||
U.S. Treasuries | $ | 217.0 | $ | 4.8 | $ | — | $ | — | $ | — | $ | — | $ | 217.0 | $ | 4.8 | |||||||||||||||
U.S. corporate, state and municipalities | 2,929.4 | 159.3 | 236.0 | 29.1 | 25.7 | 4.1 | 3,191.1 | 192.5 | |||||||||||||||||||||||
Foreign | 1,411.8 | 88.8 | 53.5 | 5.8 | 44.2 | 6.1 | 1,509.5 | 100.7 | |||||||||||||||||||||||
Residential mortgage-backed | 368.6 | 10.6 | 49.3 | 2.7 | 85.2 | 11.7 | 503.1 | 25.0 | |||||||||||||||||||||||
Commercial mortgage-backed | — | — | 0.2 | — | 1.9 | 0.1 | 2.1 | 0.1 | |||||||||||||||||||||||
Other asset-backed | 62.4 | 0.2 | 4.0 | — | 27.7 | 3.7 | 94.1 | 3.9 | |||||||||||||||||||||||
Total | $ | 4,989.2 | $ | 263.7 | $ | 343.0 | $ | 37.6 | $ | 184.7 | $ | 25.7 | $ | 5,516.9 | $ | 327.0 |
Six Months or Less Below Amortized Cost | More Than Six Months and Twelve Months or Less Below Amortized Cost | More Than Twelve Months Below Amortized Cost | Total | ||||||||||||||||||||||||||||
Fair Value | Unrealized Capital Losses | Fair Value | Unrealized Capital Losses | Fair Value | Unrealized Capital Losses | Fair Value | Unrealized Capital Losses | ||||||||||||||||||||||||
U.S. Treasuries | $ | 300.0 | $ | 0.5 | $ | — | $ | — | $ | — | $ | — | $ | 300.0 | $ | 0.5 | |||||||||||||||
U.S. corporate, state and municipalities | 479.8 | 6.8 | 22.5 | 0.9 | 49.4 | 3.4 | 551.7 | 11.1 | |||||||||||||||||||||||
Foreign | 166.8 | 4.7 | 7.8 | 0.5 | 87.7 | 11.2 | 262.3 | 16.4 | |||||||||||||||||||||||
Residential mortgage-backed | 68.7 | 1.6 | 7.2 | 0.3 | 132.4 | 16.2 | 208.3 | 18.1 | |||||||||||||||||||||||
Commercial mortgage-backed | 7.5 | 0.1 | 1.6 | — | 2.5 | 0.1 | 11.6 | 0.2 | |||||||||||||||||||||||
Other asset-backed | 15.6 | — | — | — | 34.2 | 6.7 | 49.8 | 6.7 | |||||||||||||||||||||||
Total | $ | 1,038.4 | $ | 13.7 | $ | 39.1 | $ | 1.7 | $ | 306.2 | $ | 37.6 | $ | 1,383.7 | $ | 53.0 |
17 |
Amortized Cost | Unrealized Capital Losses | Number of Securities | |||||||||||||||||||
< 20% | > 20% | < 20% | > 20% | < 20% | > 20% | ||||||||||||||||
June 30, 2013 | |||||||||||||||||||||
Six months or less below amortized cost | $ | 5,267.8 | $ | 40.9 | $ | 265.2 | $ | 9.4 | 712 | 12 | |||||||||||
More than six months and twelve months or less below amortized cost | 406.8 | 4.5 | 39.7 | 1.1 | 71 | 4 | |||||||||||||||
More than twelve months below amortized cost | 103.3 | 20.6 | 6.1 | 5.5 | 98 | 9 | |||||||||||||||
Total | $ | 5,777.9 | $ | 66.0 | $ | 311.0 | $ | 16.0 | 881 | 25 | |||||||||||
December 31, 2012 | |||||||||||||||||||||
Six months or less below amortized cost | $ | 1,110.8 | $ | 15.2 | $ | 19.3 | $ | 3.9 | 141 | 10 | |||||||||||
More than six months and twelve months or less below amortized cost | 49.5 | 1.5 | 2.6 | 0.4 | 31 | 2 | |||||||||||||||
More than twelve months below amortized cost | 198.1 | 61.6 | 6.2 | 20.6 | 99 | 28 | |||||||||||||||
Total | $ | 1,358.4 | $ | 78.3 | $ | 28.1 | $ | 24.9 | 271 | 40 |
Amortized Cost | Unrealized Capital Losses | Number of Securities | |||||||||||||||||||
< 20% | > 20% | < 20% | > 20% | < 20% | > 20% | ||||||||||||||||
June 30, 2013 | |||||||||||||||||||||
U.S. Treasuries | $ | 221.8 | $ | — | $ | 4.8 | $ | — | 3 | — | |||||||||||
U.S. corporate, state and municipalities | 3,355.2 | 28.4 | 186.0 | 6.5 | 452 | 4 | |||||||||||||||
Foreign | 1,595.5 | 14.7 | 97.3 | 3.4 | 231 | 3 | |||||||||||||||
Residential mortgage-backed | 510.0 | 18.1 | 20.3 | 4.7 | 169 | 14 | |||||||||||||||
Commercial mortgage-backed | 2.2 | — | 0.1 | — | 2 | — | |||||||||||||||
Other asset-backed | 93.2 | 4.8 | 2.5 | 1.4 | 24 | 4 | |||||||||||||||
Total | $ | 5,777.9 | $ | 66.0 | $ | 311.0 | $ | 16.0 | 881 | 25 | |||||||||||
December 31, 2012 | |||||||||||||||||||||
U.S. Treasuries | $ | 300.5 | $ | — | $ | 0.5 | $ | — | 2 | — | |||||||||||
U.S. corporate, state and municipalities | 558.1 | 4.7 | 9.1 | 2.0 | 82 | 2 | |||||||||||||||
Foreign | 242.7 | 36.0 | 5.7 | 10.7 | 38 | 8 | |||||||||||||||
Residential mortgage-backed | 201.2 | 25.2 | 10.2 | 7.9 | 124 | 24 | |||||||||||||||
Commercial mortgage-backed | 11.8 | — | 0.2 | — | 8 | — | |||||||||||||||
Other asset-backed | 44.1 | 12.4 | 2.4 | 4.3 | 17 | 6 | |||||||||||||||
Total | $ | 1,358.4 | $ | 78.3 | $ | 28.1 | $ | 24.9 | 271 | 40 |
18 |
19 |
% of Total Subprime Mortgage-backed Securities | |||||||||||
NAIC Designation | ARO Ratings | Vintage | |||||||||
June 30, 2013 | |||||||||||
1 | 67.5 | % | AAA | 0.1 | % | 2007 | 7.6 | % | |||
2 | 3.1 | % | AA | 2.9 | % | 2006 | 6.8 | % | |||
3 | 18.9 | % | A | 13.9 | % | 2005 and prior | 85.6 | % | |||
4 | 9.1 | % | BBB | 20.3 | % | 100.0 | % | ||||
5 | 1.2 | % | BB and below | 62.8 | % | ||||||
6 | 0.2 | % | 100.0 | % | |||||||
100.0 | % | ||||||||||
December 31, 2012 | |||||||||||
1 | 67.8 | % | AAA | 3.2 | % | 2007 | 8.0 | % | |||
2 | 3.2 | % | AA | — | % | 2006 | 6.0 | % | |||
3 | 19.6 | % | A | 16.2 | % | 2005 and prior | 86.0 | % | |||
4 | 8.7 | % | BBB | 21.5 | % | 100.0 | % | ||||
5 | 0.5 | % | BB and below | 59.1 | % | ||||||
6 | 0.2 | % | 100.0 | % | |||||||
100.0 | % |
20 |
% of Total Alt-A Mortgage-backed Securities | |||||||||||
NAIC Designation | ARO Ratings | Vintage | |||||||||
June 30, 2013 | |||||||||||
1 | 40.8 | % | AAA | 0.1 | % | 2007 | 14.0 | % | |||
2 | 14.1 | % | AA | — | % | 2006 | 29.5 | % | |||
3 | 28.7 | % | A | 3.5 | % | 2005 and prior | 56.5 | % | |||
4 | 14.5 | % | BBB | 3.2 | % | 100.0 | % | ||||
5 | 1.4 | % | BB and below | 93.2 | % | ||||||
6 | 0.5 | % | 100.0 | % | |||||||
100.0 | % | ||||||||||
December 31, 2012 | |||||||||||
1 | 33.4 | % | AAA | 0.2 | % | 2007 | 13.8 | % | |||
2 | 12.4 | % | AA | 1.4 | % | 2006 | 29.3 | % | |||
3 | 21.0 | % | A | 3.4 | % | 2005 and prior | 56.9 | % | |||
4 | 30.3 | % | BBB | 5.6 | % | 100.0 | % | ||||
5 | 2.3 | % | BB and below | 89.4 | % | ||||||
6 | 0.6 | % | 100.0 | % | |||||||
100.0 | % |
21 |
% of Total CMBS | |||||||||||
NAIC Designation | ARO Ratings | Vintage | |||||||||
June 30, 2013 | |||||||||||
1 | 99.4 | % | AAA | 50.8 | % | 2007 | 30.4 | % | |||
2 | — | % | AA | 15.9 | % | 2006 | 22.5 | % | |||
3 | 0.6 | % | A | 9.8 | % | 2005 and prior | 47.1 | % | |||
4 | — | % | BBB | 3.8 | % | 100.0 | % | ||||
5 | — | % | BB and below | 19.7 | % | ||||||
6 | — | % | 100.0 | % | |||||||
100.0 | % | ||||||||||
December 31, 2012 | |||||||||||
1 | 99.9 | % | AAA | 54.1 | % | 2007 | 28.7 | % | |||
2 | — | % | AA | 17.1 | % | 2006 | 20.4 | % | |||
3 | 0.1 | % | A | 8.4 | % | 2005 and prior | 50.9 | % | |||
4 | — | % | BBB | 5.3 | % | 100.0 | % | ||||
5 | — | % | BB and below | 15.1 | % | ||||||
6 | — | % | 100.0 | % | |||||||
100.0 | % |
22 |
% of Total Other ABS | |||||||||||
NAIC Designation | ARO Ratings | Vintage | |||||||||
June 30, 2013 | |||||||||||
1 | 99.4 | % | AAA | 90.4 | % | 2013 | 6.2 | % | |||
2 | 0.5 | % | AA | 2.7 | % | 2012 | 21.2 | % | |||
3 | 0.1 | % | A | 6.3 | % | 2011 | 12.0 | % | |||
4 | — | % | BBB | 0.5 | % | 2010 | 5.4 | % | |||
5 | — | % | BB and below | 0.1 | % | 2009 | 0.3 | % | |||
6 | — | % | 100.0 | % | 2008 | 8.7 | % | ||||
100.0 | % | 2007 and prior | 46.2 | % | |||||||
100.0 | % | ||||||||||
December 31, 2012 | |||||||||||
1 | 98.3 | % | AAA | 88.4 | % | 2012 | 21.4 | % | |||
2 | 1.6 | % | AA | 1.9 | % | 2011 | 12.2 | % | |||
3 | 0.1 | % | A | 8.0 | % | 2010 | 5.7 | % | |||
4 | — | % | BBB | 1.6 | % | 2009 | 0.3 | % | |||
5 | — | % | BB and below | 0.1 | % | 2008 | 9.5 | % | |||
6 | — | % | 100.0 | % | 2007 | 22.9 | % | ||||
100.0 | % | 2006 and prior | 28.0 | % | |||||||
100.0 | % |
23 |
June 30, 2013 | December 31, 2012 | ||||||
Commercial mortgage loans | $ | 3,189.4 | $ | 2,874.0 | |||
Collective valuation allowance | (1.5 | ) | (1.3 | ) | |||
Total net commercial mortgage loans | $ | 3,187.9 | $ | 2,872.7 |
June 30, 2013 | December 31, 2012 | ||||||
Collective valuation allowance for losses, balance at January 1 | $ | 1.3 | $ | 1.3 | |||
Addition to (reduction of) allowance for losses | 0.2 | — | |||||
Collective valuation allowance for losses, end of period | $ | 1.5 | $ | 1.3 |
June 30, 2013 | December 31, 2012 | ||||||
Impaired loans with allowances for losses | $ | — | $ | — | |||
Impaired loans without allowances for losses | 5.5 | 5.6 | |||||
Subtotal | 5.5 | 5.6 | |||||
Less: Allowances for losses on impaired loans | — | — | |||||
Impaired loans, net | $ | 5.5 | $ | 5.6 | |||
Unpaid principal balance of impaired loans | $ | 7.0 | $ | 7.1 |
24 |
Three Months Ended June 30, | |||||||
2013 | 2012 | ||||||
Impaired loans, average investment during the period (amortized cost) | $ | 5.5 | $ | 5.8 | |||
Interest income recognized on impaired loans, on an accrual basis | 0.1 | 0.1 | |||||
Interest income recognized on impaired loans, on a cash basis | 0.1 | 0.1 | |||||
Interest income recognized on restructured loans, on an accrual basis | — | — | |||||
Six Months Ended June 30, | |||||||
2013 | 2012 | ||||||
Impaired loans, average investment during the period (amortized cost) | $ | 5.6 | $ | 5.8 | |||
Interest income recognized on impaired loans, on an accrual basis | 0.2 | 0.2 | |||||
Interest income recognized on impaired loans, on a cash basis | 0.2 | 0.2 | |||||
Interest income recognized on restructured loans, on an accrual basis | — | — |
June 30, 2013(1) | December 31, 2012(1) | ||||||
Loan-to-Value Ratio: | |||||||
0% - 50% | $ | 508.9 | $ | 501.3 | |||
50% - 60% | 804.8 | 768.9 | |||||
60% - 70% | 1,781.1 | 1,491.6 | |||||
70% - 80% | 79.7 | 96.4 | |||||
80% and above | 14.9 | 15.8 | |||||
Total Commercial mortgage loans | $ | 3,189.4 | $ | 2,874.0 |
June 30, 2013(1) | December 31, 2012(1) | ||||||
Debt Service Coverage Ratio: | |||||||
Greater than 1.5x | $ | 2,344.6 | $ | 2,114.4 | |||
1.25x - 1.5x | 469.5 | 390.5 | |||||
1.0x - 1.25x | 305.2 | 293.1 | |||||
Less than 1.0x | 70.1 | 76.0 | |||||
Total Commercial mortgage loans | $ | 3,189.4 | $ | 2,874.0 |
25 |
June 30, 2013(1) | December 31, 2012(1) | ||||||||||||
Gross Carrying Value | % of Total | Gross Carrying Value | % of Total | ||||||||||
Commercial Mortgage Loans by U.S. Region: | |||||||||||||
Pacific | $ | 637.0 | 20.0 | % | $ | 564.1 | 19.6 | % | |||||
South Atlantic | 612.1 | 19.2 | % | 561.0 | 19.5 | % | |||||||
Middle Atlantic | 415.9 | 13.0 | % | 332.7 | 11.6 | % | |||||||
East North Central | 377.1 | 11.8 | % | 337.8 | 11.8 | % | |||||||
West South Central | 497.1 | 15.6 | % | 460.4 | 16.0 | % | |||||||
Mountain | 248.3 | 7.8 | % | 214.5 | 7.5 | % | |||||||
West North Central | 208.8 | 6.5 | % | 205.2 | 7.1 | % | |||||||
New England | 117.3 | 3.7 | % | 119.1 | 4.1 | % | |||||||
East South Central | 75.8 | 2.4 | % | 79.2 | 2.8 | % | |||||||
Total Commercial mortgage loans | $ | 3,189.4 | 100.0 | % | $ | 2,874.0 | 100.0 | % |
June 30, 2013(1) | December 31, 2012(1) | ||||||||||||
Gross Carrying Value | % of Total | Gross Carrying Value | % of Total | ||||||||||
Commercial Mortgage Loans by Property Type: | |||||||||||||
Industrial | $ | 1,062.0 | 33.3 | % | $ | 1,035.2 | 36.0 | % | |||||
Retail | 989.5 | 31.0 | % | 824.0 | 28.7 | % | |||||||
Office | 458.3 | 14.4 | % | 427.0 | 14.8 | % | |||||||
Apartments | 338.0 | 10.6 | % | 298.7 | 10.4 | % | |||||||
Hotel/Motel | 117.3 | 3.7 | % | 92.1 | 3.2 | % | |||||||
Mixed use | 67.3 | 2.1 | % | 34.2 | 1.2 | % | |||||||
Other | 157.0 | 4.9 | % | 162.8 | 5.7 | % | |||||||
Total Commercial mortgage loans | $ | 3,189.4 | 100.0 | % | $ | 2,874.0 | 100.0 | % |
June 30, 2013(1) | December 31, 2012(1) | ||||||
Year of Origination: | |||||||
2013 | $ | 404.9 | $ | — | |||
2012 | 927.1 | 939.0 | |||||
2011 | 815.7 | 836.9 | |||||
2010 | 122.3 | 124.0 | |||||
2009 | 72.5 | 73.0 | |||||
2008 | 116.4 | 119.0 | |||||
2007 and prior | 730.5 | 782.1 | |||||
Total Commercial mortgage loans | $ | 3,189.4 | $ | 2,874.0 |
26 |
Three Months Ended June 30, | |||||||||||||
2013 | 2012 | ||||||||||||
Impairment | No. of Securities | Impairment | No. of Securities | ||||||||||
U.S. corporate | $ | — | — | $ | 0.2 | 1 | |||||||
Foreign(1) | — | — | 0.4 | 2 | |||||||||
Residential mortgage-backed | 1.3 | 21 | 0.9 | 24 | |||||||||
Commercial mortgage-backed | — | — | — | — | |||||||||
Other asset-backed | — | — | 0.2 | 2 | |||||||||
Total | $ | 1.3 | 21 | $ | 1.7 | 29 | |||||||
(1) Primarily U.S. dollar denominated. | |||||||||||||
Six Months Ended June 30, | |||||||||||||
2013 | 2012 | ||||||||||||
Impairment | No. of Securities | Impairment | No. of Securities | ||||||||||
U.S. corporate | $ | — | — | $ | 0.2 | 1 | |||||||
Foreign(1) | — | — | 0.8 | 3 | |||||||||
Residential mortgage-backed | 1.8 | 27 | 1.6 | 28 | |||||||||
Commercial mortgage-backed | 0.1 | 2 | — | — | |||||||||
Other asset-backed | — | — | 0.4 | 3 | |||||||||
Total | $ | 1.9 | 29 | $ | 3.0 | 35 | |||||||
(1) Primarily U.S. dollar denominated. |
27 |
Three Months Ended June 30, | |||||||||||||
2013 | 2012 | ||||||||||||
Impairment | No. of Securities | Impairment | No. of Securities | ||||||||||
U.S. corporate | $ | — | — | $ | 0.2 | 1 | |||||||
Foreign(1) | — | — | 0.4 | 2 | |||||||||
Commercial mortgage-backed | — | — | — | — | |||||||||
Other asset-backed | — | — | — | — | |||||||||
Total | $ | — | — | $ | 0.6 | 3 | |||||||
(1) Primarily U.S. dollar denominated. | |||||||||||||
Six Months Ended June 30, | |||||||||||||
2013 | 2012 | ||||||||||||
Impairment | No. of Securities | Impairment | No. of Securities | ||||||||||
U.S. corporate | $ | — | — | $ | 0.2 | 1 | |||||||
Foreign(1) | — | — | 0.8 | 3 | |||||||||
Commercial mortgage-backed | 0.1 | 2 | — | — | |||||||||
Other asset-backed | — | — | 0.1 | 1 | |||||||||
Total | $ | 0.1 | 2 | $ | 1.1 | 5 | |||||||
(1) Primarily U.S. dollar denominated. |
28 |
Three Months Ended June 30, | |||||||
2013 | 2012 | ||||||
Balance at April 1 | $ | 19.8 | $ | 19.5 | |||
Additional credit impairments: | |||||||
On securities not previously impaired | 0.6 | 1.1 | |||||
On securities previously impaired | 0.6 | — | |||||
Reductions: | |||||||
Securities sold, matured, prepaid or paid down | (0.8 | ) | (0.6 | ) | |||
Balance at June 30 | $ | 20.2 | $ | 20.0 | |||
Six Months Ended June 30, | |||||||
2013 | 2012 | ||||||
Balance at January 1 | $ | 20.0 | $ | 19.4 | |||
Additional credit impairments: | |||||||
On securities not previously impaired | 0.8 | 1.2 | |||||
On securities previously impaired | 1.0 | 0.6 | |||||
Reductions: | |||||||
Securities sold, matured, prepaid or paid down | (1.6 | ) | (1.2 | ) | |||
Balance at June 30 | $ | 20.2 | $ | 20.0 |
Three Months Ended June 30, | Six Months Ended June 30, | ||||||||||||||
2013 | 2012 | 2013 | 2012 | ||||||||||||
Fixed maturities | $ | 300.7 | $ | 303.7 | $ | 608.3 | $ | 608.0 | |||||||
Equity securities, available-for-sale | (1.0 | ) | 3.0 | (0.1 | ) | 4.1 | |||||||||
Mortgage loans on real estate | 40.9 | 37.5 | 77.5 | 71.1 | |||||||||||
Policy loans | 3.2 | 3.3 | 6.4 | 6.6 | |||||||||||
Short-term investments and cash equivalents | 0.3 | 0.3 | 0.5 | 0.5 | |||||||||||
Other | 11.2 | (24.2 | ) | 22.9 | (3.4 | ) | |||||||||
Gross investment income | 355.3 | 323.6 | 715.5 | 686.9 | |||||||||||
Less: Investment expenses | 12.4 | 11.7 | 24.4 | 23.0 | |||||||||||
Net investment income | $ | 342.9 | $ | 311.9 | $ | 691.1 | $ | 663.9 |
29 |
Three Months Ended June 30, | Six Months Ended June 30, | ||||||||||||||
2013 | 2012 | 2013 | 2012 | ||||||||||||
Fixed maturities, available-for-sale, including securities pledged | $ | (2.0 | ) | $ | 17.8 | $ | (2.2 | ) | $ | 57.3 | |||||
Fixed maturities, at fair value option | (66.2 | ) | (3.4 | ) | (105.1 | ) | (46.3 | ) | |||||||
Derivatives | (41.9 | ) | 39.3 | (61.8 | ) | 26.2 | |||||||||
Embedded derivative - fixed maturities | (11.8 | ) | 4.6 | (17.2 | ) | (0.2 | ) | ||||||||
Embedded derivative - product guarantees | 52.2 | (59.5 | ) | 76.5 | 89.5 | ||||||||||
Other investments | (0.2 | ) | — | (0.2 | ) | (0.4 | ) | ||||||||
Net realized capital gains (losses) | $ | (69.9 | ) | $ | (1.2 | ) | $ | (110.0 | ) | $ | 126.1 | ||||
After-tax net realized capital gains (losses) | $ | (47.3 | ) | $ | (6.7 | ) | $ | (73.4 | ) | $ | 72.0 |
Six Months Ended June 30, | |||||||
2013 | 2012 | ||||||
Proceeds on sales | $ | 923.2 | $ | 1,803.3 | |||
Gross gains | 9.2 | 67.9 | |||||
Gross losses | 8.3 | 7.3 |
30 |
31 |
June 30, 2013 | December 31, 2012 | ||||||||||||||||||||||
Notional Amount | Asset Fair Value | Liability Fair Value | Notional Amount | Asset Fair Value | Liability Fair Value | ||||||||||||||||||
Derivatives: Qualifying for hedge accounting(1) | |||||||||||||||||||||||
Cash flow hedges: | |||||||||||||||||||||||
Interest rate contracts | $ | 875.0 | $ | 120.6 | $ | — | $ | 1,000.0 | $ | 215.4 | $ | — | |||||||||||
Derivatives: Non-qualifying for hedge accounting(1) | |||||||||||||||||||||||
Interest rate contracts | 18,859.8 | 301.8 | 294.0 | 18,131.1 | 292.9 | 328.5 | |||||||||||||||||
Foreign exchange contracts | 145.8 | 3.7 | 12.3 | 161.6 | 0.4 | 18.3 | |||||||||||||||||
Equity contracts | 9.4 | — | — | 14.5 | 0.4 | — | |||||||||||||||||
Credit contracts | 309.0 | 4.4 | — | 347.5 | 3.6 | — | |||||||||||||||||
Managed custody guarantees | N/A | — | — | N/A | — | — | |||||||||||||||||
Embedded derivatives: | |||||||||||||||||||||||
Within fixed maturity investments | N/A | 36.4 | — | N/A | 53.7 | — | |||||||||||||||||
Within annuity products | N/A | — | 49.1 | N/A | — | 122.4 | |||||||||||||||||
Within reinsurance agreements | N/A | — | (45.8 | ) | N/A | — | — | ||||||||||||||||
Total | $ | 466.9 | $ | 309.6 | $ | 566.4 | $ | 469.2 |
June 30, 2013 | |||||||||||
Notional Amount | Assets Fair Value | Liability Fair Value | |||||||||
Credit contracts | $ | 309.0 | $ | 4.4 | $ | — | |||||
Equity contracts | — | — | — | ||||||||
Foreign exchange contracts | 145.8 | 3.7 | 12.3 | ||||||||
Interest rate contracts | 18,986.3 | 415.4 | 287.6 | ||||||||
$ | 423.5 | $ | 299.9 | ||||||||
Counterparty netting(1) | $ | (245.4 | ) | $ | (245.4 | ) | |||||
Cash collateral netting(2) | (105.7 | ) | |||||||||
Securities collateral netting(2) | (12.7 | ) | (45.9 | ) | |||||||
Net receivables/payables | $ | 59.7 | $ | 8.6 |
32 |
December 31, 2012 | |||||||||||
Notional Amount | Assets Fair Value | Liability Fair Value | |||||||||
Credit contracts | $ | 347.5 | $ | 3.6 | $ | — | |||||
Equity contracts | — | — | — | ||||||||
Foreign exchange contracts | 161.6 | 0.4 | 18.3 | ||||||||
Interest rate contracts | 19,131.1 | 508.3 | 328.5 | ||||||||
$ | 512.3 | $ | 346.8 | ||||||||
Counterparty netting(1) | $ | (291.4 | ) | $ | (291.4 | ) | |||||
Cash collateral netting(2) | (167.1 | ) | — | ||||||||
Securities collateral netting(2) | (3.1 | ) | (35.8 | ) | |||||||
Net receivables/payables | $ | 50.7 | $ | 19.6 |
33 |
Three Months Ended June 30, | Six Months Ended June 30, | ||||||||||||||
2013 | 2012 | 2013 | 2012 | ||||||||||||
Derivatives: Qualifying for hedge accounting(1) | |||||||||||||||
Cash flow hedges: | |||||||||||||||
Interest rate contracts | $ | — | $ | — | $ | 0.1 | $ | — | |||||||
Derivatives: Non-qualifying for hedge accounting(2) | |||||||||||||||
Interest rate contracts | (45.4 | ) | 28.9 | (77.9 | ) | 6.0 | |||||||||
Foreign exchange contracts | 2.6 | 12.5 | 12.0 | 12.9 | |||||||||||
Equity contracts | 0.4 | (0.5 | ) | 1.7 | 1.1 | ||||||||||
Credit contracts | 0.5 | (1.6 | ) | 2.3 | 6.2 | ||||||||||
Managed custody guarantees | 0.1 | — | 0.1 | 1.1 | |||||||||||
Embedded derivatives: | |||||||||||||||
Within fixed maturity investments(2) | (11.8 | ) | 4.6 | (17.2 | ) | (0.2 | ) | ||||||||
Within annuity products(2) | 52.1 | (59.5 | ) | 76.4 | 88.4 | ||||||||||
Within reinsurance agreements(3) | 45.0 | — | 45.8 | — | |||||||||||
Total | $ | 43.5 | $ | (15.6 | ) | $ | 43.3 | $ | 115.5 |
34 |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets: | |||||||||||||||
Fixed maturities, including securities pledged: | |||||||||||||||
U.S. Treasuries | $ | 762.3 | $ | 61.7 | $ | — | $ | 824.0 | |||||||
U.S. Government agencies and authorities | — | 386.7 | — | 386.7 | |||||||||||
U.S. corporate, state and municipalities | — | 10,375.5 | 139.9 | 10,515.4 | |||||||||||
Foreign(1) | — | 5,483.0 | 18.7 | 5,501.7 | |||||||||||
Residential mortgage-backed securities | — | 2,029.7 | 30.8 | 2,060.5 | |||||||||||
Commercial mortgage-backed securities | — | 745.2 | — | 745.2 | |||||||||||
Other asset-backed securities | — | 472.2 | 24.7 | 496.9 | |||||||||||
Total fixed maturities, including securities pledged | 762.3 | 19,554.0 | 214.1 | 20,530.4 | |||||||||||
Equity securities, available-for-sale | 89.8 | — | 36.9 | 126.7 | |||||||||||
Derivatives: | |||||||||||||||
Interest rate contracts | 7.0 | 415.4 | — | 422.4 | |||||||||||
Foreign exchange contracts | — | 3.7 | — | 3.7 | |||||||||||
Equity contracts | — | — | — | — | |||||||||||
Credit contracts | — | 4.4 | — | 4.4 | |||||||||||
Cash and cash equivalents, short-term investments and short-term investments under securities loan agreements | 757.7 | — | — | 757.7 | |||||||||||
Assets held in separate accounts | 52,786.4 | 5,216.0 | 19.9 | 58,022.3 | |||||||||||
Total assets | $ | 54,403.2 | $ | 25,193.5 | $ | 270.9 | $ | 79,867.6 | |||||||
Liabilities: | |||||||||||||||
Product guarantees: | |||||||||||||||
Stabilizer and MCGs | $ | — | $ | — | $ | 28.0 | $ | 28.0 | |||||||
FIA | — | — | 21.1 | 21.1 | |||||||||||
Embedded derivative on reinsurance | — | (45.8 | ) | — | (45.8 | ) | |||||||||
Derivatives: | |||||||||||||||
Interest rate contracts | 6.4 | 287.6 | — | 294.0 | |||||||||||
Foreign exchange contracts | — | 12.3 | — | 12.3 | |||||||||||
Total liabilities | $ | 6.4 | $ | 254.1 | $ | 49.1 | $ | 309.6 |
35 |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets: | |||||||||||||||
Fixed maturities, including securities pledged: | |||||||||||||||
U.S. Treasuries | $ | 1,093.4 | $ | 53.2 | $ | — | $ | 1,146.6 | |||||||
U.S. Government agencies and authorities | — | 397.0 | — | 397.0 | |||||||||||
U.S. corporate, state and municipalities | — | 10,512.8 | 154.6 | 10,667.4 | |||||||||||
Foreign(1) | — | 5,527.4 | 24.6 | 5,552.0 | |||||||||||
Residential mortgage-backed securities | — | 2,348.4 | 9.1 | 2,357.5 | |||||||||||
Commercial mortgage-backed securities | — | 839.1 | — | 839.1 | |||||||||||
Other asset-backed securities | — | 462.4 | 33.2 | 495.6 | |||||||||||
Total fixed maturities, including securities pledged | 1,093.4 | 20,140.3 | 221.5 | 21,455.2 | |||||||||||
Equity securities, available-for-sale | 125.8 | — | 17.0 | 142.8 | |||||||||||
Derivatives: | |||||||||||||||
Interest rate contracts | — | 508.3 | — | 508.3 | |||||||||||
Foreign exchange contracts | — | 0.4 | — | 0.4 | |||||||||||
Equity contracts | 0.4 | — | — | 0.4 | |||||||||||
Credit contracts | — | 3.6 | — | 3.6 | |||||||||||
Cash and cash equivalents, short-term investments and short-term investments under securities loan agreements | 1,229.3 | — | — | 1,229.3 | |||||||||||
Assets held in separate accounts | 47,916.5 | 5,722.5 | 16.3 | 53,655.3 | |||||||||||
Total assets | $ | 50,365.4 | $ | 26,375.1 | $ | 254.8 | $ | 76,995.3 | |||||||
Liabilities: | |||||||||||||||
Product guarantees: | |||||||||||||||
Stabilizers and MCGs | $ | — | $ | — | $ | 102.0 | $ | 102.0 | |||||||
FIA | — | — | 20.4 | 20.4 | |||||||||||
Embedded derivative on reinsurance | — | — | — | — | |||||||||||
Derivatives: | |||||||||||||||
Interest rate contracts | 0.7 | 327.8 | — | 328.5 | |||||||||||
Foreign exchange contracts | — | 18.3 | — | 18.3 | |||||||||||
Total liabilities | $ | 0.7 | $ | 346.1 | $ | 122.4 | $ | 469.2 |
36 |
37 |
Three Months Ended June 30, 2013 | |||||||||||||||||||||||||||||||||||||||||||
Fair Value as of April 1 | Total Realized/Unrealized Gains (Losses) Included in: | Purchases | Issuances | Sales | Settlements | Transfers in to Level 3(2) | Transfers out of Level 3(2) | Fair Value as of June 30 | Change in Unrealized Gains (Losses) Included in Earnings(3) | ||||||||||||||||||||||||||||||||||
Net Income | OCI | ||||||||||||||||||||||||||||||||||||||||||
Fixed maturities, including securities pledged: | |||||||||||||||||||||||||||||||||||||||||||
U.S. corporate, state and municipalities | $ | 167.6 | $ | (0.1 | ) | $ | (1.9 | ) | $ | — | $ | — | $ | — | $ | (0.8 | ) | $ | — | $ | (24.9 | ) | $ | 139.9 | $ | (0.1 | ) | ||||||||||||||||
Foreign | 25.7 | — | (0.4 | ) | — | — | — | (6.6 | ) | — | — | 18.7 | — | ||||||||||||||||||||||||||||||
Residential mortgage-backed securities | 18.4 | (0.4 | ) | 0.3 | 18.6 | — | — | — | — | (6.1 | ) | 30.8 | (0.4 | ) | |||||||||||||||||||||||||||||
Other asset-backed securities | 27.4 | 0.6 | (0.1 | ) | — | — | — | (3.2 | ) | — | — | 24.7 | 0.3 | ||||||||||||||||||||||||||||||
Total fixed maturities, including securities pledged | 239.1 | 0.1 | (2.1 | ) | 18.6 | — | — | (10.6 | ) | — | (31.0 | ) | 214.1 | (0.2 | ) | ||||||||||||||||||||||||||||
Equity securities, available-for-sale | 35.8 | (0.1 | ) | 1.2 | — | — | — | — | — | — | 36.9 | — | |||||||||||||||||||||||||||||||
Derivatives: | |||||||||||||||||||||||||||||||||||||||||||
Product guarantees: | |||||||||||||||||||||||||||||||||||||||||||
Stabilizer and MCGs(1) | (78.0 | ) | 51.7 | — | (1.7 | ) | — | — | — | — | — | (28.0 | ) | — | |||||||||||||||||||||||||||||
FIA(1) | (21.6 | ) | 0.5 | — | — | — | — | — | — | — | (21.1 | ) | — | ||||||||||||||||||||||||||||||
Other derivatives, net | — | — | — | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||
Assets held in separate accounts(4) | 2.2 | (0.1 | ) | — | 21.1 | — | (3.3 | ) | — | — | — | 19.9 | (0.1 | ) | |||||||||||||||||||||||||||||
(1) All gains and losses on Level 3 liabilities are classified as realized gains (losses) for the purpose of this disclosure because it is impracticable to track realized and unrealized gains (losses) separately on a contract-by-contract basis. These amounts are included in Other net realized capital gains (losses) in the Condensed Consolidated Statements of Operations. | |||||||||||||||||||||||||||||||||||||||||||
(2) The Company’s policy is to recognize transfers in and transfers out as of the beginning of the reporting period. | |||||||||||||||||||||||||||||||||||||||||||
(3) For financial instruments still held as of June 30, amounts are included in Net investment income and Total net realized capital gains (losses) in the Condensed Consolidated Statements of Operations. | |||||||||||||||||||||||||||||||||||||||||||
(4) The investment income and realized gains (losses) and change in unrealized gains (losses) included in net income (loss) for separate account assets are offset by an equal amount for separate account liabilities, which result in a net zero impact on net income (loss) for the Company. |
38 |
Six Months Ended June 30, 2013 | |||||||||||||||||||||||||||||||||||||||||||
Fair Value as of January 1 | Total Realized/Unrealized Gains (Losses) Included in: | Purchases | Issuances | Sales | Settlements | Transfers in to Level 3(2) | Transfers out of Level 3(2) | Fair Value as of June 30 | Change in Unrealized Gains (Losses) Included in Earnings(3) | ||||||||||||||||||||||||||||||||||
Net Income | OCI | ||||||||||||||||||||||||||||||||||||||||||
Fixed maturities, including securities pledged: | |||||||||||||||||||||||||||||||||||||||||||
U.S. corporate, state and municipalities | $ | 154.6 | $ | (0.2 | ) | $ | (1.0 | ) | $ | — | $ | — | $ | — | $ | (2.4 | ) | $ | 17.6 | $ | (28.7 | ) | $ | 139.9 | $ | (0.2 | ) | ||||||||||||||||
Foreign | 24.6 | — | 0.7 | — | — | — | (6.6 | ) | — | — | 18.7 | — | |||||||||||||||||||||||||||||||
Residential mortgage-backed securities | 9.1 | (0.8 | ) | 0.1 | 22.4 | — | — | — | — | — | 30.8 | (0.7 | ) | ||||||||||||||||||||||||||||||
Other asset-backed securities | 33.2 | 1.7 | (0.3 | ) | — | — | — | (9.9 | ) | — | — | 24.7 | 0.4 | ||||||||||||||||||||||||||||||
Total fixed maturities, including securities pledged | 221.5 | 0.7 | (0.5 | ) | 22.4 | — | — | (18.9 | ) | 17.6 | (28.7 | ) | 214.1 | (0.5 | ) | ||||||||||||||||||||||||||||
Equity securities, available-for-sale | 17.0 | (0.1 | ) | 2.2 | — | — | — | — | 34.5 | (16.7 | ) | 36.9 | — | ||||||||||||||||||||||||||||||
Derivatives: | |||||||||||||||||||||||||||||||||||||||||||
Product guarantees: | |||||||||||||||||||||||||||||||||||||||||||
Stabilizer and MCGs(1) | (102.0 | ) | 77.2 | — | (3.2 | ) | — | — | — | — | — | (28.0 | ) | — | |||||||||||||||||||||||||||||
FIA(1) | (20.4 | ) | (0.7 | ) | — | — | — | — | — | — | — | (21.1 | ) | — | |||||||||||||||||||||||||||||
Other derivatives, net | — | — | — | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||
Assets held in separate accounts(4) | 16.3 | (0.1 | ) | — | 21.3 | — | (9.9 | ) | — | 2.2 | (9.9 | ) | 19.9 | 0.2 | |||||||||||||||||||||||||||||
(1) All gains and losses on Level 3 liabilities are classified as realized gains (losses) for the purpose of this disclosure because it is impracticable to track realized and unrealized gains (losses) separately on a contract-by-contract basis. These amounts are included in Total net realized capital gains (losses) in the Condensed Consolidated Statements of Operations. | |||||||||||||||||||||||||||||||||||||||||||
(2) The Company’s policy is to recognize transfers in and transfers out as of the beginning of the reporting period. | |||||||||||||||||||||||||||||||||||||||||||
(3) For financial instruments still held as of June 30, amounts are included in Net investment income and Total net realized capital gains (losses) in the Condensed Consolidated Statements of Operations. | |||||||||||||||||||||||||||||||||||||||||||
(4) The investment income and realized gains (losses) and change in unrealized gains (losses) included in net income (loss) for separate account assets are offset by an equal amount for separate account liabilities, which result in a net zero impact on net income (loss) for the Company. |
39 |
Three Months Ended June 30, 2012 | |||||||||||||||||||||||||||||||||||||||||||
Fair Value as of April 1 | Total Realized/Unrealized Gains (Losses) Included in: | Purchases | Issuances | Sales | Settlements | Transfers in to Level 3(2) | Transfers out of Level 3(2) | Fair Value as of June 30 | Change in Unrealized Gains (Losses) Included in Earnings(3) | ||||||||||||||||||||||||||||||||||
Net Income | OCI | ||||||||||||||||||||||||||||||||||||||||||
Fixed maturities, including securities pledged: | |||||||||||||||||||||||||||||||||||||||||||
U.S. corporate, state and municipalities | $ | 146.6 | $ | — | $ | (4.0 | ) | $ | 6.8 | $ | — | $ | — | $ | (15.1 | ) | $ | 27.9 | $ | (10.6 | ) | $ | 151.6 | $ | — | ||||||||||||||||||
Foreign | 19.7 | — | (0.3 | ) | — | — | — | — | — | — | 19.4 | — | |||||||||||||||||||||||||||||||
Residential mortgage-backed securities | 11.0 | 1.1 | 1.6 | — | — | (6.0 | ) | — | — | (1.7 | ) | 6.0 | (0.1 | ) | |||||||||||||||||||||||||||||
Other asset-backed securities | 28.7 | 0.2 | (0.5 | ) | — | — | — | (0.5 | ) | 2.2 | — | 30.1 | 0.2 | ||||||||||||||||||||||||||||||
Total fixed maturities, including securities pledged | 206.0 | 1.3 | (3.2 | ) | 6.8 | — | (6.0 | ) | (15.6 | ) | 30.1 | (12.3 | ) | 207.1 | 0.1 | ||||||||||||||||||||||||||||
Equity securities, available-for-sale | 18.5 | — | — | — | — | — | — | — | — | 18.5 | — | ||||||||||||||||||||||||||||||||
Derivatives: | |||||||||||||||||||||||||||||||||||||||||||
Product guarantees: | |||||||||||||||||||||||||||||||||||||||||||
Stabilizer and MCGs(1) | (72.0 | ) | (59.8 | ) | — | (1.2 | ) | — | — | — | — | — | (133.0 | ) | — | ||||||||||||||||||||||||||||
FIA(1) | (17.9 | ) | 0.3 | — | — | — | — | — | — | — | (17.6 | ) | — | ||||||||||||||||||||||||||||||
Other derivatives, net | — | — | — | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||
Assets held in separate accounts(4) | 23.1 | — | — | — | — | (14.4 | ) | — | — | — | 8.7 | 0.2 | |||||||||||||||||||||||||||||||
(1) All gains and losses on Level 3 liabilities are classified as realized gains (losses) for the purpose of this disclosure because it is impracticable to track realized and unrealized gains (losses) separately on a contract-by-contract basis. These amounts are included in Total net realized capital gains (losses) in the Condensed Consolidated Statements of Operations. | |||||||||||||||||||||||||||||||||||||||||||
(2) The Company’s policy is to recognize transfers in and transfers out as of the beginning of the reporting period. | |||||||||||||||||||||||||||||||||||||||||||
(3) For financial instruments still held as of June 30, amounts are included in Net investment income and Total net realized capital gains (losses) in the Condensed Consolidated Statements of Operations. | |||||||||||||||||||||||||||||||||||||||||||
(4) The investment income and realized gains (losses) and change in unrealized gains (losses) included in net income (loss) for separate account assets are offset by an equal amount for separate account liabilities, which result in a net zero impact on net income (loss) for the Company. |
40 |
Six Months Ended June 30, 2012 | |||||||||||||||||||||||||||||||||||||||||||
Fair Value as of January 1 | Total Realized/Unrealized Gains (Losses) Included in: | Purchases | Issuances | Sales | Settlements | Transfers in to Level 3(2) | Transfers out of Level 3(2) | Fair Value as of June 30 | Change in Unrealized Gains (Losses) Included in Earnings(3) | ||||||||||||||||||||||||||||||||||
Net Income | OCI | ||||||||||||||||||||||||||||||||||||||||||
Fixed maturities, including securities pledged: | |||||||||||||||||||||||||||||||||||||||||||
U.S. corporate, state and municipalities | $ | 129.1 | $ | (0.2 | ) | $ | (3.2 | ) | $ | 7.2 | $ | — | $ | — | $ | (6.0 | ) | $ | 28.3 | $ | (3.6 | ) | $ | 151.6 | $ | (0.2 | ) | ||||||||||||||||
Foreign | 51.1 | 0.9 | (1.2 | ) | — | — | (5.7 | ) | — | — | (25.7 | ) | 19.4 | — | |||||||||||||||||||||||||||||
Residential mortgage-backed securities | 41.0 | 0.8 | 1.8 | — | — | (6.0 | ) | — | — | (31.6 | ) | 6.0 | (0.4 | ) | |||||||||||||||||||||||||||||
Other asset-backed securities | 27.7 | 0.4 | 0.5 | — | — | — | (1.1 | ) | 2.6 | — | 30.1 | 0.4 | |||||||||||||||||||||||||||||||
Total fixed maturities, including securities pledged | 248.9 | 1.9 | (2.1 | ) | 7.2 | — | (11.7 | ) | (7.1 | ) | 30.9 | (60.9 | ) | 207.1 | (0.2 | ) | |||||||||||||||||||||||||||
Equity securities, available-for-sale | 19.0 | — | (0.1 | ) | 0.7 | — | (1.1 | ) | — | — | — | 18.5 | — | ||||||||||||||||||||||||||||||
Derivatives: | |||||||||||||||||||||||||||||||||||||||||||
Product guarantees: | |||||||||||||||||||||||||||||||||||||||||||
Stabilizer and MCGs(1) | (221.0 | ) | 90.8 | — | (2.8 | ) | — | — | — | — | — | (133.0 | ) | — | |||||||||||||||||||||||||||||
FIA(1) | (16.3 | ) | (1.3 | ) | — | — | — | — | — | — | — | (17.6 | ) | — | |||||||||||||||||||||||||||||
Other derivatives, net | (12.6 | ) | (1.8 | ) | — | — | — | — | 14.4 | — | — | — | — | ||||||||||||||||||||||||||||||
Assets held in separate accounts(4) | 16.1 | 0.3 | — | 1.1 | — | (9.0 | ) | — | 0.2 | — | 8.7 | 0.6 | |||||||||||||||||||||||||||||||
(1) All gains and losses on Level 3 liabilities are classified as realized gains (losses) for the purpose of this disclosure because it is impracticable to track realized and unrealized gains (losses) separately on a contract-by-contract basis. These amounts are included in Total net realized capital gains (losses) in the Condensed Consolidated Statements of Operations. | |||||||||||||||||||||||||||||||||||||||||||
(2) The Company’s policy is to recognize transfers in and transfers out as of the beginning of the reporting period. | |||||||||||||||||||||||||||||||||||||||||||
(3) For financial instruments still held as of June 30, amounts are included in Net investment income and Total net realized capital gains (losses) in the Condensed Consolidated Statements of Operations. | |||||||||||||||||||||||||||||||||||||||||||
(4) The investment income and realized gains (losses) and change in unrealized gains (losses) included in net income (loss) for separate account assets are offset by an equal amount for separate account liabilities, which result in a net zero impact on net income (loss) for the Company. |
41 |
42 |
Range(1) | ||||||
Unobservable Input | FIA | Stabilizer / MCG | ||||
Interest rate implied volatility | — | 0.2% to 8.1% | ||||
Nonperformance risk | 0.03% to 1.3% | 0.03% to 1.3% | ||||
Actuarial Assumptions: | ||||||
Lapses | 0% - 10% | (2) | 0% to 55% | (3) | ||
Policyholder Deposits(4) | — | 0% to 60% | (3) |
Percentage of Plans | Overall Range of Lapse Rates | Range of Lapse Rates for 85% of Plans | Overall Range of Policyholder Deposits | Range of Policyholder Deposits for 85% of Plans | ||||||
Stabilizer (Investment Only) and MCG Contracts | 87 | % | 0-30% | 0-15% | 0-55% | 0-20% | ||||
Stabilizer with Recordkeeping Agreements | 13 | % | 0-55% | 0-25% | 0-60% | 0-30% | ||||
Aggregate of all plans | 100 | % | 0-55% | 0-25% | 0-60% | 0-30% |
Range(1) | ||||||
Unobservable Input | FIA | Stabilizer / MCG | ||||
Interest rate implied volatility | — | 0.1% to 7.6% | ||||
Nonperformance risk | 0.1% to 1.3% | 0.1% to 1.3% | ||||
Actuarial Assumptions: | ||||||
Lapses | 0% - 10% | (2) | 0% to 55% | (3) | ||
Policyholder Deposits(4) | — | 0% to 60% | (3) |
Percentage of Plans | Overall Range of Lapse Rates | Range of Lapse Rates for 85% of Plans | Overall Range of Policyholder Deposits | Range of Policyholder Deposits for 85% of Plans | ||||||
Stabilizer (Investment Only) and MCG Contracts | 87 | % | 0-30% | 0-15% | 0-55% | 0-20% | ||||
Stabilizer with Recordkeeping Agreements | 13 | % | 0-55% | 0-25% | 0-60% | 0-30% | ||||
Aggregate of all plans | 100 | % | 0-55% | 0-25% | 0-60% | 0-30% |
• | A decrease (increase) in nonperformance risk |
• | A decrease (increase) in lapses |
43 |
• | An increase (decrease) in interest rate implied volatility |
• | A decrease (increase) in nonperformance risk |
• | A decrease (increase) in lapses |
• | A decrease (increase) in policyholder deposits |
• | Generally, an increase (decrease) in interest rate implied volatility will increase (decrease) lapses of Stabilizer and MCG contracts due to dynamic participant behavior. |
June 30, 2013 | December 31, 2012 | ||||||||||||||
Carrying Value | Fair Value | Carrying Value | Fair Value | ||||||||||||
Assets: | |||||||||||||||
Fixed maturities, including securities pledged | $ | 20,530.4 | $ | 20,530.4 | $ | 21,455.2 | $ | 21,455.2 | |||||||
Equity securities, available-for-sale | 126.7 | 126.7 | 142.8 | 142.8 | |||||||||||
Mortgage loans on real estate | 3,187.9 | 3,210.1 | 2,872.7 | 2,946.9 | |||||||||||
Policy loans | 239.8 | 239.8 | 240.9 | 240.9 | |||||||||||
Limited partnerships/corporations | 181.3 | 181.3 | 179.6 | 179.6 | |||||||||||
Cash, cash equivalents, short-term investments and short-term investments under securities loan agreements | 757.7 | 757.7 | 1,229.3 | 1,229.3 | |||||||||||
Derivatives | 430.5 | 430.5 | 512.7 | 512.7 | |||||||||||
Notes receivable from affiliates | 175.0 | 185.0 | 175.0 | 194.3 | |||||||||||
Assets held in separate accounts | 58,022.3 | 58,022.3 | 53,655.3 | 53,655.3 | |||||||||||
Liabilities: | |||||||||||||||
Investment contract liabilities: | |||||||||||||||
Funding agreements without fixed maturities and deferred annuities(1) | 20,606.2 | 24,052.7 | 20,263.4 | 25,156.5 | |||||||||||
Supplementary contracts, immediate annuities and other | 653.7 | 755.1 | 680.0 | 837.3 | |||||||||||
Annuity product guarantees: | |||||||||||||||
FIA | 21.1 | 21.1 | 20.4 | 20.4 | |||||||||||
Stabilizer and MCGs | 28.0 | 28.0 | 102.0 | 102.0 | |||||||||||
Derivatives | 306.3 | 306.3 | 346.8 | 346.8 | |||||||||||
Long-term debt | 4.9 | 4.9 | 4.9 | 4.9 | |||||||||||
Embedded derivative on reinsurance | (45.8 | ) | (45.8 | ) | — | — |
44 |
45 |
DAC | VOBA | Total | |||||||||
Balance at January 1, 2013 | $ | 296.5 | $ | 381.4 | $ | 677.9 | |||||
Deferrals of commissions and expenses | 36.4 | 3.8 | 40.2 | ||||||||
Amortization: | |||||||||||
Amortization | (41.9 | ) | (52.0 | ) | (93.9 | ) | |||||
Interest accrued(1) | 16.6 | 30.4 | 47.0 | ||||||||
Net amortization included in the Condensed Consolidated Statements of Operations | (25.3 | ) | (21.6 | ) | (46.9 | ) | |||||
Change in unrealized capital gains/losses on available-for-sale securities | 125.8 | 286.0 | 411.8 | ||||||||
Balance at June 30, 2013 | $ | 433.4 | $ | 649.6 | $ | 1,083.0 |
DAC | VOBA | Total | |||||||||
Balance at January 1, 2012 | $ | 335.0 | $ | 593.7 | $ | 928.7 | |||||
Deferrals of commissions and expenses | 36.7 | 4.0 | 40.7 | ||||||||
Amortization: | |||||||||||
Amortization | (42.6 | ) | (111.2 | ) | (153.8 | ) | |||||
Interest accrued(1) | 15.4 | 33.4 | 48.8 | ||||||||
Net amortization included in the Condensed Consolidated Statements of Operations | (27.2 | ) | (77.8 | ) | (105.0 | ) | |||||
Change in unrealized capital gains/losses on available-for-sale securities | (29.0 | ) | (43.9 | ) | (72.9 | ) | |||||
Balance at June 30, 2012 | $ | 315.5 | $ | 476.0 | $ | 791.5 |
(1) | Interest accrued at the following rates for DAC: 0.0% to 7.0% during 2013 and 4.0% and 7.0% during 2012. Interest accrued at the following rates for VOBA: 5.0% to 7.0% during 2013 and 5.0% to 8.0% during 2012. |
46 |
June 30, | |||||||
2013 | 2012 | ||||||
Fixed maturities, net of OTTI | $ | 974.4 | $ | 1,787.6 | |||
Equity securities, available-for-sale | 16.5 | 13.5 | |||||
Derivatives | 150.1 | 213.6 | |||||
DAC/VOBA and sales inducements adjustment on available-for-sale securities | (398.2 | ) | (676.6 | ) | |||
Premium deficiency reserve adjustment | (94.4 | ) | (96.0 | ) | |||
Unrealized capital gains (losses), before tax | 648.4 | 1,242.1 | |||||
Deferred income tax asset (liability) | (163.6 | ) | (362.0 | ) | |||
Unrealized capital gains (losses), after tax | 484.8 | 880.1 | |||||
Pension and other postretirement benefits liability, net of tax | 10.2 | 12.0 | |||||
AOCI | $ | 495.0 | $ | 892.1 |
47 |
Six Months Ended June 30, 2013 | ||||||||||||
Before-Tax Amount | Income Tax | After-Tax Amount | ||||||||||
Available-for-sale securities: | ||||||||||||
Fixed maturities | $ | (1,220.1 | ) | $ | 425.3 | (4) | $ | (794.8 | ) | |||
Equity securities | 3.0 | (1.1 | ) | 1.9 | ||||||||
Other | — | * | — | * | — | * | ||||||
OTTI | 1.4 | (0.5 | ) | 0.9 | ||||||||
Adjustments for amounts recognized in Net realized capital gains (losses) in the Condensed Consolidated Statements of Operations | 2.2 | (0.8 | ) | 1.4 | ||||||||
DAC/VOBA and sales inducements | 412.4 | (1) | (144.3 | ) | 268.1 | |||||||
Premium deficiency reserve adjustment | 58.2 | (20.4 | ) | 37.8 | ||||||||
Change in unrealized gains/losses on available-for-sale securities | (742.9 | ) | 258.2 | (484.7 | ) | |||||||
Derivatives: | ||||||||||||
Derivatives | (64.3 | ) | (2) | 22.5 | (41.8 | ) | ||||||
Adjustments for amounts recognized in Net investment income in the Condensed Consolidated Statements of Operations | (0.8 | ) | 0.3 | (0.5 | ) | |||||||
Change in unrealized gains/losses on derivatives | (65.1 | ) | 22.8 | (42.3 | ) | |||||||
Pension and other postretirement benefits liability: | ||||||||||||
Amortization of prior service cost recognized in Operating expenses in the Condensed Consolidated Statements of Operations | (1.0 | ) | (3) | — | (1.0 | ) | ||||||
Change in pension and other postretirement benefits liability | (1.0 | ) | — | (1.0 | ) | |||||||
Change in Other comprehensive income (loss) | $ | (809.0 | ) | $ | 281.0 | $ | (528.0 | ) |
48 |
Six Months Ended June 30, 2012 | ||||||||||||
Before-Tax Amount | Income Tax | After-Tax Amount | ||||||||||
Available-for-sale securities: | ||||||||||||
Fixed maturities | $ | 321.2 | $ | (99.8 | ) | (4) | $ | 221.4 | ||||
Equity securities | 0.4 | (0.1 | ) | 0.3 | ||||||||
Other | — | * | — | * | — | * | ||||||
OTTI | 3.6 | (1.3 | ) | 2.3 | ||||||||
Adjustments for amounts recognized in Net realized capital gains (losses) in the Condensed Consolidated Statements of Operations | (55.8 | ) | 18.9 | (36.9 | ) | |||||||
DAC/VOBA and sales inducements | (73.0 | ) | (1) | 25.6 | (47.4 | ) | ||||||
Premium deficiency reserve adjustment | (31.2 | ) | 10.9 | (20.3 | ) | |||||||
Change in unrealized gains/losses on available-for-sale securities | 165.2 | (45.8 | ) | 119.4 | ||||||||
Derivatives: | ||||||||||||
Derivatives | 39.9 | (2) | (14.0 | ) | 25.9 | |||||||
Adjustments for amounts recognized in Net investment income in the Condensed Consolidated Statements of Operations | — | — | — | |||||||||
Change in unrealized gains/losses on derivatives | 39.9 | (14.0 | ) | 25.9 | ||||||||
Pension and other postretirement benefits liability: | ||||||||||||
Amortization of prior service cost recognized in Operating expenses in the Condensed Consolidated Statements of Operations | (1.1 | ) | (3) | 0.4 | (0.7 | ) | ||||||
Change in pension and other postretirement benefits liability | (1.1 | ) | 0.4 | (0.7 | ) | |||||||
Change in Other comprehensive income (loss) | $ | 204.0 | $ | (59.4 | ) | $ | 144.6 |
49 |
Three Months Ended June 30, | |||||||
2013 | 2012 | ||||||
Income (loss) before income taxes | $ | 112.8 | $ | 58.5 | |||
Tax rate | 35.0 | % | 35.0 | % | |||
Income tax expense (benefit) at federal statutory rate | 39.5 | 20.4 | |||||
Tax effect of: | |||||||
Dividends received deduction | (6.3 | ) | (6.0 | ) | |||
Valuation allowance | 1.9 | 6.0 | |||||
Other | 0.8 | 0.2 | |||||
Income tax expense (benefit) | $ | 35.9 | $ | 20.6 | |||
Six Months Ended June 30, | |||||||
2013 | 2012 | ||||||
Income (loss) before income taxes | $ | 219.7 | $ | 276.7 | |||
Tax rate | 35.0 | % | 35.0 | % | |||
Income tax expense (benefit) at federal statutory rate | 76.9 | 96.8 | |||||
Tax effect of: | |||||||
Dividends received deduction | (11.6 | ) | (12.0 | ) | |||
Valuation allowance | 1.9 | 10.0 | |||||
IRS audit adjustment | (0.3 | ) | (0.3 | ) | |||
Other | 0.8 | 0.3 | |||||
Income tax expense (benefit) | $ | 67.7 | $ | 94.8 |
50 |
51 |
June 30, 2013 | December 31, 2012 | ||||||
Other fixed maturities-state deposits | $ | 13.1 | $ | 13.4 | |||
Securities pledged(1) | 217.4 | 219.7 | |||||
Total restricted assets | $ | 230.5 | $ | 233.1 |
52 |
53 |
54 |
55 |
Three Months Ended June 30, | $ Increase | % Increase | ||||||||||||
2013 | 2012 | (Decrease) | (Decrease) | |||||||||||
Revenues: | ||||||||||||||
Net investment income | $ | 342.9 | $ | 311.9 | $ | 31.0 | 9.9 | % | ||||||
Fee income | 183.1 | 156.7 | 26.4 | 16.8 | % | |||||||||
Premiums | 7.2 | 11.7 | (4.5 | ) | (38.5 | )% | ||||||||
Broker-dealer commission revenue | 61.0 | 56.5 | 4.5 | 8.0 | % | |||||||||
Net realized capital gains (losses): | ||||||||||||||
Total other-than-temporary impairments | (1.8 | ) | (2.6 | ) | 0.8 | 30.8 | % | |||||||
Less: Portion of other-than-temporary impairments recognized in Other comprehensive income (loss) | (0.5 | ) | (0.9 | ) | 0.4 | 44.4 | % | |||||||
Net other-than-temporary impairments recognized in earnings | (1.3 | ) | (1.7 | ) | 0.4 | 23.5 | % | |||||||
Other net realized capital gains (losses) | (68.6 | ) | 0.5 | (69.1 | ) | NM | ||||||||
Total net realized capital gains (losses) | (69.9 | ) | (1.2 | ) | (68.7 | ) | NM | |||||||
Other revenue | (0.6 | ) | 2.3 | (2.9 | ) | NM | ||||||||
Total revenues | 523.7 | 537.9 | (14.2 | ) | (2.6 | )% | ||||||||
Benefits and expenses: | ||||||||||||||
Interest credited and other benefits to contract owners/policyholders | 145.3 | 193.0 | (47.7 | ) | (24.7 | )% | ||||||||
Operating expenses | 176.3 | 177.2 | (0.9 | ) | (0.5 | )% | ||||||||
Broker-dealer commission expense | 61.0 | 56.5 | 4.5 | 8.0 | % | |||||||||
Net amortization of deferred policy acquisition costs and value of business acquired | 28.3 | 52.2 | (23.9 | ) | (45.8 | )% | ||||||||
Interest expense | — | 0.5 | (0.5 | ) | (100.0 | )% | ||||||||
Total benefits and expenses | 410.9 | 479.4 | (68.5 | ) | (14.3 | )% | ||||||||
Income (loss) before income taxes | 112.8 | 58.5 | 54.3 | 92.8 | % | |||||||||
Income tax expense (benefit) | 35.9 | 20.6 | 15.3 | 74.3 | % | |||||||||
Net income (loss) | $ | 76.9 | $ | 37.9 | $ | 39.0 | NM |
56 |
57 |
Six Months Ended June 30, | $ Increase | % Increase | ||||||||||||
2013 | 2012 | (Decrease) | (Decrease) | |||||||||||
Revenues: | ||||||||||||||
Net investment income | $ | 691.1 | $ | 663.9 | $ | 27.2 | 4.1 | % | ||||||
Fee income | 358.0 | 311.8 | 46.2 | 14.8 | % | |||||||||
Premiums | 15.1 | 23.5 | (8.4 | ) | (35.7 | )% | ||||||||
Broker-dealer commission revenue | 118.8 | 112.2 | 6.6 | 5.9 | % | |||||||||
Net realized capital gains (losses): | ||||||||||||||
Total other-than-temporary impairments | (2.9 | ) | (4.0 | ) | 1.1 | 27.5 | % | |||||||
Less: Portion of other-than-temporary impairments recognized in Other comprehensive income (loss) | (1.0 | ) | (1.0 | ) | — | — | % | |||||||
Net other-than-temporary impairments recognized in earnings | (1.9 | ) | (3.0 | ) | 1.1 | 36.7 | % | |||||||
Other net realized capital gains (losses) | (108.1 | ) | 129.1 | (237.2 | ) | NM | ||||||||
Total net realized capital gains (losses) | (110.0 | ) | 126.1 | (236.1 | ) | NM | ||||||||
Other revenue | (5.5 | ) | 2.8 | (8.3 | ) | NM | ||||||||
Total revenues | 1,067.5 | 1,240.3 | (172.8 | ) | (13.9 | )% | ||||||||
Benefits and expenses: | ||||||||||||||
Interest credited and other benefits to contract owners/policyholders | 332.1 | 387.7 | (55.6 | ) | (14.3 | )% | ||||||||
Operating expenses | 349.9 | 357.6 | (7.7 | ) | (2.2 | )% | ||||||||
Broker-dealer commission expense | 118.8 | 112.2 | 6.6 | 5.9 | % | |||||||||
Net amortization of deferred policy acquisition costs and value of business acquired | 46.9 | 105.0 | (58.1 | ) | (55.3 | )% | ||||||||
Interest expense | 0.1 | 1.1 | (1.0 | ) | (90.9 | )% | ||||||||
Total benefits and expenses | 847.8 | 963.6 | (115.8 | ) | (12.0 | )% | ||||||||
Income (loss) before income taxes | 219.7 | 276.7 | (57.0 | ) | (20.6 | )% | ||||||||
Income tax expense (benefit) | 67.7 | 94.8 | (27.1 | ) | (28.6 | )% | ||||||||
Net income (loss) | $ | 152.0 | $ | 181.9 | $ | (29.9 | ) | (16.4 | )% |
58 |
59 |
June 30, 2013 | December 31, 2012 | ||||||||||||
Carrying Value | % of Total | Carrying Value | % of Total | ||||||||||
Fixed maturities, available-for-sale, excluding securities pledged | $ | 19,798.8 | 79.2 | % | $ | 20,690.8 | 79.4 | % | |||||
Fixed maturities, at fair value using the fair value option | 514.2 | 2.1 | % | 544.7 | 2.1 | % | |||||||
Equity securities, available-for-sale | 126.7 | 0.5 | % | 142.8 | 0.5 | % | |||||||
Short-term investments(1) | 310.5 | 1.2 | % | 679.8 | 2.6 | % | |||||||
Mortgage loans on real estate | 3,187.9 | 12.7 | % | 2,872.7 | 11.0 | % | |||||||
Policy loans | 239.8 | 1.0 | % | 240.9 | 0.9 | % | |||||||
Limited partnerships/corporations | 181.3 | 0.7 | % | 179.6 | 0.7 | % | |||||||
Derivatives | 430.5 | 1.7 | % | 512.7 | 2.0 | % | |||||||
Securities pledged(2) | 217.4 | 0.9 | % | 219.7 | 0.8 | % | |||||||
Total investments | $ | 25,007.1 | 100.0 | % | $ | 26,083.7 | 100.0 | % |
June 30, 2013 | |||||||||||||
Amortized Cost | % of Total | Fair Value | % of Total | ||||||||||
Fixed Maturities: | |||||||||||||
U.S. Treasuries | $ | 754.4 | 3.9 | % | $ | 824.0 | 4.1 | % | |||||
U.S. Government agencies and authorities | 376.9 | 1.9 | % | 386.7 | 1.9 | % | |||||||
State, municipalities, and political subdivisions | 77.2 | 0.4 | % | 85.0 | 0.4 | % | |||||||
U.S. corporate securities | 10,008.2 | 51.3 | % | 10,430.4 | 50.8 | % | |||||||
Foreign securities(1) | 5,296.0 | 27.1 | % | 5,501.7 | 26.8 | % | |||||||
Residential mortgage-backed securities | 1,858.2 | 9.5 | % | 2,060.5 | 10.0 | % | |||||||
Commercial mortgage-backed securities | 669.5 | 3.4 | % | 745.2 | 3.6 | % | |||||||
Other asset-backed securities | 479.2 | 2.5 | % | 496.9 | 2.4 | % | |||||||
Total fixed maturities, including securities pledged | $ | 19,519.6 | 100.0 | % | $ | 20,530.4 | 100.0 | % |
60 |
December 31, 2012 | |||||||||||||
Amortized Cost | % of Total | Fair Value | % of Total | ||||||||||
Fixed Maturities: | |||||||||||||
U.S. Treasuries | $ | 1,011.5 | 5.3 | % | $ | 1,146.6 | 5.3 | % | |||||
U.S. Government agencies and authorities | 379.4 | 2.0 | % | 397.0 | 1.9 | % | |||||||
State, municipalities, and political subdivisions | 77.2 | 0.4 | % | 93.1 | 0.4 | % | |||||||
U.S. corporate securities | 9,438.0 | 49.1 | % | 10,574.3 | 49.3 | % | |||||||
Foreign securities(1) | 5,009.7 | 26.0 | % | 5,552.0 | 25.9 | % | |||||||
Residential mortgage-backed securities | 2,070.4 | 10.8 | % | 2,357.5 | 11.0 | % | |||||||
Commercial mortgage-backed securities | 748.7 | 3.9 | % | 839.1 | 3.9 | % | |||||||
Other asset-backed securities | 475.7 | 2.5 | % | 495.6 | 2.3 | % | |||||||
Total fixed maturities, including securities pledged | $ | 19,210.6 | 100.0 | % | $ | 21,455.2 | 100.0 | % |
▪ | when three ratings are received, the middle rating is applied; |
▪ | when two ratings are received, the lower rating is applied; |
▪ | when a single rating is received, the ARO rating is applied; and |
▪ | when ratings are unavailable, an internal rating is applied. |
61 |
June 30, 2013 | ||||||||||||||
NAIC Designation | Amortized Cost | % of Total | Fair Value | % of Total | ||||||||||
1 | $ | 9,889.2 | 50.7 | % | $ | 10,415.8 | 50.8 | % | ||||||
2 | 8,644.1 | 44.3 | % | 9,055.0 | 44.2 | % | ||||||||
3 | 770.0 | 3.9 | % | 807.3 | 3.9 | % | ||||||||
4 | 149.0 | 0.8 | % | 151.2 | 0.7 | % | ||||||||
5 | 21.0 | 0.1 | % | 30.0 | 0.1 | % | ||||||||
6 | 46.3 | 0.2 | % | 71.1 | 0.3 | % | ||||||||
Total | $ | 19,519.6 | 100.0 | % | $ | 20,530.4 | 100.0 | % | ||||||
December 31, 2012 | ||||||||||||||
NAIC Designation | Amortized Cost | % of Total | Fair Value | % of Total | ||||||||||
1 | $ | 9,717.0 | 50.6 | % | $ | 10,801.8 | 50.3 | % | ||||||
2 | 8,489.2 | 44.2 | % | 9,539.0 | 44.5 | % | ||||||||
3 | 737.7 | 3.8 | % | 797.0 | 3.7 | % | ||||||||
4 | 181.0 | 0.9 | % | 189.8 | 0.9 | % | ||||||||
5 | 37.2 | 0.2 | % | 49.3 | 0.2 | % | ||||||||
6 | 48.5 | 0.3 | % | 78.3 | 0.4 | % | ||||||||
Total | $ | 19,210.6 | 100.0 | % | $ | 21,455.2 | 100.0 | % |
June 30, 2013 | ||||||||||||||
ARO Ratings | Amortized Cost | % of Total | Fair Value | % of Total | ||||||||||
AAA | $ | 3,562.7 | 18.3 | % | $ | 3,824.2 | 18.6 | % | ||||||
AA | 988.7 | 5.1 | % | 1,029.8 | 5.0 | % | ||||||||
A | 5,215.8 | 26.7 | % | 5,397.8 | 26.3 | % | ||||||||
BBB | 8,550.9 | 43.7 | % | 8,956.5 | 43.6 | % | ||||||||
BB | 772.9 | 4.0 | % | 808.3 | 3.9 | % | ||||||||
B and below | 428.6 | 2.2 | % | 513.8 | 2.6 | % | ||||||||
Total | $ | 19,519.6 | 100.0 | % | $ | 20,530.4 | 100.0 | % | ||||||
December 31, 2012 | ||||||||||||||
ARO Ratings | Amortized Cost | % of Total | Fair Value | % of Total | ||||||||||
AAA | $ | 4,031.2 | 21.0 | % | $ | 4,461.4 | 20.8 | % | ||||||
AA | 871.5 | 4.5 | % | 972.4 | 4.5 | % | ||||||||
A | 4,765.7 | 24.8 | % | 5,286.5 | 24.6 | % | ||||||||
BBB | 8,329.5 | 43.4 | % | 9,369.3 | 43.7 | % | ||||||||
BB | 734.1 | 3.8 | % | 798.0 | 3.7 | % | ||||||||
B and below | 478.6 | 2.5 | % | 567.6 | 2.7 | % | ||||||||
Total | $ | 19,210.6 | 100.0 | % | $ | 21,455.2 | 100.0 | % |
62 |
June 30, 2013 | December 31, 2012 | ||||||||||||||
Amortized Cost | Fair Value | Amortized Cost | Fair Value | ||||||||||||
Due to mature: | |||||||||||||||
One year or less | $ | 800.6 | $ | 823.4 | $ | 853.5 | $ | 880.9 | |||||||
After one year through five years | 3,905.6 | 4,142.0 | 3,953.8 | 4,249.9 | |||||||||||
After five years through ten years | 6,152.3 | 6,365.7 | 5,700.3 | 6,339.8 | |||||||||||
After ten years | 5,654.2 | 5,896.7 | 5,408.2 | 6,292.4 | |||||||||||
Mortgage-backed securities | 2,527.7 | 2,805.7 | 2,819.1 | 3,196.6 | |||||||||||
Other asset-backed securities | 479.2 | 496.9 | 475.7 | 495.6 | |||||||||||
Fixed maturities, including securities pledged | $ | 19,519.6 | $ | 20,530.4 | $ | 19,210.6 | $ | 21,455.2 |
Six Months or Less Below Amortized Cost | More Than Six Months and Twelve Months or Less Below Amortized Cost | More Than Twelve Months Below Amortized Cost | Total | ||||||||||||||||||||||||||||
Fair Value | Unrealized Capital Losses | Fair Value | Unrealized Capital Losses | Fair Value | Unrealized Capital Losses | Fair Value | Unrealized Capital Losses | ||||||||||||||||||||||||
U.S. Treasuries | $ | 217.0 | $ | 4.8 | $ | — | $ | — | $ | — | $ | — | $ | 217.0 | $ | 4.8 | |||||||||||||||
U.S. corporate, state and municipalities | 2,929.4 | 159.3 | 236.0 | 29.1 | 25.7 | 4.1 | 3,191.1 | 192.5 | |||||||||||||||||||||||
Foreign | 1,411.8 | 88.8 | 53.5 | 5.8 | 44.2 | 6.1 | 1,509.5 | 100.7 | |||||||||||||||||||||||
Residential mortgage-backed | 368.6 | 10.6 | 49.3 | 2.7 | 85.2 | 11.7 | 503.1 | 25.0 | |||||||||||||||||||||||
Commercial mortgage-backed | — | — | 0.2 | — | 1.9 | 0.1 | 2.1 | 0.1 | |||||||||||||||||||||||
Other asset-backed | 62.4 | 0.2 | 4.0 | — | 27.7 | 3.7 | 94.1 | 3.9 | |||||||||||||||||||||||
Total | $ | 4,989.2 | $ | 263.7 | $ | 343.0 | $ | 37.6 | $ | 184.7 | $ | 25.7 | $ | 5,516.9 | $ | 327.0 |
63 |
Six Months or Less Below Amortized Cost | More Than Six Months and Twelve Months or Less Below Amortized Cost | More Than Twelve Months Below Amortized Cost | Total | ||||||||||||||||||||||||||||
Fair Value | Unrealized Capital Losses | Fair Value | Unrealized Capital Losses | Fair Value | Unrealized Capital Losses | Fair Value | Unrealized Capital Losses | ||||||||||||||||||||||||
U.S. Treasuries | $ | 300.0 | $ | 0.5 | $ | — | $ | — | $ | — | $ | — | $ | 300.0 | $ | 0.5 | |||||||||||||||
U.S. corporate, state and municipalities | 479.8 | 6.8 | 22.5 | 0.9 | 49.4 | 3.4 | 551.7 | 11.1 | |||||||||||||||||||||||
Foreign | 166.8 | 4.7 | 7.8 | 0.5 | 87.7 | 11.2 | 262.3 | 16.4 | |||||||||||||||||||||||
Residential mortgage-backed | 68.7 | 1.6 | 7.2 | 0.3 | 132.4 | 16.2 | 208.3 | 18.1 | |||||||||||||||||||||||
Commercial mortgage-backed | 7.5 | 0.1 | 1.6 | — | 2.5 | 0.1 | 11.6 | 0.2 | |||||||||||||||||||||||
Other asset-backed | 15.6 | — | — | — | 34.2 | 6.7 | 49.8 | 6.7 | |||||||||||||||||||||||
Total | $ | 1,038.4 | $ | 13.7 | $ | 39.1 | $ | 1.7 | $ | 306.2 | $ | 37.6 | $ | 1,383.7 | $ | 53.0 |
64 |
% of Total Subprime Mortgage-backed Securities | |||||||||||
NAIC Designation | ARO Ratings | Vintage | |||||||||
June 30, 2013 | |||||||||||
1 | 67.5 | % | AAA | 0.1 | % | 2007 | 7.6 | % | |||
2 | 3.1 | % | AA | 2.9 | % | 2006 | 6.8 | % | |||
3 | 18.9 | % | A | 13.9 | % | 2005 and prior | 85.6 | % | |||
4 | 9.1 | % | BBB | 20.3 | % | 100.0 | % | ||||
5 | 1.2 | % | BB and below | 62.8 | % | ||||||
6 | 0.2 | % | 100.0 | % | |||||||
100.0 | % | ||||||||||
December 31, 2012 | |||||||||||
1 | 67.8 | % | AAA | 3.2 | % | 2007 | 8.0 | % | |||
2 | 3.2 | % | AA | — | % | 2006 | 6.0 | % | |||
3 | 19.6 | % | A | 16.2 | % | 2005 and prior | 86.0 | % | |||
4 | 8.7 | % | BBB | 21.5 | % | 100.0 | % | ||||
5 | 0.5 | % | BB and below | 59.1 | % | ||||||
6 | 0.2 | % | 100.0 | % | |||||||
100.0 | % |
65 |
% of Total Alt-A Mortgage-backed Securities | |||||||||||
NAIC Designation | ARO Ratings | Vintage | |||||||||
June 30, 2013 | |||||||||||
1 | 40.8 | % | AAA | 0.1 | % | 2007 | 14.0 | % | |||
2 | 14.1 | % | AA | — | % | 2006 | 29.5 | % | |||
3 | 28.7 | % | A | 3.5 | % | 2005 and prior | 56.5 | % | |||
4 | 14.5 | % | BBB | 3.2 | % | 100.0 | % | ||||
5 | 1.4 | % | BB and below | 93.2 | % | ||||||
6 | 0.5 | % | 100.0 | % | |||||||
100.0 | % | ||||||||||
December 31, 2012 | |||||||||||
1 | 33.4 | % | AAA | 0.2 | % | 2007 | 13.8 | % | |||
2 | 12.4 | % | AA | 1.4 | % | 2006 | 29.3 | % | |||
3 | 21.0 | % | A | 3.4 | % | 2005 and prior | 56.9 | % | |||
4 | 30.3 | % | BBB | 5.6 | % | 100.0 | % | ||||
5 | 2.3 | % | BB and below | 89.4 | % | ||||||
6 | 0.6 | % | 100.0 | % | |||||||
100.0 | % |
66 |
% of Total CMBS | |||||||||||
NAIC Designation | ARO Ratings | Vintage | |||||||||
June 30, 2013 | |||||||||||
1 | 99.4 | % | AAA | 50.8 | % | 2007 | 30.4 | % | |||
2 | — | % | AA | 15.9 | % | 2006 | 22.5 | % | |||
3 | 0.6 | % | A | 9.8 | % | 2005 and prior | 47.1 | % | |||
4 | — | % | BBB | 3.8 | % | 100.0 | % | ||||
5 | — | % | BB and below | 19.7 | % | ||||||
6 | — | % | 100.0 | % | |||||||
100.0 | % | ||||||||||
December 31, 2012 | |||||||||||
1 | 99.9 | % | AAA | 54.1 | % | 2007 | 28.7 | % | |||
2 | — | % | AA | 17.1 | % | 2006 | 20.4 | % | |||
3 | 0.1 | % | A | 8.4 | % | 2005 and prior | 50.9 | % | |||
4 | — | % | BBB | 5.3 | % | 100.0 | % | ||||
5 | — | % | BB and below | 15.1 | % | ||||||
6 | — | % | 100.0 | % | |||||||
100.0 | % |
67 |
% of Total Other ABS | |||||||||||
NAIC Designation | ARO Ratings | Vintage | |||||||||
June 30, 2013 | |||||||||||
1 | 99.4 | % | AAA | 90.4 | % | 2013 | 6.2 | % | |||
2 | 0.5 | % | AA | 2.7 | % | 2012 | 21.2 | % | |||
3 | 0.1 | % | A | 6.3 | % | 2011 | 12.0 | % | |||
4 | — | % | BBB | 0.5 | % | 2010 | 5.4 | % | |||
5 | — | % | BB and below | 0.1 | % | 2009 | 0.3 | % | |||
6 | — | % | 100.0 | % | 2008 | 8.7 | % | ||||
100.0 | % | 2007 and prior | 46.2 | % | |||||||
100.0 | % | ||||||||||
December 31, 2012 | |||||||||||
1 | 98.3 | % | AAA | 88.4 | % | 2012 | 21.4 | % | |||
2 | 1.6 | % | AA | 1.9 | % | 2011 | 12.2 | % | |||
3 | 0.1 | % | A | 8.0 | % | 2010 | 5.7 | % | |||
4 | — | % | BBB | 1.6 | % | 2009 | 0.3 | % | |||
5 | — | % | BB and below | 0.1 | % | 2008 | 9.5 | % | |||
6 | — | % | 100.0 | % | 2007 | 22.9 | % | ||||
100.0 | % | 2006 and prior | 28.0 | % | |||||||
100.0 | % |
68 |
June 30, 2013 | December 31, 2012 | ||||||
Commercial mortgage loans | $ | 3,189.4 | $ | 2,874.0 | |||
Collective valuation allowance | (1.5 | ) | (1.3 | ) | |||
Total net commercial mortgage loans | $ | 3,187.9 | $ | 2,872.7 |
June 30, 2013 | December 31, 2012 | ||||||
Collective valuation allowance for losses, balance at January 1 | $ | 1.3 | $ | 1.3 | |||
Addition to / (reduction of) allowance for losses | 0.2 | — | |||||
Collective valuation allowance for losses, end of period | $ | 1.5 | $ | 1.3 |
June 30, 2013(1) | December 31, 2012(1) | ||||||
Loan-to-Value Ratio: | |||||||
0% - 50% | $ | 508.9 | $ | 501.3 | |||
50% - 60% | 804.8 | 768.9 | |||||
60% - 70% | 1,781.1 | 1,491.6 | |||||
70% - 80% | 79.7 | 96.4 | |||||
80% and above | 14.9 | 15.8 | |||||
Total Commercial mortgage loans | $ | 3,189.4 | $ | 2,874.0 |
69 |
June 30, 2013(1) | December 31, 2012(1) | ||||||
Debt Service Coverage Ratio: | |||||||
Greater than 1.5x | $ | 2,344.6 | $ | 2,114.4 | |||
1.25x - 1.5x | 469.5 | 390.5 | |||||
1.0x - 1.25x | 305.2 | 293.1 | |||||
Less than 1.0x | 70.1 | 76.0 | |||||
Total Commercial Mortgage Loans | $ | 3,189.4 | $ | 2,874.0 |
Three Months Ended June 30, | |||||||||||||
2013 | 2012 | ||||||||||||
Impairment | No. of Securities | Impairment | No. of Securities | ||||||||||
U.S. corporate | $ | — | — | $ | 0.2 | 1 | |||||||
Foreign(1) | — | — | 0.4 | 2 | |||||||||
Residential mortgage-backed | 1.3 | 21 | 0.9 | 24 | |||||||||
Commercial mortgage-backed | — | — | — | — | |||||||||
Other asset-backed | — | — | 0.2 | 2 | |||||||||
Total | $ | 1.3 | 21 | $ | 1.7 | 29 | |||||||
(1) Primarily U.S. dollar denominated. | |||||||||||||
Six Months Ended June 30, | |||||||||||||
2013 | 2012 | ||||||||||||
Impairment | No. of Securities | Impairment | No. of Securities | ||||||||||
U.S. corporate | $ | — | — | $ | 0.2 | 1 | |||||||
Foreign(1) | — | — | 0.8 | 3 | |||||||||
Residential mortgage-backed | 1.8 | 27 | 1.6 | 28 | |||||||||
Commercial mortgage-backed | 0.1 | 2 | — | — | |||||||||
Other asset-backed | — | — | 0.4 | 3 | |||||||||
Total | $ | 1.9 | 29 | $ | 3.0 | 35 | |||||||
(1) Primarily U.S. dollar denominated. |
70 |
Three Months Ended June 30, | |||||||||||||
2013 | 2012 | ||||||||||||
Impairment | No. of Securities | Impairment | No. of Securities | ||||||||||
U.S. corporate | $ | — | — | $ | 0.2 | 1 | |||||||
Foreign(1) | — | — | 0.4 | 2 | |||||||||
Commercial mortgage-backed | — | — | — | — | |||||||||
Other asset-backed | — | — | — | — | |||||||||
Total | $ | — | — | $ | 0.6 | 3 | |||||||
(1) Primarily U.S. dollar denominated. | |||||||||||||
Six Months Ended June 30, | |||||||||||||
2013 | 2012 | ||||||||||||
Impairment | No. of Securities | Impairment | No. of Securities | ||||||||||
U.S. corporate | $ | — | — | $ | 0.2 | 1 | |||||||
Foreign(1) | — | — | 0.8 | 3 | |||||||||
Commercial mortgage-backed | 0.1 | 2 | — | — | |||||||||
Other asset-backed | — | — | 0.1 | 1 | |||||||||
Total | $ | 0.1 | 2 | $ | 1.1 | 5 | |||||||
(1) Primarily U.S. dollar denominated. |
Three Months Ended June 30, | Six Months Ended June 30, | ||||||||||||||
2013 | 2012 | 2013 | 2012 | ||||||||||||
Fixed maturities | $ | 300.7 | $ | 303.7 | $ | 608.3 | $ | 608.0 | |||||||
Equity securities, available-for-sale | (1.0 | ) | 3.0 | (0.1 | ) | 4.1 | |||||||||
Mortgage loans on real estate | 40.9 | 37.5 | 77.5 | 71.1 | |||||||||||
Policy loans | 3.2 | 3.3 | 6.4 | 6.6 | |||||||||||
Short-term investments and cash equivalents | 0.3 | 0.3 | 0.5 | 0.5 | |||||||||||
Other | 11.2 | (24.2 | ) | 22.9 | (3.4 | ) | |||||||||
Gross investment income | 355.3 | 323.6 | 715.5 | 686.9 | |||||||||||
Less: Investment expenses | 12.4 | 11.7 | 24.4 | 23.0 | |||||||||||
Net investment income | $ | 342.9 | $ | 311.9 | $ | 691.1 | $ | 663.9 |
71 |
Three Months Ended June 30, | Six Months Ended June 30, | ||||||||||||||
2013 | 2012 | 2013 | 2012 | ||||||||||||
Fixed maturities, available-for-sale, including securities pledged | $ | (2.0 | ) | $ | 17.8 | $ | (2.2 | ) | $ | 57.3 | |||||
Fixed maturities, at fair value option | (66.2 | ) | (3.4 | ) | (105.1 | ) | (46.3 | ) | |||||||
Derivatives | (41.9 | ) | 39.3 | (61.8 | ) | 26.2 | |||||||||
Embedded derivatives - fixed maturities | (11.8 | ) | 4.6 | (17.2 | ) | (0.2 | ) | ||||||||
Embedded derivatives - product guarantees | 52.2 | (59.5 | ) | 76.5 | 89.5 | ||||||||||
Other investments | (0.2 | ) | — | (0.2 | ) | (0.4 | ) | ||||||||
Net realized capital gains (losses) | $ | (69.9 | ) | $ | (1.2 | ) | $ | (110.0 | ) | $ | 126.1 |
72 |
73 |
Fixed Maturity and Equity Securities | Derivative Assets | ||||||||||||||||||||||||||||||||||||||||||||||
Sovereign | Financial Institutions | Non-Financial Institutions | Total (Fair Value) | Total (Amortized Cost) | Loan and Receivables Sovereign (Amortized Cost) | Sovereign | Financial Institutions | Non-Financial Institutions | Less: Margin and Collateral | Total, (Fair Value) | Net Non-U.S. Funded at June 30, 2013(1) | ||||||||||||||||||||||||||||||||||||
Ireland | $ | — | $ | — | $ | 109.3 | $ | 109.3 | $ | 104.8 | $ | — | $ | — | $ | 0.4 | $ | — | $ | — | $ | 0.4 | $ | 109.7 | |||||||||||||||||||||||
Italy | — | — | 113.5 | 113.5 | 109.6 | — | — | — | — | — | — | 113.5 | |||||||||||||||||||||||||||||||||||
Spain | — | — | 68.7 | 68.7 | 66.9 | — | — | — | — | — | — | 68.7 | |||||||||||||||||||||||||||||||||||
Total peripheral Europe | $ | — | $ | — | $ | 291.5 | $ | 291.5 | $ | 281.3 | $ | — | $ | — | $ | 0.4 | $ | — | $ | — | $ | 0.4 | $ | 291.9 | |||||||||||||||||||||||
Belgium | 37.4 | — | 148.5 | 185.9 | 157.8 | — | — | — | — | — | — | 185.9 | |||||||||||||||||||||||||||||||||||
France | — | 34.3 | 125.9 | 160.2 | 149.3 | — | — | 25.9 | — | 15.1 | 10.8 | 171.0 | |||||||||||||||||||||||||||||||||||
Germany | — | 34.9 | 179.7 | 214.6 | 197.5 | — | — | 1.2 | — | — | 1.2 | 215.8 | |||||||||||||||||||||||||||||||||||
Netherlands | — | 53.3 | 368.2 | 421.5 | 398.6 | — | — | — | — | — | — | 421.5 | |||||||||||||||||||||||||||||||||||
Switzerland | — | 49.2 | 221.8 | 271.0 | 248.8 | — | — | 11.8 | — | 2.0 | 9.8 | 280.8 | |||||||||||||||||||||||||||||||||||
United Kingdom | — | 123.0 | 856.8 | 979.8 | 952.6 | — | — | 16.0 | — | 15.1 | 0.9 | 980.7 | |||||||||||||||||||||||||||||||||||
Other non- peripheral(2) | 113.8 | 12.4 | 292.8 | 419.0 | 405.1 | — | — | — | — | — | — | 419.0 | |||||||||||||||||||||||||||||||||||
Total non-peripheral Europe | 151.2 | 307.1 | 2,193.7 | 2,652.0 | 2,509.7 | — | — | 54.9 | — | 32.2 | 22.7 | 2,674.7 | |||||||||||||||||||||||||||||||||||
Total | $ | 151.2 | $ | 307.1 | $ | 2,485.2 | $ | 2,943.5 | $ | 2,791.0 | $ | — | $ | — | $ | 55.3 | $ | — | $ | 32.2 | $ | 23.1 | $ | 2,966.6 |
74 |
• | A reciprocal loan agreement with ING U.S., Inc. an affiliate, whereby either party can borrow from the other up to 3.0% of ILIAC's statutory admitted assets as of the prior December 31. As of June 30, 2013 and December 31, 2012, we did not have any outstanding receivable/payable from/to ING U.S., Inc. under the reciprocal loan agreement. We and ING U.S., Inc. continue to maintain the reciprocal loan agreement and future borrowings by either party will be subject to the reciprocal loan terms summarized above. |
• | We hold approximately 56.3% of our assets in marketable securities. These assets include cash, U.S. Treasuries, Agencies, Corporate Bonds, ABS, CMBS and CMO and Equity securities. In the event of a temporary liquidity need, cash may be raised by entering into reverse repurchase, dollar rolls and/or security lending agreements by temporarily lending securities and receiving cash collateral. Under our Liquidity Plan, up to 12% of our general account statutory admitted assets may be allocated to reverse repurchase, securities lending and dollar roll programs. At the time a temporary cash need arises, the actual percentage of admitted assets available for reverse repurchase transactions will depend upon outstanding allocations to the three programs. As of June 30, 2013, ILIAC had securities lending collateral assets of $150.8, which represents approximately 0.2% of its general account statutory admitted assets. |
75 |
Company | A.M. Best | Fitch | Moody's | S&P | ||||
ING Life Insurance and Annuity Company | ||||||||
Financial Strength Rating | A (3 of 16) | A- (3 of 9) | A3 (3 of 9) | A- (3 of 9) |
Rating Agency | Financial Strength Rating Scale | |
A.M. Best(1) | "A++" to "S" | |
Fitch(2) | "AAA" to "C" | |
Moody’s(3) | "Aaa" to "C" | |
S&P(4) | "AAA" to "R" |
76 |
• | On July 8, 2013, Fitch affirmed the A- insurer financial strength ratings of ING U.S., Inc.'s operating subsidiaries, including us. |
• | On June 14, 2013, A.M.Best affirmed the A financial strength ratings of ING U.S., Inc.'s operating subsidiaries, including us. |
• | On May 14, 2013, S&P affirmed the A- financial strength ratings of ING U.S., Inc.'s operating subsidiaries, including us under its revised insurance criteria. |
• | On May 14, 2013, Moody's affirmed the A3 insurance financial strength ratings of ING U.S., Inc.'s operating subsidiaries, including us. |
• | On May 6, 2013, following the announcement by ING U.S., Inc. that it completed the recent IPO, Moody's commented that the completion of the IPO is credit positive for ING U.S., Inc. |
• | On May 2, 2013, S&P said that ING U.S., Inc.'s announcement that it priced its IPO will not affect the ratings or outlook on ING U.S., Inc. or any of its rated insurance subsidiaries, including us. |
• | On January 7, 2013, Fitch affirmed the A- insurer financial strength ratings of ING U.S., Inc.'s operating subsidiaries, including us. Furthermore, Fitch removed all ratings from Ratings Watch Evolving and assigned a stable outlook to the ratings. |
77 |
78 |
79 |
80 |
81 |
82 |
August 12, 2013 | ING Life Insurance and Annuity Company | ||
(Date) | (Registrant) | ||
By: | /s/ | Mark B. Kaye | |
Mark B. Kaye | |||
Senior Vice President and | |||
Chief Financial Officer | |||
(Duly Authorized Officer and Principal Financial Officer) |
83 |
Exhibit Index | ||
Exhibit Number | Description of Exhibit | |
3.1 | Certificate of Incorporation as amended and restated October 1, 2007, incorporated by reference to the ILIAC Form 10-K, as filed with the SEC on March 31, 2008 (File No. 33-23376). | |
3.2 | Amended and Restated ING Life Insurance and Annuity Company By-Laws, effective October 1, 2007, incorporated by reference to the ILIAC Form 10-K, as filed with the SEC on March 31, 2008 (File No. 33-23376). | |
4.1 | Single Premium Deferred Modified Guaranteed Annuity Contract (IU-IA-3096) - Incorporated herein by reference to Initial Registration Statement on Form S-1 for ING Life Insurance and Annuity Company as filed with the SEC on September 25, 2009 (File No. 333-162140). | |
4.2 | IRA Endorsement (IU-RA-4021) and Roth IRA Endorsement (IU-RA-4022) - Incorporated herein by reference to Pre-Effective Amendment No. 1 to Registration Statement on Form S-1 for ING Life Insurance and Annuity Company, as filed with the SEC on December 31, 2009 (333-162140). | |
4.3 | Incorporated by reference to Post-Effective Amendment No. 14 to Registration Statement on Form N-4 (File No. 33-75964), as filed on July 29, 1997. | |
4.4 | Incorporated by reference to Post-Effective Amendment No. 6 to Registration Statement on Form N-4 (File No. 33-75980), as filed on February 12, 1997. | |
4.5 | Incorporated by reference to Post-Effective Amendment No. 12 to Registration Statement on Form N-4 (File No. 33-75964), as filed on February 11, 1997. | |
4.6 | Incorporated by reference to Post-Effective Amendment No. 5 to Registration Statement on Form N-4 (File No. 33-75986), as filed on April 12, 1996. | |
4.7 | Incorporated by reference to Post-Effective Amendment No. 12 to Registration Statement on Form N-4 (File No. 333-01107), as filed on February 4, 1999. | |
4.8 | Incorporated by reference to Post-Effective Amendment No. 4 to Registration Statement on Form N-4 (File No. 33-75988), as filed on April 15, 1996. | |
4.9 | Incorporated by reference to Post-Effective Amendment No. 3 to Registration Statement on Form N-4 (File No. 33-81216), as filed on April 17, 1996. | |
4.10 | Incorporated by reference to Post-Effective Amendment No. 3 to Registration Statement on Form N-4 (File No. 33-91846), as filed on April 15, 1996. | |
4.11 | Incorporated by reference to Post-Effective Amendment No. 6 to Registration Statement on Form N-4 (File No. 33-91846), as filed on August 6, 1996. | |
4.12 | Incorporated by reference to Registration Statement on Form N-4 (File No. 333-01107), as filed on February 21, 1996. | |
4.13 | Incorporated by reference to Post-Effective Amendment No. 12 to Registration Statement on Form N-4 (File No. 33-75982), as filed on February 20, 1997. | |
4.14 | Incorporated by reference to Post-Effective Amendment No. 7 to Registration Statement on Form N-4 (File No. 33-75992), as filed on February 13, 1997. | |
4.15 | Incorporated by reference to Post-Effective Amendment No. 6 to Registration Statement on Form N-4 (File No. 33-75974), as filed on February 28, 1997. | |
4.16 | Incorporated by reference to Post-Effective Amendment No. 6 to Registration Statement on Form N-4 (File No. 33-75962), as filed on April 17, 1996. | |
4.17 | Incorporated by reference to Post-Effective Amendment No. 14 to Registration Statement on Form N-4 (File No. 33-75962), as filed on April 17, 1998. | |
4.18 | Incorporated by reference to Post-Effective Amendment No. 6 to Registration Statement on Form N-4 (File No. 33-75982), as filed on April 22, 1996. | |
4.19 | Incorporated by reference to Post-Effective Amendment No. 8 to Registration Statement on Form N-4 (File No. 33-75980), as filed on August 19, 1997. | |
4.20 | Incorporated by reference to Registration Statement on Form N-4 (File No. 333-56297), as filed on June 8, 1998. | |
4.21 | Incorporated by reference to Post-Effective Amendment No. 3 to Registration Statement on Form N-4 (File No. 33-79122), as filed on August 16, 1995. | |
4.22 | Incorporated by reference to Post-Effective Amendment No. 32 to Registration Statement on Form N-4 (File No. 33-34370), as filed on December 16, 1997. | |
4.23 | Incorporated by reference to Post-Effective Amendment No. 30 to Registration Statement on Form N-4 (File No. 33-34370), as filed on September 29, 1997. |
84 |
Exhibit Index | ||
4.24 | Incorporated by reference to Post-Effective Amendment No. 26 to Registration Statement on Form N-4 (File No. 33-34370), as filed on February 21, 1997. | |
4.25 | Incorporated by reference to Post-Effective Amendment No. 35 to Registration Statement on Form N-4 (File No. 33-34370), as filed on April 17, 1998. | |
4.26 | Incorporated by reference to Post-Effective Amendment No. 1 to Registration Statement on Form N-4 (File No. 33-87932), as filed on September 19, 1995. | |
4.27 | Incorporated by reference to Post-Effective Amendment No. 8 to Registration Statement on Form N-4 (File No. 33-79122), as filed on April 17, 1998. | |
4.28 | Incorporated by reference to Post-Effective Amendment No. 7 to Registration Statement on Form N-4 (File No. 33-79122), as filed on April 22, 1997. | |
4.29 | Incorporated by reference to Post-Effective Amendment No. 21 to Registration Statement on Form N-4 (File No. 33-75996), as filed on February 16, 2000. | |
4.30 | Incorporated by reference to Post-Effective Amendment No. 13 to Registration Statement on Form N-4 (File No. 333-01107), as filed on April 7, 1999. | |
4.31 | Incorporated by reference to Post-Effective Amendment No. 37 to Registration Statement on Form N-4 (File No. 33-34370), as filed on April 9, 1999. | |
4.32 | Incorporated by reference to Post-Effective Amendment No. 1 to Registration Statement on Form N-4 (File No. 333-87305), as filed on December 13, 1999. | |
4.33 | Incorporated by reference to Post-Effective Amendment No. 18 to Registration Statement on Form N-4 (File No. 33-56297), as filed on August 30, 2000. | |
4.34 | Incorporated by reference to Post-Effective Amendment No.17 to Registration Statement on Form N-4 (File No. 33-75996), as filed on April 7, 1999. | |
4.35 | Incorporated by reference to Post-Effective Amendment No. 19 to Registration Statement on Form N-4 (File No. 333-01107), as filed on February 16, 2000. | |
4.36 | Incorporated by reference to the Registration Statement on Form S-2 (File No. 33- 64331), as filed on November 16, 1995. | |
4.37 | Incorporated by reference to Pre-Effective Amendment No. 2 to the Registration Statement on Form S-2 (File No. 33-64331), as filed on January 17, 1996. | |
4.38 | Incorporated by reference to Post-Effective Amendment No. 30 to Registration Statement on Form N-4 (File No. 33-75988), as filed on December 30, 2003. | |
4.39 | Incorporated by reference to Post-Effective Amendment No. 18 to Registration Statement on Form N-4 (File No. 33-75980), as filed on April 16, 2003. | |
4.40 | Incorporated by reference to Post-Effective Amendment No. 30 to Registration Statement on Form N-4 (File No. 333-01107), as filed on April 10, 2002. | |
4.41 | Incorporated by reference to Post-Effective Amendment No. 24 to Registration Statement on Form N-4 (File No. 33-81216), as filed on April 11, 2003. | |
4.42 | Incorporated by reference to Registration Statement on Form N-4 (File No. 333-109860), as filed on October 21, 2003. | |
4.43 | Incorporated by reference to Post-Effective Amendment No. 39 to Registration Statement on Form N-4 (File No. 33-75962), as filed on December 17, 2004. | |
4.44 | Incorporated by reference to Initial Registration Statement on Form N-4 (File No. 333-130822), as filed on January 3, 2006. | |
4.45 | Incorporated by reference to Post-Effective Amendment No. 1 to Registration Statement on Form N-4 (File No. 333-87131), as filed on December 15, 1999. | |
4.46 | Incorporated by reference to Registration Statement on Form N-4 (File No. 33-59749), as filed on June 1, 1995. | |
4.47 | Incorporated by reference to Post-Effective Amendment No. 4 to Registration Statement on Form N-4 (File No. 33-59749), as filed on April 16, 1997. | |
4.48 | Incorporated by reference to Post-Effective Amendment No. 9 to Registration Statement on Form N-4 (File No. 33-80750), as filed on April 17, 1998. | |
4.49 | Incorporated by reference to Post-Effective Amendment No. 8 to Registration Statement on Form N-4 (File No. 33-80750), as filed on April 23, 1997. | |
4.50 | Incorporated by reference to Post-Effective Amendment No. 6 to Registration Statement on Form N-4 (File No. 33-59749), as filed on November 26, 1997. | |
4.51 | Incorporated by reference to Registration Statement on Form S-2 (File No. 33-63657), as filed on October 25, 1995. |
85 |
Exhibit Index | ||
4.52 | Incorporated by reference to Pre-Effective Amendment No. 3 to Registration Statement on Form S-2 (File No. 33-63657), as filed on January 17, 1996. | |
4.53 | Incorporated by reference to Post-Effective Amendment No. 3 to Registration Statement on Form S-2 (File No. 33-63657), as filed on November 24, 1997. | |
4.54 | Incorporated by reference to Post-Effective Amendment No. 3 to Registration Statement on Form S-2 (File No. 33-64331), as filed on November 24, 1997. | |
4.55 | Incorporated by reference to Post-Effective Amendment No. 6 to Registration Statement on Form N-4 (File No. 33-59749), as filed on November 26, 1997. | |
4.56 | Incorporated by reference to Registration Statement on Form N-4 (File No. 33-59749), as filed on June 1, 1995. | |
4.57 | Incorporated by reference to Post-Effective Amendment No. 4 to Registration Statement on Form N-4 (File No. 33-59749), as filed on April 16, 1997. | |
4.58 | Incorporated by reference to Post-Effective Amendment No. 34 to Registration Statement on Form N-4 (File No. 333-109860) as filed with the SEC on June 11, 2010. | |
31.1+ | Certificate of Mark B. Kaye pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. | |
31.2+ | Certificate of Mary E. Beams pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. | |
32.1+ | Certificate of Mark B. Kaye pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. | |
32.2+ | Certificate of Mary E. Beams pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. | |
101.INS+ | XBRL Instance Document [1] | |
101.SCH+ | XBRL Taxonomy Extension Schema | |
101.CAL+ | XBRL Taxonomy Extension Calculation Linkbase | |
101.DEF+ | XBRL Taxonomy Extension Definition Linkbase | |
101.LAB+ | XBRL Taxonomy Extension Label Linkbase | |
101.PRE+ | XBRL Taxonomy Extension Presentation Linkbase |
[1] | In accordance with Rule 406T of Regulation S-T, the interactive data files contained in Exhibit 101 to this Form 10-Q are furnished and shall not be deemed to be "filed" for purposes of Sections 11 and 12 of the Securities Act of 1933, as amended (the "Securities Act"), nor will they be deemed filed for purposes of Section 18 of the Securities Exchange Act, as amended (the "Exchange Act"), or otherwise subject to the liability of such sections, and shall not be part of any registration statement or other document filed under the Securities Act or the Exchange Act, except as shall be expressly set forth by specific reference in such filing. |
86 |
1. | I have reviewed this quarterly report on Form 10-Q of ING Life Insurance and Annuity Company; |
2. | Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; |
3. | Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report; |
4. | The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have: |
a) | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; |
b) | Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
c) | Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and |
d) | Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter (the registrant's fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and |
5. | The registrant's other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): |
a) | All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize and report financial information; and |
b) | Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. |
Date: | August 12, 2013 | |
By: | /s/ | Mark B. Kaye |
Mark B. Kaye | ||
Senior Vice President and Chief Financial Officer | ||
(Duly Authorized Officer and Principal Financial Officer) |
1. | I have reviewed this quarterly report on Form 10-Q of ING Life Insurance and Annuity Company; |
2. | Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; |
3. | Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report; |
4. | The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have: |
a) | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; |
b) | Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
c) | Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and |
d) | Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter (the registrant's fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and |
5. | The registrant's other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): |
a) | All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize and report financial information; and |
b) | Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. |
Date: | August 12, 2013 | |
By: | /s/ | Mary E. Beams |
Mary E. Beams | ||
President | ||
(Duly Authorized Officer and Principal Officer) |
August 12, 2013 | By: | /s/ | Mark B. Kaye |
(Date) | Mark B. Kaye Senior Vice President and Chief Financial Officer |
August 12, 2013 | By: | /s/ | Mary E. Beams |
(Date) | Mary E. Beams President |
Commitments and Contingencies
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Jun. 30, 2013
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Commitments and Contingencies Disclosure [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||
Commitments and Contingencies | Commitments and Contingencies Commitments Through the normal course of investment operations, the Company commits to either purchase or sell securities, commercial mortgage loans, or money market instruments, at a specified future date and at a specified price or yield. The inability of counterparties to honor these commitments may result in either a higher or lower replacement cost. Also, there is likely to be a change in the value of the securities underlying the commitments. As of June 30, 2013 and December 31, 2012, the Company had off-balance sheet commitments to purchase investments equal to their fair value of $332.1 and $314.9, respectively. Restricted Assets The Company is required to maintain assets on deposit with various regulatory authorities to support its insurance operations. The Company may also post collateral in connection with certain securities lending, repurchase agreements, funding agreement, LOC and derivative transactions as described further in this note. The components of the fair value of the restricted assets were as follows as of the dates indicated:
(1) Includes the fair value of loaned securities of $155.1 and $180.2 as of June 30, 2013 and December 31, 2012, respectively, which is included in Securities pledged on the Condensed Consolidated Balance Sheets. In addition, as of June 30, 2013 and December 31, 2012, the Company delivered securities as collateral of $62.3 and $39.5, respectively, which was included in Securities pledged on the Condensed Consolidated Balance Sheets. Litigation and Regulatory Matters The Company is a defendant in a number of litigation matters arising from the conduct of its business, both in the ordinary course and otherwise. In some of these matters, claimants seek to recover very large or indeterminate amounts, including compensatory, punitive, treble and exemplary damages. Modern pleading practice in the U.S. permits considerable variation in the assertion of monetary damages and other relief. Claimants are not always required to specify the monetary damages they seek or they may be required only to state an amount sufficient to meet a court's jurisdictional requirements. Moreover, some jurisdictions allow claimants to allege monetary damages that far exceed any reasonable possible verdict. The variability in pleading requirements and past experience demonstrates that the monetary and other relief that may be requested in a lawsuit or claim often bears little relevance to the merits or potential value of a claim. Litigation against the Company includes a variety of claims including negligence, breach of contract, fraud, violation of regulation or statute, breach of fiduciary duty, negligent misrepresentation, failure to supervise, elder abuse and other torts. As with other financial services companies, the Company periodically receives informal and formal requests for information from various state and federal governmental agencies and self-regulatory organizations in connection with inquiries and investigations of the products and practices of the Company or the financial services industry. It is the practice of the Company to cooperate fully in these matters. Regulatory investigations, exams, inquiries and audits could result in regulatory action against the Company. The potential outcome of such action is difficult to predict but could subject the Company to adverse consequences, including, but not limited to, settlement payments, additional payments to beneficiaries, and additional escheatment of funds deemed abandoned under state laws. They may also result in fines and penalties and changes to the Company's procedures for the identification and escheatment of abandoned property or the correction of processing errors and other financial liability. The outcome of a litigation or regulatory matter and the amount or range of potential loss is difficult to forecast and estimating potential losses requires significant management judgment. It is not possible to predict the ultimate outcome or to provide reasonably possible losses or ranges of losses for all pending regulatory matters and litigation. While it is possible that an adverse outcome in certain cases could have a material adverse effect upon the Company's financial position, based on information currently known, management believes that the outcome of pending litigation and regulatory matters is not likely to have such an effect. However, given the large and indeterminate amounts sought and the inherent unpredictability of such matters, it is possible that an adverse outcome in certain of the Company's litigation or regulatory matters could, from time to time, have a material adverse effect upon the Company's results of operations or cash flows in a particular quarterly or annual period. For some matters, the Company is able to estimate a possible range of loss. For such matters in which a loss is probable, an accrual has been made. For matters where the Company, however, believes a loss is reasonably possible, but not probable, no accrual is required. This paragraph contains an estimate of reasonably possible losses above any amounts accrued. For matters for which an accrual has been made, but there remains a reasonably possible range of loss in excess of the amounts accrued, the estimate reflects the reasonably possible range of loss in excess of the accrued amounts. For matters for which a reasonably possible (but not probable) range of loss exists, the estimate reflects the reasonably possible and unaccrued loss or range of loss. As of June 30, 2013, the Company estimates the aggregate range of reasonably possible losses, in excess of any amounts accrued for these matters as of such date, to be up to approximately $40.0. For other matters, the Company is currently not able to estimate the reasonably possible loss or range of loss. The Company is often unable to estimate the possible loss or range of loss until developments in such matters have provided sufficient information to support an assessment of the range of possible loss, such as quantification of a damage demand from plaintiffs, discovery from plaintiffs and other parties, investigation of factual allegations, rulings by a court on motions or appeals, analysis by experts and the progress of settlement discussions. On a quarterly and annual basis, the Company reviews relevant information with respect to litigation and regulatory contingencies and updates the Company's accruals, disclosures and reasonably possible losses or ranges of loss based on such reviews. Litigation against the Company includes a case styled Healthcare Strategies, Inc., Plan Administrator of the Healthcare Strategies Inc. 401(k) Plan v. ING Life Insurance and Annuity Company (U.S.D.C. D. CT, filed February 22, 2011), in which two sponsors of 401(k) Plans governed by the Employee Retirement Income Act ("ERISA") claim that ILIAC has entered into revenue sharing agreements with mutual funds and others in violation of the prohibited transaction rules of ERISA. Among other things, the plaintiffs seek disgorgement of all revenue sharing payments and profits earned in connection with such payments, an injunction barring the practice of revenue sharing and attorney fees. On September 26, 2012, the district court certified the case as a class action in which the named plaintiffs represent approximately 15,000 similarly situated plan sponsors. ILIAC denies the allegations and is vigorously defending this litigation. |
Condensed Consolidated Statements of Operations (USD $)
In Millions, unless otherwise specified |
3 Months Ended | 6 Months Ended | ||
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Jun. 30, 2013
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Jun. 30, 2012
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Jun. 30, 2013
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Jun. 30, 2012
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Revenues: | ||||
Net investment income | $ 342.9 | $ 311.9 | $ 691.1 | $ 663.9 |
Fee income | 183.1 | 156.7 | 358.0 | 311.8 |
Premiums | 7.2 | 11.7 | 15.1 | 23.5 |
Broker-dealer commission revenue | 61.0 | 56.5 | 118.8 | 112.2 |
Net realized capital gains (losses): | ||||
Total other-than-temporary impairments | (1.8) | (2.6) | (2.9) | (4.0) |
Less: Portion of other-than-temporary impairment losses recognized in Other comprehensive income (loss) | (0.5) | (0.9) | (1.0) | (1.0) |
Net other-than-temporary impairments recognized in earnings | (1.3) | (1.7) | (1.9) | (3.0) |
Other net realized capital gains (losses) | (68.6) | 0.5 | (108.1) | 129.1 |
Total net realized capital gains (losses) | (69.9) | (1.2) | (110.0) | 126.1 |
Other revenue | (0.6) | 2.3 | (5.5) | 2.8 |
Total revenues | 523.7 | 537.9 | 1,067.5 | 1,240.3 |
Benefits and expenses: | ||||
Policyholder benefits and interest credited to contract owner account balance | 145.3 | 193.0 | 332.1 | 387.7 |
Operating expenses | 176.3 | 177.2 | 349.9 | 357.6 |
Broker-dealer commission expense | 61.0 | 56.5 | 118.8 | 112.2 |
Net amortization of deferred policy acquisition costs and value of business acquired | 28.3 | 52.2 | 46.9 | 105.0 |
Interest expense | 0 | 0.5 | 0.1 | 1.1 |
Total benefits and expenses | 410.9 | 479.4 | 847.8 | 963.6 |
Income (loss) before income taxes | 112.8 | 58.5 | 219.7 | 276.7 |
Income tax expense (benefit) | 35.9 | 20.6 | 67.7 | 94.8 |
Net income (loss) | $ 76.9 | $ 37.9 | $ 152.0 | $ 181.9 |
Derivative Financial Instruments
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Jun. 30, 2013
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Derivative Instruments and Hedging Activities Disclosure [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative Financial Instruments | Derivative Financial Instruments The Company enters into the following types of derivatives: Interest rate caps: The Company uses interest rate cap contracts to hedge the interest rate exposure arising from duration mismatches between assets and liabilities. Interest rate caps are also used to hedge interest rate exposure if rates rise above a specified level. Such increases in rates will require the Company to incur additional expenses. The future payout from the interest rate caps fund this increased exposure. The Company pays an upfront premium to purchase these caps. The Company utilizes these contracts in qualifying hedging relationships as well as non-qualifying hedging relationships. Interest rate swaps: Interest rate swaps are used by the Company primarily to reduce market risks from changes in interest rates and to alter interest rate exposure arising from mismatches between assets and/or liabilities. Interest rate swaps are also used to hedge the interest rate risk associated with the value of assets it owns or in an anticipation of acquiring them. Using interest rate swaps, the Company agrees with another party to exchange, at specified intervals, the difference between fixed rate and floating rate interest payments, calculated by reference to an agreed upon notional principal amount. These transactions are entered into pursuant to master agreements that provide for a single net payment to be made to/from the counterparty at each due date. The Company utilizes these contracts in qualifying hedging relationships as well as non-qualifying hedging relationships. Foreign exchange swaps: The Company uses foreign exchange or currency swaps to reduce the risk of change in the value, yield or cash flows associated with certain foreign denominated invested assets. Foreign exchange swaps represent contracts that require the exchange of foreign currency cash flows against U.S. dollar cash flows at regular periods, typically quarterly or semi-annually. The Company utilizes these contracts in non-qualifying hedging relationships. Credit default swaps: Credit default swaps are used to reduce credit loss exposure with respect to certain assets that the Company owns, or to assume credit exposure on certain assets that the Company does not own. Payments are made to or received from the counterparty at specified intervals. In the event of a default on the underlying credit exposure, the Company will either receive a payment (purchased credit protection) or will be required to make a payment (sold credit protection) equal to the par minus recovery value of the swap contract. The Company utilizes these contracts in non-qualifying hedging relationships. Forwards: The Company uses forward contracts to hedge certain invested assets against movement in interest rates, particularly mortgage rates. The Company uses To Be Announced mortgage-backed securities as an economic hedge against rate movements. The Company utilizes forward contracts in non-qualifying hedging relationships. Futures: Futures contracts are used to hedge against a decrease in certain equity indices. Such decreases may result in a decrease in variable annuity account values which would increase the possibility of the Company incurring an expense for guaranteed benefits in excess of account values. The Company also uses futures contracts as a hedge against an increase in certain equity indices. Such increases may result in increased payments to the holders of the fixed index annuity contracts. The Company enters into exchange traded futures with regulated futures commissions that are members of the exchange. The Company also posts initial and variation margin with the exchange on a daily basis. The Company utilizes exchange-traded futures in non-qualifying hedging relationships. Swaptions: A swaption is an option to enter into a swap with a forward starting effective date. The Company uses swaptions to hedge the interest rate exposure associated with the minimum crediting rate and book value guarantees embedded in the retirement products that the Company offers. Increases in interest rates will generate losses on assets that are backing such liabilities. In certain instances, the Company locks in the economic impact of existing purchased swaptions by entering into offsetting written swaptions. The Company pays a premium when it purchases the swaption. The Company utilizes these contracts in non-qualifying hedging relationships. Managed custody guarantees ("MCG"): The Company issues certain credited rate guarantees on externally managed variable bond funds that represent stand-alone derivatives. The market value is partially determined by, among other things, levels of or changes in interest rates, prepayment rates and credit ratings/spreads. Embedded derivatives: The Company also invests in certain fixed maturity instruments and has issued certain annuity products, that contain embedded derivatives whose market value is at least partially determined by, among other things, levels of or changes in domestic and/or foreign interest rates (short-term or long-term), exchange rates, prepayment rates, equity rates, or credit ratings/spreads. Embedded derivatives within fixed maturities are reported with the host contract on the Condensed Consolidated Balance Sheets and changes in fair value of the embedded derivatives are recorded in Other net realized capital gains (losses) in the Condensed Consolidated Statements of Operations. Embedded derivatives within annuity products are included in Future policy benefits and contract owner account balances on the Condensed Consolidated Balance Sheets and changes in the fair value of the embedded derivatives are recorded in Other net realized capital gains (losses) in the Condensed Consolidated Statements of Operations. In addition, the Company has entered into a reinsurance agreement that contains an embedded derivative in which the fair value is based on the change in the fair value of the underlying assets held in trust. The embedded derivative within the coinsurance funds withheld arrangement is included in Other liabilities on the Condensed Consolidated Balance Sheets and changes in the fair value are recorded in Interest credited and other benefits to contract owners/policyholders in the Condensed Consolidated Statements of Operations. The Company's use of derivatives is limited mainly to economic hedging to reduce the Company's exposure to cash flow variability of assets and liabilities, interest rate risk, credit risk, exchange rate risk and market risk. It is the Company's policy not to offset amounts recognized for derivative instruments and amounts recognized for the right to reclaim cash collateral or the obligation to return cash collateral arising from derivative instruments executed with the same counterparty under a master netting arrangement, which provides the Company with the legal right of offset. The notional amounts and fair values of derivatives were as follows as of the dates indicated:
(1) Open derivative contracts are reported as Derivatives assets or liabilities on the Condensed Consolidated Balance Sheets at fair value. N/A - Not Applicable The maximum length of time over which the Company is hedging its exposure to variability in the future cash flows for forecasted transactions is through the fourth quarter 2016. Although the Company has not elected to net its derivative exposures, the notional amounts and fair value of derivatives eligible for offset were as follows as of the dates indicated:
(1) Represents the netting of receivable balances with payable balances for the same counterparty under enforceable netting agreements. (2) Represents the netting of collateral received and posted on a counterparty basis under credit support agreements.
(1) Represents the netting of receivable balances with payable balances for the same counterparty under enforceable netting agreements. (2) Represents the netting of collateral received and posted on a counterparty basis under credit support agreements. Collateral Under the terms of the Company's Over-The-Counter ("OTC") Derivative International Swaps and Derivatives Association, Inc. ("ISDA Agreements") agreements, the Company may receive from, or deliver to, counterparties, collateral to assure that all terms of the ISDA agreements will be met with regard to the Credit Support Annex ("CSA"). The terms of the CSA call for the Company to pay interest on any cash received equal to the Federal Funds rate. To the extent cash collateral is received and delivered, it is included in Payables under securities loan agreements, including collateral held and Short term investments under securities loan agreements, including collateral delivered, respectively, on the Condensed Consolidated Balance Sheets and is reinvested in short-term investments. Collateral held is used in accordance with the CSA to satisfy any obligations. Investment grade bonds owned by the Company are the source of noncash collateral posted, which is reported in Securities pledged on the Condensed Consolidated Balance Sheets. As of June 30, 2013 the Company held $103.8 and $1.9 of net cash collateral related to OTC derivative contracts and cleared derivative contracts, respectively. As of December 31, 2012 the Company held $167.0 of net cash collateral related to OTC derivative contracts. In addition, as of June 30, 2013 and December 31, 2012, the Company delivered collateral of $62.3 and $39.5, respectively, in fixed maturities pledged under derivatives contracts. Net realized gains (losses) on derivatives were as follows for the periods indicated:
(1) Changes in fair value upon disposal for effective cash flow hedges are amortized through Net investment income and the ineffective portion is recorded in Other net realized capital gains (losses) in the Condensed Consolidated Statements of Operations. For the three and six months ended June 30, 2013 and 2012, ineffective amounts were immaterial. (2) Changes in value are included in Other net realized capital gains (losses) in the Condensed Consolidated Statements of Operations. (3) Changes in value are included in Interest credited and other benefits to contract owners/policyholders in the Condensed Consolidated Statements of Operations. Credit Default Swaps As of June 30, 2013, the fair value of credit default swaps of $4.4 were included in Derivatives assets and there were no credit default swaps included in Derivatives liabilities, on the Condensed Consolidated Balance Sheets. As of December 31, 2012, the fair value of credit default swaps of $3.6 were included in Derivatives assets and there were no credit default swaps included in Derivatives liabilities, on the Condensed Consolidated Balance Sheets. As of June 30, 2013 and December 31, 2012, the maximum potential future exposure to the Company was $309.0 and $329.0 in credit default swaps. |
Income Taxes (Tables)
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Income Tax Disclosure [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Effective Income Tax Rate Reconciliation | Income taxes were different from the amount computed by applying the federal income tax rate to income (loss) before income taxes for the following reasons for the periods indicated:
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Accumulated Other Comprehensive Income - Components of AOCI (Details) (USD $)
In Millions, unless otherwise specified |
Jun. 30, 2013
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Dec. 31, 2012
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Jun. 30, 2012
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Components Of Accumulated Other Comprehensive Income Loss [Line Items] | |||
Derivatives | $ 150.1 | $ 213.6 | |
DAC/VOBA and sales inducements adjustment on available-for-sale securities | (398.2) | (676.6) | |
Premium deficiency reserve adjustment | (94.4) | (96.0) | |
Unrealized capital gains (losses), before tax | 648.4 | 1,242.1 | |
Deferred income tax asset (liability) | (163.6) | (362.0) | |
Unrealized capital gains (losses), after tax | 484.8 | 880.1 | |
Pension and other post-employment benefits liability, net of tax | 10.2 | 12.0 | |
AOCI | 495.0 | 1,023.0 | 892.1 |
Fixed maturities
|
|||
Components Of Accumulated Other Comprehensive Income Loss [Line Items] | |||
Fixed maturities, net of OTTI | 974.4 | 1,787.6 | |
Equity securities
|
|||
Components Of Accumulated Other Comprehensive Income Loss [Line Items] | |||
Equity securities, available-for-sale | $ 16.5 | $ 13.5 |
Business, Basis of Presentation and Significant Accounting Policies (Policies)
|
6 Months Ended |
---|---|
Jun. 30, 2013
|
|
Accounting Policies [Abstract] | |
Basis of Presentation | Basis of Presentation The accompanying Condensed Consolidated Financial Statements of the Company have been prepared in accordance with accounting principles generally accepted in the United States ("U.S. GAAP") and are unaudited. The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the Condensed Consolidated Financial Statements and the reported amounts of revenues and expenses during the reporting period. Those estimates are inherently subject to change and actual results could differ from those estimates. The Condensed Consolidated Financial Statements include the accounts of ILIAC and its wholly owned subsidiaries, ING Financial Advisers, LLC ("IFA") and Directed Services LLC ("DSL"). Intercompany transactions and balances have been eliminated. |
Adoption of New Pronouncements | Adoption of New Pronouncements Disclosures about Offsetting Assets and Liabilities In December 2011, the Financial Accounting Standards Board ("FASB") issued Accounting Standards Update ("ASU") 2011-11, "Balance Sheet (Accounting Standards Codification ("ASC") Topic 210): Disclosures about Offsetting Assets and Liabilities" ("ASU 2011-11"), which requires an entity to disclose both gross and net information about instruments and transactions eligible for offset in the statement of financial position, as well as instruments and transactions subject to an agreement similar to a master netting arrangement. In addition, the standard requires disclosure of collateral received and posted in connection with master netting agreements or similar arrangements. In January 2013, the FASB issued ASU 2013-01, "Balance Sheet (ASC Topic 210): Clarifying the Scope of Disclosures about Offsetting Assets and Liabilities" ("ASU 2013-01"), which clarifies that the scope of ASU 2011-11 applies to derivatives accounted for in accordance with ASU Topic 815, Derivatives and Hedging, including bifurcated embedded derivatives, repurchase agreements and reverse repurchase agreements, and securities borrowing and securities lending transactions that are either offset in accordance with Section 210-20-45 or Section 815-10-45 or subject to an enforceable master netting arrangement or similar agreement. The provisions of ASU 2013-01 and ASU 2011-11 were adopted retrospectively by the Company on January 1, 2013. The adoption had no effect on the Company's financial condition, results of operations or cash flows, as the pronouncement only pertains to additional disclosure. The disclosures required by ASU 2011-11 and ASU 2013-01 are included in the Derivative Financial Instruments Note to these Condensed Consolidated Financial Statements. Disclosures about Amounts Reclassified out of Accumulated Other Comprehensive Income In January 2013, the FASB issued ASU 2013-02, "Comprehensive Income (ASC Topic 220): Reporting of Amounts Reclassified Out of Accumulated Other Comprehensive Income" ("ASU 2013-02"), which requires an entity to provide information about the amounts reclassified out of accumulated other comprehensive income by component. In addition, an entity is required to present, either on the face of the statement where net income is presented or in the notes, significant amounts reclassified out of accumulated other comprehensive income by the respective line items of net income, but only if the amount reclassified is required under U.S. GAAP to be reclassified to net income, in its entirety in the same reporting period. For other amounts that are not required under U.S. GAAP to be reclassified in their entirety to net income, an entity is required to cross-reference to other disclosures required under U.S. GAAP that provide additional detail about those amounts. |
Future Adoption of Accounting Pronouncements | Future Adoption of Accounting Pronouncements Joint and Several Liability Arrangements In February 2013, the FASB issued ASU 2013-04, "Liabilities (ASC Topic 405): Obligations Resulting from Joint and Several Liability Arrangements for Which the Total Amount of the Obligation Is Fixed at the Reporting Date" ("ASU 2013-04"), which requires an entity to measure obligations resulting from joint and several liable arrangements for which the total amount of the obligation within the scope of this guidance is fixed at the reporting date, as the sum of (1) the amount the reporting entity agreed to pay on the basis of its arrangement among its co-obligors and (2) any additional amount it expects to pay on behalf of its co-obligors. ASU 2013-04 also requires an entity to disclose the nature and amount of the obligation, as well as other information about those obligations. The provisions of ASU 2013-04 are effective for years, and interim periods within those years, beginning after December 15, 2013. The amendments should be applied retrospectively for those obligations resulting from joint and several liability arrangements that exist at the beginning of an entity's year of adoption. The Company is currently in the process of determining the impact of adoption of the provisions of ASU 2013-04. |
Derivative Financial Instruments - Net Realized Gains (Losses) (Details) (USD $)
In Millions, unless otherwise specified |
3 Months Ended | 6 Months Ended | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Jun. 30, 2013
|
Jun. 30, 2012
|
Jun. 30, 2013
|
Jun. 30, 2012
|
||||||||||
Derivatives, Fair Value [Line Items] | |||||||||||||
Net realized gains (losses) on derivatives | $ 43.5 | $ (15.6) | $ 43.3 | $ 115.5 | |||||||||
Other Net Realized Capital Gains (Losses) | Within fixed maturity investments
|
|||||||||||||
Derivatives, Fair Value [Line Items] | |||||||||||||
Net realized gains (losses) on derivatives | (11.8) | 4.6 | (17.2) | [1] | (0.2) | [1] | |||||||
Other Net Realized Capital Gains (Losses) | Fixed indexed annuities (FIA)
|
|||||||||||||
Derivatives, Fair Value [Line Items] | |||||||||||||
Net realized gains (losses) on derivatives | 52.1 | (59.5) | 76.4 | [1] | 88.4 | [1] | |||||||
Other Net Realized Capital Gains (Losses) | Designated as Hedging Instrument | Cash flow hedges | Interest rate contracts
|
|||||||||||||
Derivatives, Fair Value [Line Items] | |||||||||||||
Net realized gains (losses) on derivatives | 0 | 0 | 0.1 | [2] | 0 | [2] | |||||||
Other Net Realized Capital Gains (Losses) | Not Designated as Hedging Instrument | Interest rate contracts
|
|||||||||||||
Derivatives, Fair Value [Line Items] | |||||||||||||
Net realized gains (losses) on derivatives | (45.4) | 28.9 | (77.9) | [1] | 6.0 | [1] | |||||||
Other Net Realized Capital Gains (Losses) | Not Designated as Hedging Instrument | Foreign exchange contracts
|
|||||||||||||
Derivatives, Fair Value [Line Items] | |||||||||||||
Net realized gains (losses) on derivatives | 2.6 | 12.5 | 12.0 | [1] | 12.9 | [1] | |||||||
Other Net Realized Capital Gains (Losses) | Not Designated as Hedging Instrument | Equity contract
|
|||||||||||||
Derivatives, Fair Value [Line Items] | |||||||||||||
Net realized gains (losses) on derivatives | 0.4 | (0.5) | 1.7 | [1] | 1.1 | [1] | |||||||
Other Net Realized Capital Gains (Losses) | Not Designated as Hedging Instrument | Credit contracts
|
|||||||||||||
Derivatives, Fair Value [Line Items] | |||||||||||||
Net realized gains (losses) on derivatives | 0.5 | (1.6) | 2.3 | [1] | 6.2 | [1] | |||||||
Other Net Realized Capital Gains (Losses) | Not Designated as Hedging Instrument | Managed custody guarantees
|
|||||||||||||
Derivatives, Fair Value [Line Items] | |||||||||||||
Net realized gains (losses) on derivatives | 0.1 | 0 | 0.1 | [1] | 1.1 | [1] | |||||||
Interest Credited and Other Benefits to Contract Owners | Reinsurance Agreements
|
|||||||||||||
Derivatives, Fair Value [Line Items] | |||||||||||||
Net realized gains (losses) on derivatives | $ 45.0 | [3] | $ 45.8 | [3] | $ 0 | [3] | |||||||
|
Accumulated Other Comprehensive Income - Changes in AOCI, including Reclassification Adjustments (Details) (USD $)
In Millions, unless otherwise specified |
3 Months Ended | 6 Months Ended | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Jun. 30, 2013
|
Jun. 30, 2012
|
Jun. 30, 2013
|
Jun. 30, 2012
|
|||||||||||
Available-for-sale securities, Before-Tax Amount: | ||||||||||||||
Net unrealized gains/losses on Other | $ 0 | $ 0 | ||||||||||||
Adjustments for amounts recognized in Net realized capital gains (losses) in the Condensed Consolidated Statements of Operations | 2.2 | (55.8) | ||||||||||||
DAC/VOBA and sales inducements | 412.4 | [1] | (73.0) | [1] | ||||||||||
Premium deficiency reserve adjustment | 58.2 | (31.2) | ||||||||||||
Net realized gains/losses on available-for-sale securities | (742.9) | 165.2 | ||||||||||||
Available-for-sale securities, Income Tax: | ||||||||||||||
Net unrealized gains/losses on Other | 0 | 0 | ||||||||||||
Adjustments for amounts recognized in Net realized capital gains (losses) in the Condensed Consolidated Statements of Operations | (0.8) | 18.9 | ||||||||||||
DAC/VOBA and sales inducements | (144.3) | 25.6 | ||||||||||||
Premium deficiency reserve adjustment | (20.4) | 10.9 | ||||||||||||
Net realized gains/losses on available-for-sale securities | 258.2 | (45.8) | ||||||||||||
Available-for-sale securities, After-Tax Amount: | ||||||||||||||
Net unrealized gains/losses on Other | 0 | 0 | ||||||||||||
Adjustments for amounts recognized in Net realized capital gains (losses) in the Condensed Consolidated Statements of Operations | 1.4 | (36.9) | ||||||||||||
DAC/VOBA and sales inducements | 268.1 | (47.4) | ||||||||||||
Premium deficiency reserve adjustment | 37.8 | (20.3) | ||||||||||||
Net realized gains/losses on available-for-sale securities | (484.7) | 119.4 | ||||||||||||
Derivatives, Before-Tax Amount: | ||||||||||||||
Net unrealized capital gains/losses arising during the period, Before-Tax Amount | (64.3) | [2] | 39.9 | [2] | ||||||||||
Adjustments for amounts recognized in Net investment income in the Condensed Consolidated Statements of Operations | (0.8) | 0 | ||||||||||||
Net unrealized gains/losses on derivatives | (65.1) | 39.9 | ||||||||||||
Derivatives, Income Tax: | ||||||||||||||
Net unrealized capital gains/losses arising during the period, Income Tax | 22.5 | (14.0) | ||||||||||||
Adjustments for amounts recognized in Net investment income in the Condensed Consolidated Statements of Operations | 0.3 | 0 | ||||||||||||
Net unrealized gains/losses on derivatives | 22.8 | (14.0) | ||||||||||||
Derivatives, After-Tax Amount: | ||||||||||||||
Net unrealized capital gains/losses arising during the period, After-Tax Amount | (41.8) | 25.9 | ||||||||||||
Adjustments for amounts recognized in Net investment income in the Condensed Consolidated Statements of Operations | (0.5) | 0 | ||||||||||||
Net unrealized gains/losses on derivatives | (42.3) | 25.9 | ||||||||||||
OTTI: | ||||||||||||||
Other-than-temporary impairments | 0.5 | 2.0 | 1.4 | 3.6 | ||||||||||
Change in OTTI, Income Tax | (0.5) | (1.3) | ||||||||||||
Change in OTTI, After-Tax Amount | 0.9 | 2.3 | ||||||||||||
Pension and other post-employment benefit liability, Before-Tax Amount: | ||||||||||||||
Amortization of prior service cost recognized in Operating expenses in the Condensed Consolidated Statements of Operations | (1.0) | [3] | (1.1) | [3] | ||||||||||
Net pension and other post-employment benefit liability | (0.4) | (0.5) | (1.0) | (1.1) | ||||||||||
Other comprehensive income (loss), before tax | (639.8) | 275.4 | (809.0) | 204.0 | ||||||||||
Pension and other post-employment benefit liability, Income Tax: | ||||||||||||||
Amortization of prior service cost recognized in Operating expenses in the Condensed Consolidated Statements of Operations | 0 | 0.4 | ||||||||||||
Net pension and other post-employment benefit liability | 0 | 0.4 | ||||||||||||
Other comprehensive income (loss) | (222.8) | 90.5 | (281.0) | 59.4 | ||||||||||
Pension and other post-employment benefit liability, After-Tax Amount: | ||||||||||||||
Amortization of prior service cost recognized in Operating expenses in the Condensed Consolidated Statements of Operations | (1.0) | (0.7) | ||||||||||||
Net pension and other post-employment benefit liability | 1.0 | 0.7 | ||||||||||||
Other comprehensive income (loss), after tax | (417.0) | 184.9 | (528.0) | 144.6 | ||||||||||
Fixed maturities
|
||||||||||||||
Available-for-sale securities, Before-Tax Amount: | ||||||||||||||
Net unrealized gains/losses on securities | (1,220.1) | 321.2 | ||||||||||||
Available-for-sale securities, Income Tax: | ||||||||||||||
Net unrealized gains/losses on securities | 425.3 | (99.8) | [4] | |||||||||||
Available-for-sale securities, After-Tax Amount: | ||||||||||||||
Net unrealized gains/losses on securities | (794.8) | 221.4 | ||||||||||||
Fixed maturities | Deferred Tax Asset Valuation Allowance
|
||||||||||||||
Available-for-sale securities, Income Tax: | ||||||||||||||
Net unrealized gains/losses on securities | (1.9) | (10.0) | ||||||||||||
Equity securities
|
||||||||||||||
Available-for-sale securities, Before-Tax Amount: | ||||||||||||||
Net unrealized gains/losses on securities | 3.0 | 0.4 | ||||||||||||
Available-for-sale securities, Income Tax: | ||||||||||||||
Net unrealized gains/losses on securities | (1.1) | (0.1) | ||||||||||||
Available-for-sale securities, After-Tax Amount: | ||||||||||||||
Net unrealized gains/losses on securities | $ 1.9 | $ 0.3 | ||||||||||||
|
Investments - Loans by Debt Service Coverage Ratio (Details) (USD $)
In Millions, unless otherwise specified |
6 Months Ended | 12 Months Ended | ||||
---|---|---|---|---|---|---|
Jun. 30, 2013
|
Dec. 31, 2012
|
|||||
Schedule of Loans by Debt Service Coverage Ratio [Line Items] | ||||||
Benchmark debt service coverage ratio, less than indicates property's operations income is less than debt payments | 100.00% | |||||
Total commercial mortgage loans | $ 3,189.4 | [1] | $ 2,874.0 | [1] | ||
Greater than 1.5x
|
||||||
Schedule of Loans by Debt Service Coverage Ratio [Line Items] | ||||||
Debt Service Coverage Ratio, minimum | 150.00% | 150.00% | ||||
Total commercial mortgage loans | 2,344.6 | [1] | 2,114.4 | [1] | ||
1.25x - 1.5x
|
||||||
Schedule of Loans by Debt Service Coverage Ratio [Line Items] | ||||||
Debt Service Coverage Ratio, minimum | 125.00% | 125.00% | ||||
Debt Service Coverage Ratio, maximum | 150.00% | 150.00% | ||||
Total commercial mortgage loans | 469.5 | [1] | 390.5 | [1] | ||
1.0x - 1.25x
|
||||||
Schedule of Loans by Debt Service Coverage Ratio [Line Items] | ||||||
Debt Service Coverage Ratio, minimum | 100.00% | 100.00% | ||||
Debt Service Coverage Ratio, maximum | 125.00% | 125.00% | ||||
Total commercial mortgage loans | 305.2 | [1] | 293.1 | [1] | ||
Less than 1.0x
|
||||||
Schedule of Loans by Debt Service Coverage Ratio [Line Items] | ||||||
Debt Service Coverage Ratio, minimum | 0.00% | 0.00% | ||||
Debt Service Coverage Ratio, maximum | 100.00% | 100.00% | ||||
Total commercial mortgage loans | $ 70.1 | [1] | $ 76.0 | [1] | ||
|
Investments - Fixed Maturities and Equity Securities (Details) (USD $)
In Millions, unless otherwise specified |
Jun. 30, 2013
|
Dec. 31, 2012
|
||||||||
---|---|---|---|---|---|---|---|---|---|---|
Available-for-sale Securities Including Securities Pledged [Line Items] | ||||||||||
Embedded Derivatives | $ 36.4 | [1] | $ 53.7 | [1] | ||||||
OTTI | 26.0 | [2] | 27.5 | [2] | ||||||
Securities pledged, Amortized Cost | 214.3 | 207.2 | ||||||||
Equity securities, Amortized Cost | 110.2 | 129.3 | ||||||||
Equity securities, available-for-sale | 126.7 | 142.8 | ||||||||
Total fixed maturities and equity securities, Amortized Cost | 19,415.5 | 19,132.7 | ||||||||
Total fixed maturities and equity securities investments, Gross Unrealized Gains | 1,308.7 | 2,244.5 | ||||||||
Total fixed maturities and equity securities investments, Gross Unrealized Capital Losses | 320.9 | 52.6 | ||||||||
Total fixed maturities and equity securities, Fair Value | 20,439.7 | 21,378.3 | ||||||||
U.S. Treasuries
|
||||||||||
Available-for-sale Securities Including Securities Pledged [Line Items] | ||||||||||
Fixed maturities, including securities pledged, Amortized Cost | 754.4 | 1,011.5 | ||||||||
Fixed maturities, Gross Unrealized Capital Gains | 74.4 | 135.6 | ||||||||
Fixed maturities, Gross Unrealized Capital Losses | 4.8 | 0.5 | ||||||||
Embedded Derivatives | 0 | [1] | 0 | [1] | ||||||
Fixed maturities, including securities pledged, Fair Value | 824.0 | 1,146.6 | ||||||||
OTTI | 0 | [2] | 0 | [2] | ||||||
U.S. government agencies and authorities
|
||||||||||
Available-for-sale Securities Including Securities Pledged [Line Items] | ||||||||||
Fixed maturities, including securities pledged, Amortized Cost | 376.9 | 379.4 | ||||||||
Fixed maturities, Gross Unrealized Capital Gains | 9.8 | 17.6 | ||||||||
Fixed maturities, Gross Unrealized Capital Losses | 0 | 0 | ||||||||
Embedded Derivatives | 0 | [1] | 0 | [1] | ||||||
Fixed maturities, including securities pledged, Fair Value | 386.7 | 397.0 | ||||||||
OTTI | 0 | [2] | 0 | [2] | ||||||
State, municipalities and political subdivisions
|
||||||||||
Available-for-sale Securities Including Securities Pledged [Line Items] | ||||||||||
Fixed maturities, including securities pledged, Amortized Cost | 77.2 | 77.2 | ||||||||
Fixed maturities, Gross Unrealized Capital Gains | 7.8 | 15.9 | ||||||||
Fixed maturities, Gross Unrealized Capital Losses | 0 | 0 | ||||||||
Embedded Derivatives | 0 | [1] | 0 | [1] | ||||||
Fixed maturities, including securities pledged, Fair Value | 85.0 | 93.1 | ||||||||
OTTI | 0 | [2] | 0 | [2] | ||||||
U.S. corporate securities
|
||||||||||
Available-for-sale Securities Including Securities Pledged [Line Items] | ||||||||||
Fixed maturities, including securities pledged, Amortized Cost | 10,008.2 | 9,438.0 | ||||||||
Fixed maturities, Gross Unrealized Capital Gains | 614.7 | 1,147.4 | ||||||||
Fixed maturities, Gross Unrealized Capital Losses | 192.5 | 11.1 | ||||||||
Embedded Derivatives | 0 | [1] | 0 | [1] | ||||||
Fixed maturities, including securities pledged, Fair Value | 10,430.4 | 10,574.3 | ||||||||
OTTI | 1.9 | [2] | 2.0 | [2] | ||||||
Foreign
|
||||||||||
Available-for-sale Securities Including Securities Pledged [Line Items] | ||||||||||
Fixed maturities, including securities pledged, Amortized Cost | 5,296.0 | [3] | 5,009.7 | [3] | ||||||
Fixed maturities, Gross Unrealized Capital Gains | 306.4 | [3] | 558.7 | [3] | ||||||
Fixed maturities, Gross Unrealized Capital Losses | 100.7 | [3] | 16.4 | [3] | ||||||
Embedded Derivatives | 0 | [1],[3] | 0 | [1],[3] | ||||||
Fixed maturities, including securities pledged, Fair Value | 5,501.7 | [3] | 5,552.0 | [3] | ||||||
OTTI | 0 | [2],[3] | 0 | [2],[3] | ||||||
Foreign securities government
|
||||||||||
Available-for-sale Securities Including Securities Pledged [Line Items] | ||||||||||
Fixed maturities, including securities pledged, Amortized Cost | 437.1 | [3] | 439.7 | [3] | ||||||
Fixed maturities, Gross Unrealized Capital Gains | 26.6 | [3] | 57.4 | [3] | ||||||
Fixed maturities, Gross Unrealized Capital Losses | 16.7 | [3] | 1.1 | [3] | ||||||
Embedded Derivatives | 0 | [1],[3] | 0 | [1],[3] | ||||||
Fixed maturities, including securities pledged, Fair Value | 447.0 | [3] | 496.0 | [3] | ||||||
OTTI | 0 | [2],[3] | 0 | [2],[3] | ||||||
Foreign securities other
|
||||||||||
Available-for-sale Securities Including Securities Pledged [Line Items] | ||||||||||
Fixed maturities, including securities pledged, Amortized Cost | 4,858.9 | [3] | 4,570.0 | [3] | ||||||
Fixed maturities, Gross Unrealized Capital Gains | 279.8 | [3] | 501.3 | [3] | ||||||
Fixed maturities, Gross Unrealized Capital Losses | 84.0 | [3] | 15.3 | [3] | ||||||
Embedded Derivatives | 0 | [1],[3] | 0 | [1],[3] | ||||||
Fixed maturities, including securities pledged, Fair Value | 5,054.7 | [3] | 5,056.0 | [3] | ||||||
OTTI | 0 | [2],[3] | 0 | [2],[3] | ||||||
Residential mortgage-backed
|
||||||||||
Available-for-sale Securities Including Securities Pledged [Line Items] | ||||||||||
Fixed maturities, including securities pledged, Amortized Cost | 1,858.2 | 2,070.4 | ||||||||
Fixed maturities, Gross Unrealized Capital Gains | 190.9 | 251.5 | ||||||||
Fixed maturities, Gross Unrealized Capital Losses | 25.0 | 18.1 | ||||||||
Embedded Derivatives | 36.4 | [1] | 53.7 | [1] | ||||||
Fixed maturities, including securities pledged, Fair Value | 2,060.5 | 2,357.5 | ||||||||
OTTI | 16.7 | [2] | 18.0 | [2] | ||||||
Residential mortgage-backed securities agency
|
||||||||||
Available-for-sale Securities Including Securities Pledged [Line Items] | ||||||||||
Fixed maturities, including securities pledged, Amortized Cost | 1,524.2 | 1,679.5 | ||||||||
Fixed maturities, Gross Unrealized Capital Gains | 133.7 | 181.5 | ||||||||
Fixed maturities, Gross Unrealized Capital Losses | 14.3 | 3.4 | ||||||||
Embedded Derivatives | 21.8 | [1] | 33.7 | [1] | ||||||
Fixed maturities, including securities pledged, Fair Value | 1,665.4 | 1,891.3 | ||||||||
OTTI | 0.5 | [2] | 0.6 | [2] | ||||||
Residential mortgage-backed securities non-agency
|
||||||||||
Available-for-sale Securities Including Securities Pledged [Line Items] | ||||||||||
Fixed maturities, including securities pledged, Amortized Cost | 334.0 | 390.9 | ||||||||
Fixed maturities, Gross Unrealized Capital Gains | 57.2 | 70.0 | ||||||||
Fixed maturities, Gross Unrealized Capital Losses | 10.7 | 14.7 | ||||||||
Embedded Derivatives | 14.6 | [1] | 20.0 | [1] | ||||||
Fixed maturities, including securities pledged, Fair Value | 395.1 | 466.2 | ||||||||
OTTI | 16.2 | [2] | 17.4 | [2] | ||||||
Commercial mortgage-backed
|
||||||||||
Available-for-sale Securities Including Securities Pledged [Line Items] | ||||||||||
Fixed maturities, including securities pledged, Amortized Cost | 669.5 | 748.7 | ||||||||
Fixed maturities, Gross Unrealized Capital Gains | 75.8 | 90.6 | ||||||||
Fixed maturities, Gross Unrealized Capital Losses | 0.1 | 0.2 | ||||||||
Embedded Derivatives | 0 | [1] | 0 | [1] | ||||||
Fixed maturities, including securities pledged, Fair Value | 745.2 | 839.1 | ||||||||
OTTI | 4.4 | [2] | 4.4 | [2] | ||||||
Total fixed maturities and equity securities investments, Gross Unrealized Capital Losses | 0.1 | 0.2 | ||||||||
Total fixed maturities and equity securities, Fair Value | 745.2 | 839.1 | ||||||||
Other asset-backed securities
|
||||||||||
Available-for-sale Securities Including Securities Pledged [Line Items] | ||||||||||
Fixed maturities, including securities pledged, Amortized Cost | 479.2 | 475.7 | ||||||||
Fixed maturities, Gross Unrealized Capital Gains | 21.6 | 26.6 | ||||||||
Fixed maturities, Gross Unrealized Capital Losses | 3.9 | 6.7 | ||||||||
Embedded Derivatives | 0 | [1] | 0 | [1] | ||||||
Fixed maturities, including securities pledged, Fair Value | 496.9 | 495.6 | ||||||||
OTTI | 3.0 | [2] | 3.1 | [2] | ||||||
Total fixed maturities and equity securities investments, Gross Unrealized Capital Losses | 0.8 | 0.6 | ||||||||
Total fixed maturities and equity securities, Fair Value | 436.3 | 435.6 | ||||||||
Fixed maturities
|
||||||||||
Available-for-sale Securities Including Securities Pledged [Line Items] | ||||||||||
Fixed maturities, including securities pledged, Amortized Cost | 19,519.6 | 19,210.6 | ||||||||
Fixed maturities, Gross Unrealized Capital Gains | 1,301.4 | 2,243.9 | ||||||||
Fixed maturities, Gross Unrealized Capital Losses | 327.0 | 53.0 | ||||||||
Embedded Derivatives | 36.4 | [1] | 53.7 | [1] | ||||||
Fixed maturities, including securities pledged, Fair Value | 20,530.4 | 21,455.2 | ||||||||
OTTI | 26.0 | [2] | 27.5 | [2] | ||||||
Securities pledged, Amortized Cost | 214.3 | 207.2 | ||||||||
Securities pledged, Gross Unrealized Capital Gains | 9.2 | 13.0 | ||||||||
Securities pledged, Gross Unrealized Capital Losses | 6.1 | 0.5 | ||||||||
Securities pledged, Gross Unrealized Capital Losses | 217.4 | 219.7 | ||||||||
Total fixed maturities, less securities pledged, Amortized Cost | 19,305.3 | 19,003.4 | ||||||||
Total fixed maturities, less securities pledged, Gross Unrealized Capital Gains | 1,292.2 | 2,230.9 | ||||||||
Total fixed maturities, less securities pledged, Gross Unrealized Capital Losses | 320.9 | 52.5 | ||||||||
Total fixed maturities, less securities pledged, Fair Value | 20,313.0 | 21,235.5 | ||||||||
Equity securities, available-for-sale
|
||||||||||
Available-for-sale Securities Including Securities Pledged [Line Items] | ||||||||||
Embedded Derivatives | 0 | [1] | 0 | [1] | ||||||
OTTI | 0 | [2] | 0 | [2] | ||||||
Equity securities, Amortized Cost | 110.2 | 129.3 | ||||||||
Equity securities, Gross Unrealized Capital Gains | 16.5 | 13.6 | ||||||||
Equity Securities, Gross Unrealized Capital Losses | 0 | 0.1 | ||||||||
Equity securities, available-for-sale | $ 126.7 | $ 142.8 | ||||||||
|
Business, Basis of Presentation and Significant Accounting Policies (Details)
|
0 Months Ended | 6 Months Ended | 0 Months Ended | |||
---|---|---|---|---|---|---|
May 07, 2013
|
Jun. 30, 2013
segment
|
May 07, 2013
ING U.S. Inc.
|
May 31, 2013
ING International
|
May 07, 2013
ING International
|
Jun. 30, 2013
ING International
|
|
Item Effected [Line Items] | ||||||
Offering of shares by parent company and subsidiaries | 65,192,307 | 30,769,230 | 34,423,077 | |||
Ownership by affiliate of parent company following IPO | 9,778,846 | |||||
Maximum number of shares granted to be acquired by affiliate's employees of parent | 9,778,696 | |||||
Additional shares acquired by affiliate's employees of parent | 71.00% | 75.00% | 71.00% | |||
Number of operating segments | 1 |
Derivative Financial Instruments - Notional and Fair Values (Details) (USD $)
In Millions, unless otherwise specified |
Jun. 30, 2013
|
Dec. 31, 2012
|
---|---|---|
Derivatives, Fair Value [Line Items] | ||
Derivative assets | $ 466.9 | $ 566.4 |
Derivatives liabilities | 309.6 | 469.2 |
Fixed maturities
|
||
Derivatives, Fair Value [Line Items] | ||
Derivative assets | 36.4 | 53.7 |
Derivatives liabilities | 0 | 0 |
Fixed indexed annuities (FIA)
|
||
Derivatives, Fair Value [Line Items] | ||
Derivative assets | 0 | 0 |
Derivatives liabilities | 49.1 | 122.4 |
Reinsurance Agreements
|
||
Derivatives, Fair Value [Line Items] | ||
Derivative assets | 0 | 0 |
Derivatives liabilities | (45.8) | 0 |
Interest rate contracts
|
||
Derivatives, Fair Value [Line Items] | ||
Derivatives, Notional Amount | 18,986.3 | 19,131.1 |
Foreign exchange contracts
|
||
Derivatives, Fair Value [Line Items] | ||
Derivatives, Notional Amount | 145.8 | 161.6 |
Equity contract
|
||
Derivatives, Fair Value [Line Items] | ||
Derivatives, Notional Amount | 0 | 0 |
Credit contracts
|
||
Derivatives, Fair Value [Line Items] | ||
Derivatives, Notional Amount | 309.0 | 347.5 |
Designated as Hedging Instrument | Cash flow hedges | Interest rate contracts
|
||
Derivatives, Fair Value [Line Items] | ||
Derivatives, Notional Amount | 875.0 | 1,000.0 |
Not Designated as Hedging Instrument | Interest rate contracts
|
||
Derivatives, Fair Value [Line Items] | ||
Derivatives, Notional Amount | 18,859.8 | 18,131.1 |
Not Designated as Hedging Instrument | Foreign exchange contracts
|
||
Derivatives, Fair Value [Line Items] | ||
Derivatives, Notional Amount | 145.8 | 161.6 |
Not Designated as Hedging Instrument | Equity contract
|
||
Derivatives, Fair Value [Line Items] | ||
Derivatives, Notional Amount | 9.4 | 14.5 |
Not Designated as Hedging Instrument | Credit contracts
|
||
Derivatives, Fair Value [Line Items] | ||
Derivatives, Notional Amount | 309.0 | 347.5 |
Maximum potential future net exposure on sale of credit default swaps | 309.0 | 329.0 |
Derivatives | Designated as Hedging Instrument | Cash flow hedges | Interest rate contracts
|
||
Derivatives, Fair Value [Line Items] | ||
Derivative assets | 120.6 | 215.4 |
Derivatives liabilities | 0 | 0 |
Derivatives | Not Designated as Hedging Instrument | Interest rate contracts
|
||
Derivatives, Fair Value [Line Items] | ||
Derivative assets | 301.8 | 292.9 |
Derivatives liabilities | 294.0 | 328.5 |
Derivatives | Not Designated as Hedging Instrument | Foreign exchange contracts
|
||
Derivatives, Fair Value [Line Items] | ||
Derivative assets | 3.7 | 0.4 |
Derivatives liabilities | 12.3 | 18.3 |
Derivatives | Not Designated as Hedging Instrument | Equity contract
|
||
Derivatives, Fair Value [Line Items] | ||
Derivative assets | 0 | 0.4 |
Derivatives liabilities | 0 | 0 |
Derivatives | Not Designated as Hedging Instrument | Credit contracts
|
||
Derivatives, Fair Value [Line Items] | ||
Derivative assets | 4.4 | 3.6 |
Derivatives liabilities | 0 | 0 |
Derivatives | Not Designated as Hedging Instrument | Managed custody guarantees
|
||
Derivatives, Fair Value [Line Items] | ||
Derivative assets | 0 | 0 |
Derivatives liabilities | $ 0 | $ 0 |
Investments - Mortgage Loans (Details) (USD $)
|
3 Months Ended | 6 Months Ended | |||
---|---|---|---|---|---|
Jun. 30, 2013
|
Jun. 30, 2012
|
Jun. 30, 2013
|
Jun. 30, 2012
|
Dec. 31, 2012
|
|
Investments, Debt and Equity Securities [Abstract] | |||||
Maximum loan to value ratio generally allowed | 75.00% | ||||
Commercial mortgage loans | $ 3,189,400,000 | $ 3,189,400,000 | $ 2,874,000,000 | ||
Collective valuation allowance | (1,500,000) | (1,500,000) | (1,300,000) | ||
Total net commercial mortgage loans | 3,187,900,000 | 3,187,900,000 | 2,872,700,000 | ||
Impairments on mortgage loans | $ 0 | $ 0 | $ 0 | $ 0 |
Investments - Loans by Property Type (Details) (USD $)
In Millions, unless otherwise specified |
Jun. 30, 2013
|
Dec. 31, 2012
|
||||
---|---|---|---|---|---|---|
Investment Holdings [Line Items] | ||||||
Total commercial mortgage loans | $ 3,189.4 | [1] | $ 2,874.0 | [1] | ||
Loans by property type percentage of total loans | 100.00% | [1] | 100.00% | [1] | ||
Industrial
|
||||||
Investment Holdings [Line Items] | ||||||
Total commercial mortgage loans | 1,062.0 | [1] | 1,035.2 | [1] | ||
Loans by property type percentage of total loans | 33.30% | [1] | 36.00% | [1] | ||
Retail
|
||||||
Investment Holdings [Line Items] | ||||||
Total commercial mortgage loans | 989.5 | [1] | 824.0 | [1] | ||
Loans by property type percentage of total loans | 31.00% | [1] | 28.70% | [1] | ||
Office
|
||||||
Investment Holdings [Line Items] | ||||||
Total commercial mortgage loans | 458.3 | [1] | 427.0 | [1] | ||
Loans by property type percentage of total loans | 14.40% | [1] | 14.80% | [1] | ||
Apartments
|
||||||
Investment Holdings [Line Items] | ||||||
Total commercial mortgage loans | 338.0 | [1] | 298.7 | [1] | ||
Loans by property type percentage of total loans | 10.60% | [1] | 10.40% | [1] | ||
Hotel/Motel
|
||||||
Investment Holdings [Line Items] | ||||||
Total commercial mortgage loans | 117.3 | [1] | 92.1 | [1] | ||
Loans by property type percentage of total loans | 3.70% | [1] | 3.20% | [1] | ||
Mixed Use
|
||||||
Investment Holdings [Line Items] | ||||||
Total commercial mortgage loans | 67.3 | [1] | 34.2 | [1] | ||
Loans by property type percentage of total loans | 2.10% | [1] | 1.20% | [1] | ||
Other
|
||||||
Investment Holdings [Line Items] | ||||||
Total commercial mortgage loans | $ 157.0 | [1] | $ 162.8 | [1] | ||
Loans by property type percentage of total loans | 4.90% | [1] | 5.70% | [1] | ||
|
Derivative Financial Instruments - Credit Default Swaps (Details) (USD $)
In Millions, unless otherwise specified |
Jun. 30, 2013
|
Dec. 31, 2012
|
---|---|---|
Derivatives, Fair Value [Line Items] | ||
Asset Fair Value | $ 466.9 | $ 566.4 |
Liability Fair Value | 309.6 | 469.2 |
Securities pledged as collateral | 217.4 | 219.7 |
Credit contracts | Not Designated as Hedging Instrument
|
||
Derivatives, Fair Value [Line Items] | ||
Maximum potential future net exposure on sale of credit default swaps | 309.0 | 329.0 |
Credit contracts | Not Designated as Hedging Instrument | Derivatives
|
||
Derivatives, Fair Value [Line Items] | ||
Asset Fair Value | 4.4 | 3.6 |
Liability Fair Value | 0 | 0 |
Fixed maturities
|
||
Derivatives, Fair Value [Line Items] | ||
Securities pledged as collateral | 62.3 | 39.5 |
Over the counter | Payables under securities loan agreement, including collateral held
|
||
Derivatives, Fair Value [Line Items] | ||
Cash collateral held for securities loan agreement | 103.8 | 167.0 |
Cleared derivative contract | Payables under securities loan agreement, including collateral held
|
||
Derivatives, Fair Value [Line Items] | ||
Cash collateral held for securities loan agreement | $ 1.9 |
Investments - Unrealized Capital Losses (Details) (USD $)
In Millions, unless otherwise specified |
Jun. 30, 2013
|
Dec. 31, 2012
|
---|---|---|
Available-for-sale Securities Including Securities Pledged [Line Items] | ||
Six Months or Less Below Amortized Cost, Fair Value | $ 4,989.2 | $ 1,038.4 |
Six Months or Less Below Amortized Cost, Unrealized Capital Loss | 263.7 | 13.7 |
More Than Six Months and Twelve Months or Less Below Amortized Cost, Fair Value | 343.0 | 39.1 |
More Than Six Months and Twelve Months or Less Below Amortized Cost, Unrealized Capital Loss | 37.6 | 1.7 |
More Than Twelve Months Below Amortized Cost, Fair Value | 184.7 | 306.2 |
More Than Twelve Months Below Amortized Cost, Unrealized Capital Loss | 25.7 | 37.6 |
Total, Fair Value | 5,516.9 | 1,383.7 |
Total Unrealized Capital Losses | 327.0 | 53.0 |
Average market value of fixed maturities with unrealized capital losses aged more than twelve months | 87.80% | 89.10% |
U.S. Treasuries
|
||
Available-for-sale Securities Including Securities Pledged [Line Items] | ||
Six Months or Less Below Amortized Cost, Fair Value | 217.0 | 300.0 |
Six Months or Less Below Amortized Cost, Unrealized Capital Loss | 4.8 | 0.5 |
More Than Six Months and Twelve Months or Less Below Amortized Cost, Fair Value | 0 | 0 |
More Than Six Months and Twelve Months or Less Below Amortized Cost, Unrealized Capital Loss | 0 | 0 |
More Than Twelve Months Below Amortized Cost, Fair Value | 0 | 0 |
More Than Twelve Months Below Amortized Cost, Unrealized Capital Loss | 0 | 0 |
Total, Fair Value | 217.0 | 300.0 |
Total Unrealized Capital Losses | 4.8 | 0.5 |
U.S. corporate, state and municipalities
|
||
Available-for-sale Securities Including Securities Pledged [Line Items] | ||
Six Months or Less Below Amortized Cost, Fair Value | 2,929.4 | 479.8 |
Six Months or Less Below Amortized Cost, Unrealized Capital Loss | 159.3 | 6.8 |
More Than Six Months and Twelve Months or Less Below Amortized Cost, Fair Value | 236.0 | 22.5 |
More Than Six Months and Twelve Months or Less Below Amortized Cost, Unrealized Capital Loss | 29.1 | 0.9 |
More Than Twelve Months Below Amortized Cost, Fair Value | 25.7 | 49.4 |
More Than Twelve Months Below Amortized Cost, Unrealized Capital Loss | 4.1 | 3.4 |
Total, Fair Value | 3,191.1 | 551.7 |
Total Unrealized Capital Losses | 192.5 | 11.1 |
Foreign
|
||
Available-for-sale Securities Including Securities Pledged [Line Items] | ||
Six Months or Less Below Amortized Cost, Fair Value | 1,411.8 | 166.8 |
Six Months or Less Below Amortized Cost, Unrealized Capital Loss | 88.8 | 4.7 |
More Than Six Months and Twelve Months or Less Below Amortized Cost, Fair Value | 53.5 | 7.8 |
More Than Six Months and Twelve Months or Less Below Amortized Cost, Unrealized Capital Loss | 5.8 | 0.5 |
More Than Twelve Months Below Amortized Cost, Fair Value | 44.2 | 87.7 |
More Than Twelve Months Below Amortized Cost, Unrealized Capital Loss | 6.1 | 11.2 |
Total, Fair Value | 1,509.5 | 262.3 |
Total Unrealized Capital Losses | 100.7 | 16.4 |
Residential mortgage-backed
|
||
Available-for-sale Securities Including Securities Pledged [Line Items] | ||
Six Months or Less Below Amortized Cost, Fair Value | 368.6 | 68.7 |
Six Months or Less Below Amortized Cost, Unrealized Capital Loss | 10.6 | 1.6 |
More Than Six Months and Twelve Months or Less Below Amortized Cost, Fair Value | 49.3 | 7.2 |
More Than Six Months and Twelve Months or Less Below Amortized Cost, Unrealized Capital Loss | 2.7 | 0.3 |
More Than Twelve Months Below Amortized Cost, Fair Value | 85.2 | 132.4 |
More Than Twelve Months Below Amortized Cost, Unrealized Capital Loss | 11.7 | 16.2 |
Total, Fair Value | 503.1 | 208.3 |
Total Unrealized Capital Losses | 25.0 | 18.1 |
Commercial mortgage-backed
|
||
Available-for-sale Securities Including Securities Pledged [Line Items] | ||
Six Months or Less Below Amortized Cost, Fair Value | 0 | 7.5 |
Six Months or Less Below Amortized Cost, Unrealized Capital Loss | 0 | 0.1 |
More Than Six Months and Twelve Months or Less Below Amortized Cost, Fair Value | 0.2 | 1.6 |
More Than Six Months and Twelve Months or Less Below Amortized Cost, Unrealized Capital Loss | 0 | 0 |
More Than Twelve Months Below Amortized Cost, Fair Value | 1.9 | 2.5 |
More Than Twelve Months Below Amortized Cost, Unrealized Capital Loss | 0.1 | 0.1 |
Total, Fair Value | 2.1 | 11.6 |
Total Unrealized Capital Losses | 0.1 | 0.2 |
Other asset-backed
|
||
Available-for-sale Securities Including Securities Pledged [Line Items] | ||
Six Months or Less Below Amortized Cost, Fair Value | 62.4 | 15.6 |
Six Months or Less Below Amortized Cost, Unrealized Capital Loss | 0.2 | 0 |
More Than Six Months and Twelve Months or Less Below Amortized Cost, Fair Value | 4.0 | 0 |
More Than Six Months and Twelve Months or Less Below Amortized Cost, Unrealized Capital Loss | 0 | 0 |
More Than Twelve Months Below Amortized Cost, Fair Value | 27.7 | 34.2 |
More Than Twelve Months Below Amortized Cost, Unrealized Capital Loss | 3.7 | 6.7 |
Total, Fair Value | 94.1 | 49.8 |
Total Unrealized Capital Losses | $ 3.9 | $ 6.7 |
Investments - OTTI OCI (Details) (USD $)
In Millions, unless otherwise specified |
3 Months Ended | 6 Months Ended | ||
---|---|---|---|---|
Jun. 30, 2013
|
Jun. 30, 2012
|
Jun. 30, 2013
|
Jun. 30, 2012
|
|
Other than Temporary Impairment, Recognized in Accumulated Other Comprehensive Income [Roll Forward] | ||||
Balance, beginning | $ 19.8 | $ 19.5 | $ 20.0 | $ 19.4 |
Additional Credit Impairments [Abstract] | ||||
On securities not previously impaired | 0.6 | 1.1 | 0.8 | 1.2 |
On securities previously impaired | 0.6 | 0 | 1.0 | 0.6 |
Reductions [Abstract] | ||||
Securities sold, matured, prepaid, or paid down | (0.8) | (0.6) | (1.6) | (1.2) |
Balance, ending | $ 20.2 | $ 20.0 | $ 20.2 | $ 20.0 |
Commitments and Contingencies Commitments (Tables)
|
6 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Jun. 30, 2013
|
|||||||||||||||||||||||||||||||||||||||||||||||||
Commitments and Contingencies Disclosure [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Restricted Assets | The components of the fair value of the restricted assets were as follows as of the dates indicated:
(1) Includes the fair value of loaned securities of $155.1 and $180.2 as of June 30, 2013 and December 31, 2012, respectively, which is included in Securities pledged on the Condensed Consolidated Balance Sheets. In addition, as of June 30, 2013 and December 31, 2012, the Company delivered securities as collateral of $62.3 and $39.5, respectively, which was included in Securities pledged on the Condensed Consolidated Balance Sheets. |
Condensed Consolidated Statements of Changes in Shareholder's Equity (USD $)
In Millions, unless otherwise specified |
Total
|
Common Stock
|
Additional Paid-In Capital
|
Accumulated Other Comprehensive Income (Loss)
|
Retained Earnings (Deficit)
|
||
---|---|---|---|---|---|---|---|
Beginning Balance at Dec. 31, 2011 | $ 3,976.3 | $ 2.8 | $ 4,533.0 | $ 747.5 | $ (1,307.0) | ||
Increase (Decrease) in Stockholders' Equity | |||||||
Net income (loss) | 181.9 | 181.9 | |||||
Comprehensive income: | |||||||
Other comprehensive income (loss), after tax | 144.6 | 144.6 | |||||
Total comprehensive income (loss) | 326.5 | ||||||
Dividends paid and distribution of capital | (340.0) | (340.0) | |||||
Employee related benefits | 24.2 | 24.2 | |||||
Ending Balance at Jun. 30, 2012 | 3,987.0 | 2.8 | 4,217.2 | 892.1 | (1,125.1) | ||
Beginning Balance at Dec. 31, 2012 | 4,261.4 | 2.8 | 4,217.2 | 1,023.0 | (981.6) | ||
Increase (Decrease) in Stockholders' Equity | |||||||
Net income (loss) | 152.0 | 152.0 | |||||
Comprehensive income: | |||||||
Other comprehensive income (loss), after tax | (528.0) | (528.0) | |||||
Total comprehensive income (loss) | (376.0) | ||||||
Dividends paid and distribution of capital | (174.0) | (174.0) | |||||
Employee related benefits | [1] | 0.1 | 0.1 | ||||
Ending Balance at Jun. 30, 2013 | $ 3,711.5 | $ 2.8 | $ 4,043.3 | $ 495.0 | $ (829.6) | ||
|
Business, Basis of Presentation and Significant Accounting Policies
|
6 Months Ended | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Jun. 30, 2013
|
|||||||||||||
Accounting Policies [Abstract] | |||||||||||||
Business, Basis of Presentation and Significant Accounting Policies | Business, Basis of Presentation and Significant Accounting Policies Business ING Life Insurance and Annuity Company ("ILIAC") is a stock life insurance company domiciled in the State of Connecticut. ILIAC and its wholly owned subsidiaries (collectively, "the Company") provide financial products and services in the United States. ILIAC is authorized to conduct its insurance business in all states and in the District of Columbia. In 2009, ING Groep N.V. ("ING Group" or "ING") announced the anticipated separation of its global banking and insurance businesses, including the divestiture of ING U.S., Inc., which together with its subsidiaries, including the Company, constitutes ING's U.S.-based retirement, investment management and insurance operations. On April 11, 2013, ING U.S., Inc. announced plans to rebrand in the future as Voya Financial. On May 2, 2013, the common stock of ING U.S., Inc. began trading on the New York Stock Exchange under the symbol "VOYA." On May 7, 2013, ING U.S., Inc. completed the offering of 65,192,307 shares of its common stock, including the issuance and sale by ING U.S., Inc. of 30,769,230 shares of common stock and the sale by ING Insurance International B.V. ("ING International"), an indirect wholly owned subsidiary of ING Group and previously the sole stockholder of ING U.S., Inc., of 34,423,077 shares of outstanding common stock of ING U.S., Inc. (collectively, the "IPO"). Immediately following the closing of the IPO on May 7, 2013, ING International owned 75% of the outstanding common stock of ING U.S., Inc. On May 31, 2013, in connection with the option granted to the underwriters in the IPO to acquire up to an additional 9,778,846 shares of ING U.S., Inc. common stock from ING International, the underwriters exercised such option (ultimately acquiring an additional 9,778,696 shares) and ING International's ownership of ING U.S., Inc.'s common stock was reduced to 71%. ILIAC is a direct, wholly owned subsidiary of Lion Connecticut Holdings Inc. ("Lion" or "Parent"), which is a direct, wholly owned subsidiary of ING U.S., Inc. ING International owns approximately 71% of the common stock of ING U.S., Inc. ING International is a wholly owned subsidiary of ING Verzekeringen N.V. ("ING V"), which is a wholly owned subsidiary of ING Insurance Topholding N.V. ("ING Topholding"), which is a wholly owned subsidiary of ING Group, the ultimate parent company. ING is a global financial services holding company based in The Netherlands, with American Depository Shares listed on the New York Stock Exchange under the symbol "ING." In August 2013, ING Group announced that ING International, ING V and ING Topholding will distribute shares of common stock of ING U.S., Inc. that are held directly by ING International as a dividend in kind to ING Group (effectively removing ING International, ING V and ING Topholding from the chain of intermediate ownership, and resulting in such shares being held directly by ING Group). Subject to receipt of regulatory approvals and/or notices of non-objection, as the case may be, this transaction is expected to be completed on September 30, 2013. The Company offers qualified and nonqualified annuity contracts that include a variety of funding and payout options for individuals and employer-sponsored retirement plans qualified under Internal Revenue Code Sections 401, 403, 408, 457 and 501, as well as nonqualified deferred compensation plans and related services. The Company's products are offered primarily to individuals, pension plans, small businesses and employer-sponsored groups in the health care, government and education markets (collectively "not-for-profit" organizations) and corporate markets. The Company's products are generally distributed through pension professionals, independent agents and brokers, third-party administrators, banks, dedicated career agents and financial planners. Products offered by the Company include deferred and immediate (i.e., payout) annuity contracts. Company products also include programs offered to qualified plans and nonqualified deferred compensation plans that package administrative and record-keeping services along with a variety of investment options, including affiliated and nonaffiliated mutual funds and variable and fixed investment options. In addition, the Company offers wrapper agreements entered into with retirement plans, which contain certain benefit responsive guarantees (i.e., guarantees of principal and previously accrued interest for benefits paid under the terms of the plan) with respect to portfolios of plan-owned assets not invested with the Company. The Company also offers pension and retirement savings plan administrative services. The Company has one operating segment. Basis of Presentation The accompanying Condensed Consolidated Financial Statements of the Company have been prepared in accordance with accounting principles generally accepted in the United States ("U.S. GAAP") and are unaudited. The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the Condensed Consolidated Financial Statements and the reported amounts of revenues and expenses during the reporting period. Those estimates are inherently subject to change and actual results could differ from those estimates. The Condensed Consolidated Financial Statements include the accounts of ILIAC and its wholly owned subsidiaries, ING Financial Advisers, LLC ("IFA") and Directed Services LLC ("DSL"). Intercompany transactions and balances have been eliminated. The accompanying Condensed Consolidated Financial Statements reflect all adjustments (including normal, recurring adjustments) necessary to present fairly the financial position of the Company as of June 30, 2013, its results of operations, comprehensive income, changes in shareholder's equity and cash flows for the three and six months ended June 30, 2013 and 2012, in conformity with U.S. GAAP. Interim results are not necessarily indicative of full year performance. The December 31, 2012 Consolidated Balance Sheet is from the audited Consolidated Financial Statements included in the Company's Annual Report on Form 10-K for the year ended December 31, 2012, filed with the Securities and Exchange Commission ("SEC"), which included all disclosures required by U.S. GAAP. Therefore, these Condensed Consolidated Financial Statements should be read in conjunction with the Consolidated Financial Statements of the Company included in the 2012 Annual Report on Form 10-K. Adoption of New Pronouncements Disclosures about Offsetting Assets and Liabilities In December 2011, the Financial Accounting Standards Board ("FASB") issued Accounting Standards Update ("ASU") 2011-11, "Balance Sheet (Accounting Standards Codification ("ASC") Topic 210): Disclosures about Offsetting Assets and Liabilities" ("ASU 2011-11"), which requires an entity to disclose both gross and net information about instruments and transactions eligible for offset in the statement of financial position, as well as instruments and transactions subject to an agreement similar to a master netting arrangement. In addition, the standard requires disclosure of collateral received and posted in connection with master netting agreements or similar arrangements. In January 2013, the FASB issued ASU 2013-01, "Balance Sheet (ASC Topic 210): Clarifying the Scope of Disclosures about Offsetting Assets and Liabilities" ("ASU 2013-01"), which clarifies that the scope of ASU 2011-11 applies to derivatives accounted for in accordance with ASU Topic 815, Derivatives and Hedging, including bifurcated embedded derivatives, repurchase agreements and reverse repurchase agreements, and securities borrowing and securities lending transactions that are either offset in accordance with Section 210-20-45 or Section 815-10-45 or subject to an enforceable master netting arrangement or similar agreement. The provisions of ASU 2013-01 and ASU 2011-11 were adopted retrospectively by the Company on January 1, 2013. The adoption had no effect on the Company's financial condition, results of operations or cash flows, as the pronouncement only pertains to additional disclosure. The disclosures required by ASU 2011-11 and ASU 2013-01 are included in the Derivative Financial Instruments Note to these Condensed Consolidated Financial Statements. Disclosures about Amounts Reclassified out of Accumulated Other Comprehensive Income In January 2013, the FASB issued ASU 2013-02, "Comprehensive Income (ASC Topic 220): Reporting of Amounts Reclassified Out of Accumulated Other Comprehensive Income" ("ASU 2013-02"), which requires an entity to provide information about the amounts reclassified out of accumulated other comprehensive income by component. In addition, an entity is required to present, either on the face of the statement where net income is presented or in the notes, significant amounts reclassified out of accumulated other comprehensive income by the respective line items of net income, but only if the amount reclassified is required under U.S. GAAP to be reclassified to net income, in its entirety in the same reporting period. For other amounts that are not required under U.S. GAAP to be reclassified in their entirety to net income, an entity is required to cross-reference to other disclosures required under U.S. GAAP that provide additional detail about those amounts. The provisions of ASU 2013-02 were adopted by the Company on January 1, 2013. The adoption had no effect on the Company's financial condition, results of operations or cash flows, as the pronouncement only pertains to additional disclosure. The disclosures required by ASU 2013-02, including comparative period disclosures, are included in the Accumulated Other Comprehensive Income Note to these Condensed Consolidated Financial Statements. Future Adoption of Accounting Pronouncements Joint and Several Liability Arrangements In February 2013, the FASB issued ASU 2013-04, "Liabilities (ASC Topic 405): Obligations Resulting from Joint and Several Liability Arrangements for Which the Total Amount of the Obligation Is Fixed at the Reporting Date" ("ASU 2013-04"), which requires an entity to measure obligations resulting from joint and several liable arrangements for which the total amount of the obligation within the scope of this guidance is fixed at the reporting date, as the sum of (1) the amount the reporting entity agreed to pay on the basis of its arrangement among its co-obligors and (2) any additional amount it expects to pay on behalf of its co-obligors. ASU 2013-04 also requires an entity to disclose the nature and amount of the obligation, as well as other information about those obligations. The provisions of ASU 2013-04 are effective for years, and interim periods within those years, beginning after December 15, 2013. The amendments should be applied retrospectively for those obligations resulting from joint and several liability arrangements that exist at the beginning of an entity's year of adoption. The Company is currently in the process of determining the impact of adoption of the provisions of ASU 2013-04. Derivatives and Hedging In July 2013, the FASB issued ASU 2013-10, "Derivatives and Hedging (ASC Topic 815): Inclusion of the Fed Funds Effective Swap Rate (or Overnight Index Swap Rate) as a Benchmark Interest Rate for Hedge Accounting Purposes" ("ASU 2013-10"), which permits an entity to use the Fed Funds Effective Swap Rate ("OIS") to be used as a U.S. benchmark interest rate for hedge accounting purposes. In addition, the guidance removes the restriction on using different benchmark rates for similar hedges. The provisions of ASU 2013-10 are effective for qualifying new or redesigned hedges entered into on or after July 17, 2013. The Company does not expect ASU 2013-10 to have an impact on its financial condition, results of operations or cash flows. Income Taxes In July 2013, the FASB issued ASU 2013-11, "Income Taxes (ASC Topic 740): Presentation of an Unrecognized Tax Benefit When a Net Operating Loss Carryforward, a Similar Tax Loss, or a Tax Credit Carryforward Exists" ("ASU 2013-11"), which clarifies that:
The provisions of ASU 2013-11 are effective for years, and interim periods within those years, beginning after December 15, 2013, and should be applied prospectively to all unrecognized tax benefits that exist at the effective date. The Company does not expect ASU 2013-11 to have an impact on its financial condition, results of operations or cash flows, as the guidance is consistent with that currently applied. |
Fair Value Measurements
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Fair Value Disclosures [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value Measurements | Fair Value Measurements Fair Value Measurement The Company categorizes its financial instruments into a three-level hierarchy based on the priority of the inputs to the valuation technique, pursuant to the Fair Value Measurements and disclosures of the FASB Accounting Standard Codification ("ASC") Topic 820. The fair value hierarchy gives the highest priority to quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3), as described in the Fair Value Measurements Note in the Consolidated Financial Statements included in the Company's Form 10-K for the year ended December 31, 2012. If the inputs used to measure fair value fall within different levels of the hierarchy, the category level is based on the lowest priority level input that is significant to the fair value measurement of the instrument. When available, the estimated fair value of financial instruments is based on quoted prices in active markets that are readily and regularly obtainable. When quoted prices in active markets are not available, the determination of estimated fair value is based on market standard valuation methodologies, including discounted cash flow methodologies, matrix pricing, or other similar techniques. The following table presents the Company’s hierarchy for its assets and liabilities measured at fair value on a recurring basis as of June 30, 2013:
(1) Primarily U.S. dollar denominated. The following table presents the Company’s hierarchy for its assets and liabilities measured at fair value on a recurring basis as of December 31, 2012:
(1) Primarily U.S. dollar denominated. Valuation of Financial Assets and Liabilities at Fair Value Certain assets and liabilities are measured at estimated fair value on the Company’s Condensed Consolidated Balance Sheets. The Company defines fair value as the price that would be received to sell an asset or paid to transfer a liability (an exit price) in the principal or most advantageous market for the asset or liability in an orderly transaction between market participants on the measurement date. The exit price and the transaction (or entry) price will be the same at initial recognition in many circumstances. However, in certain cases, the transaction price may not represent fair value. The fair value of a liability is based on the amount that would be paid to transfer a liability to a third-party with an equal credit standing. Fair value is required to be a market-based measurement which is determined based on a hypothetical transaction at the measurement date, from a market participant’s perspective. The Company considers three broad valuation techniques when a quoted price is unavailable: (i) the market approach, (ii) the income approach and (iii) the cost approach. The Company determines the most appropriate valuation technique to use, given the instrument being measured and the availability of sufficient inputs. The Company prioritizes the inputs to fair valuation techniques and allows for the use of unobservable inputs to the extent that observable inputs are not available. The Company utilizes a number of valuation methodologies to determine the fair values of its financial assets and liabilities in conformity with the concepts of "exit price" and the fair value hierarchy as prescribed in ASC Topic 820. Valuations are obtained from third party commercial pricing services, brokers and industry-standard, vendor-provided software that models the value based on market observable inputs. The valuations obtained from third-party commercial pricing services are non-binding. The Company reviews the assumptions and inputs used by third-party commercial pricing services for each reporting period in order to determine an appropriate fair value hierarchy level. The documentation and analysis obtained from third-party commercial pricing services are reviewed by the Company, including in-depth validation procedures confirming the observability of inputs. The valuations are reviewed and validated monthly through the internal valuation committee price variance review, comparisons to internal pricing models, back testing to recent trades, or monitoring of trading volumes. Transfers in and out of Level 1 and 2 There were no securities transferred between Level 1 and Level 2 for the three and six months ended June 30, 2013 and 2012. The Company’s policy is to recognize transfers in and transfers out as of the beginning of the reporting period. Level 3 Financial Instruments The fair values of certain assets and liabilities are determined using prices or valuation techniques that require inputs that are both unobservable and significant to the overall fair value measurement (i.e., Level 3 as defined by ASC Topic 820), including but not limited to liquidity spreads for investments within markets deemed not currently active. These valuations, whether derived internally or obtained from a third party, use critical assumptions that are not widely available to estimate market participant expectations in valuing the asset or liability. In addition, the Company has determined, for certain financial instruments, an active market is such a significant input to determine fair value that the presence of an inactive market may lead to classification in Level 3. In light of the methodologies employed to obtain the fair values of financial assets and liabilities classified as Level 3, additional information is presented below. The following table summarizes the change in fair value of the Company’s Level 3 assets and liabilities and transfers in and out of Level 3 for the periods indicated:
The following table summarizes the change in fair value of the Company’s Level 3 assets and liabilities and transfers in and out of Level 3 for the for the periods indicated:
The transfers in and out of Level 3 for fixed maturities including securities pledged and separate accounts for the three and six months ended June 30, 2013 and 2012 and equity securities for the six months ended June 30, 2013 were due to the variation in inputs relied upon for valuation each quarter. Securities that are primarily valued using independent broker quotes when prices are not available from one of the commercial pricing services are reflected as transfers into Level 3. When securities are valued using more widely available information, the securities are transferred out of Level 3 and into Level 1 or 2, as appropriate. Significant Unobservable Inputs Quantitative information about the significant unobservable inputs used in the Company's Level 3 fair value measurements of its annuity product guarantees is presented in the following sections and table. The Company's Level 3 fair value measurements of its fixed maturities, equity securities available-for-sale and equity and credit derivative contracts are primarily based on broker quotes for which the quantitative detail of the unobservable inputs is neither provided nor reasonably corroborated, thus negating the ability to perform a sensitivity analysis. The Company performs a review of broker quotes by performing a monthly price variance comparison and back tests broker quotes to recent trade prices. Significant unobservable inputs used in the fair value measurements of FIAs include nonperformance risk and lapses. Such inputs are monitored quarterly. The significant unobservable inputs used in the fair value measurement of the Stabilizer embedded derivatives and MCG derivative are interest rate implied volatility, nonperformance risk, lapses and policyholder deposits. Such inputs are monitored quarterly. Following is a description of selected inputs: Interest Rate Volatility: A term-structure model is used to approximate implied volatility for the swap rates for the Stabilizer and MCG fair value measurements. Where no implied volatility is readily available in the market, an alternative approach is based on historical volatility. Nonperformance Risk: For the estimate of the fair value of embedded derivatives associated with the Company's product guarantees, the Company uses a blend of observable, similarly rated peer company credit default swap spreads, adjusted to reflect the credit quality of the Company as well as adjustment to reflect the priority of policyholder claims. Actuarial Assumptions: Management regularly reviews actuarial assumptions, which are based on the Company's experience and periodically reviewed against industry standards. Industry standards and the Company experience may be limited on certain products. The following table presents the unobservable inputs for Level 3 fair value measurements as of June 30, 2013:
(1) Represents the range of reasonable assumptions that management has used in its fair value calculations. (2) Lapse rates tend to be lower during the contractual surrender charge period and higher after the surrender charge period ends; the highest lapse rates occur in the year immediately after the end of the surrender charge period. The Company makes dynamic adjustments to lower the lapse rates for contracts that are more "in the money." (3) Stabilizer contracts with recordkeeping agreements have different range of lapse and policyholder deposit assumptions from Stabilizer (Investment only) and MCG contracts as shown below:
(4) Measured as a percentage of assets under management or assets under administration. The following table presents the unobservable inputs for Level 3 fair value measurements as of December 31, 2012:
(1) Represents the range of reasonable assumptions that management has used in its fair value calculations. (2) Lapse rates tend to be lower during the contractual surrender charge period and higher after the surrender charge period ends; the highest lapse rates occur in the year immediately after the end of the surrender charge period. We make dynamic adjustments to lower the lapse rates for contracts that are more "in the money." (3) Stabilizer contracts with recordkeeping agreements have different range of lapse and policyholder deposit assumptions from Stabilizer (Investment only) and MCG contracts as shown below:
(4) Measured as a percentage of assets under management or assets under administration. Generally, the following will cause an increase (decrease) in the FIA embedded derivative fair value liability:
Generally, the following will cause an increase (decrease) in the MCG derivative and Stabilizer embedded derivative fair value liabilities:
The Company notes the following interrelationships:
Other Financial Instruments The carrying values and estimated fair values of the Company’s financial instruments were as follows as of the dates indicated:
(1) Certain amounts included in Funding agreements without fixed maturities and deferred annuities are also reflected within the Annuity product guarantees section of the table above. The following disclosures are made in accordance with the requirements of ASC Topic 825 which requires disclosure of fair value information about financial instruments, whether or not recognized at fair value on the Condensed Consolidated Balance Sheets, for which it is practicable to estimate that value. In cases where quoted market prices are not available, fair values are based on estimates using present value or other valuation techniques. Those techniques are significantly affected by the assumptions used, including the discount rate and estimates of future cash flows. In that regard, the derived fair value estimates, in many cases, could not be realized in immediate settlement of the instrument. ASC Topic 825 excludes certain financial instruments, including insurance contracts and all nonfinancial instruments from its disclosure requirements. Accordingly, the aggregate fair value amounts presented do not represent the underlying value of the Company. The following valuation methods and assumptions were used by the Company in estimating the fair value of the following financial instruments, which are not carried at fair value on the Condensed Consolidated Balance Sheets: Mortgage loans on real estate: The fair values for mortgage loans on real estate are estimated on a monthly basis using discounted cash flow analyses and rates currently being offered in the marketplace for similar loans to borrowers with similar credit ratings. Loans with similar characteristics are aggregated for purposes of the calculations. Mortgage loans on real estate are classified as Level 3. Policy loans: The fair value of policy loans approximates to the carrying value of the loans. Policy loans are collateralized by the cash surrender value of the associated insurance contracts and are classified as Level 2. Limited partnerships/corporations: The fair value for these investments, primarily private equity fund of funds and hedge funds, is based on actual or estimated Net Asset Value ("NAV") information as provided by the investee and are classified as Level 3. Notes receivable from affiliates: Estimated fair value of the Company’s notes receivable from affiliates is determined primarily using a matrix-based pricing. The model considers the current level of risk-free interest rates, credit quality of the issuer and cash flow characteristics of the security model and is classified as Level 2. Investment contract liabilities: Funding agreements without a fixed maturity and deferred annuities: Fair value is estimated as the mean present value of stochastically modeled cash flows associated with the contract liabilities taking into account assumptions about contract holder behavior. The stochastic valuation scenario set is consistent with current market parameters and discount is taken using stochastically evolving risk-free rates in the scenarios plus an adjustment for nonperformance risk. Margins for non-financial risks associated with the contract liabilities are also included. These liabilities are classified as Level 3. Supplementary contracts and immediate annuities: Fair value is estimated as the mean present value of the single deterministically modeled cash flows associated with the contract liabilities discounted using stochastically evolving short risk-free rates in the scenarios plus an adjustment for nonperformance risk. The valuation is consistent with current market parameters. Margins for non-financial risks associated with the contract liabilities are also included. These liabilities are classified as Level 3. Long-term debt: Estimated fair value of the Company’s notes to affiliates is based upon discounted future cash flows using a discount rate approximating the current market rate, incorporating nonperformance risk and is classified as Level 2. Fair value estimates are made at a specific point in time, based on available market information and judgments about various financial instruments, such as estimates of timing and amounts of future cash flows. Such estimates do not reflect any premium or discount that could result from offering for sale at one time the Company’s entire holdings of a particular financial instrument, nor do they consider the tax impact of the realization of unrealized capital gains (losses). In many cases, the fair value estimates cannot be substantiated by comparison to independent markets, nor can the disclosed value be realized in immediate settlement of the instruments. In evaluating the Company’s management of interest rate, price and liquidity risks, the fair values of all assets and liabilities should be taken into consideration, not only those presented above. |
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Investments, Debt and Equity Securities [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments | Investments Fixed Maturities and Equity Securities Available-for-sale and fair value option ("FVO") fixed maturities and equity securities were as follows as of June 30, 2013:
(1) Primarily U.S. dollar denominated. (2) Embedded derivatives within fixed maturity securities are reported with the host investment. The changes in fair value of embedded derivatives are reported in Other net realized capital gains (losses) in the Condensed Consolidated Statements of Operations. (3) Represents Other-than Temporary-Impairments ("OTTI") reported as a component of Other comprehensive income. Available-for-sale and FVO fixed maturities and equity securities were as follows as of December 31, 2012:
(1) Primarily U.S. dollar denominated. (2) Embedded derivatives within fixed maturity securities are reported with the host investment. The changes in fair value of embedded derivatives are reported in Other net realized capital gains (losses) in the Condensed Consolidated Statements of Operations. (3) Represents OTTI reported as a component of Other comprehensive income. The amortized cost and fair value of fixed maturities, including securities pledged, as of June 30, 2013, are shown below by contractual maturity. Actual maturities may differ from contractual maturities as securities may be restructured, called, or prepaid. Mortgage-backed securities ("MBS") and Other asset-backed securities ("ABS") are shown separately because they are not due at a single maturity date.
The investment portfolio is monitored to maintain a diversified portfolio on an ongoing basis. Credit risk is mitigated by monitoring concentrations by issuer, sector and geographic stratification and limiting exposure to any one issuer. As of June 30, 2013 and December 31, 2012, the Company did not have any investments in a single issuer, other than obligations of the U.S. Government and government agencies with a carrying value in excess of 10% of the Company’s consolidated Shareholder’s equity. The following tables set forth the composition of the U.S. and foreign corporate securities within the fixed maturity portfolio by industry category as of the dates indicated:
The Company invests in various categories of Collateralized mortgage obligations ("CMOs"), including CMOs that are not agency-backed, that are subject to different degrees of risk from changes in interest rates and defaults. The principal risks inherent in holding CMOs are prepayment and extension risks related to significant decreases and increases in interest rates resulting in the prepayment of principal from the underlying mortgages, either earlier or later than originally anticipated. As of June 30, 2013 and December 31, 2012, approximately 43.1% and 41.8%, respectively, of the Company’s CMO holdings, such as interest-only or principal-only strips, were invested in those types of CMOs which are subject to more prepayment and extension risk than traditional CMOs. Repurchase Agreements The Company engages in dollar repurchase agreements with mortgage-backed securities ("dollar rolls") and repurchase agreements with other collateral types to increase its return on investments and improve liquidity. Such arrangements meet the requirements to be accounted for as financing arrangements. As of June 30, 2013 and December 31, 2012, the Company did not have any securities pledged in dollar rolls and repurchase agreement transactions. The Company also enters into reverse repurchase agreements. These transactions involve a purchase of securities and an agreement to sell substantially the same securities as those purchased. As of June 30, 2013 and December 31, 2012, the Company did not have any securities pledged under reverse repurchase agreements. Securities Lending The Company engages in securities lending whereby certain domestic securities from its portfolio are loaned to other institutions for short periods of time. As of June 30, 2013 and December 31, 2012, the fair value of loaned securities was $155.1 and $180.2, respectively and is included in Securities pledged on the Condensed Consolidated Balance Sheets. As of June 30, 2013 and December 31, 2012, collateral retained by the lending agent and invested in liquid assets on the Company's behalf was $160.9 and $186.1, respectively, and is recorded in Short-term investments under securities loan agreement, including collateral delivered on the Condensed Consolidated Balance Sheets. As of June 30, 2013 and December 31, 2012, liabilities to return collateral of $160.9 and $186.1, respectively, are included in Payables under securities loan agreement, including collateral held, on the Condensed Consolidated Balance Sheets. Variable Interest Entities ("VIEs") The Company holds certain VIEs for investment purposes. VIEs may be in the form of private placement securities, structured securities, securitization transactions, or limited partnerships. The Company has reviewed each of its holdings and determined that consolidation of these investments in the Company’s financial statements is not required, as the Company is not the primary beneficiary, because the Company does not have both the power to direct the activities that most significantly impact the entity’s economic performance and the obligation or right to potentially significant losses or benefits, for any of its investments in VIEs. The Company provided no non-contractual financial support and its carrying value represents the Company’s exposure to loss. The carrying value of the equity tranches of the Collateralized loan obligations ("CLOs") of $1.2 as of June 30, 2013 and $1.3 as of December 31, 2012, respectively, is included in Limited partnerships/corporations on the Condensed Consolidated Balance Sheets. Income and losses recognized on these investments are reported in Net investment income in the Condensed Consolidated Statements of Operations. Securitizations The Company invests in various tranches of securitization entities, including Residential mortgage-backed securities ("RMBS"), Commercial mortgage-backed securities ("CMBS") and ABS. Through its investments, the Company is not obligated to provide any financial or other support to these entities. Each of the RMBS, CMBS and ABS entities are thinly capitalized by design and considered VIEs under ASC 810-10-25 as amended by ASU 2009-17. The Company's involvement with these entities is limited to that of a passive investor. The Company has no unilateral right to appoint or remove the servicer, special servicer, or investment manager, which are generally viewed to have the power to direct the activities that most significantly impact the securitization entities' economic performance, in any of these entities, nor does the Company function in any of these roles. The Company through its investments or other arrangements does not have the obligation to absorb losses or the right to receive benefits from the entity that could potentially be significant to the entity. Therefore, the Company is not the primary beneficiary and does not consolidate any of the RMBS, CMBS and ABS entities in which it holds investments. These investments are accounted for as investments available-for-sale and unrealized capital gains (losses) on these securities are recorded in Accumulated Other Comprehensive Income ("AOCI"), except for certain RMBS which are accounted for under the FVO for which changes in fair value are reflected in Other net realized gains (losses) in the Condensed Consolidated Statements of Operations. The Company's maximum exposure to loss on these structured investments is limited to the amount of its investment. Unrealized Capital Losses Unrealized capital losses (including noncredit impairments), along with the fair value of fixed maturity securities, including securities pledged, by market sector and duration were as follows as of June 30, 2013:
Unrealized capital losses (including noncredit impairments), along with the fair value of fixed maturity securities, including securities pledged, by market sector and duration were as follows as of December 31, 2012:
Of the unrealized capital losses aged more than twelve months, the average fair value of the related fixed maturities was 87.8% and 89.1% of the average book value as of June 30, 2013 and December 31, 2012, respectively. Unrealized capital losses (including noncredit impairments) in fixed maturities, including securities pledged, for instances in which fair value declined below amortized cost by greater than or less than 20% for consecutive months as indicated in the tables below, were as follows as of the dates indicated:
Unrealized capital losses (including noncredit impairments) in fixed maturities, including securities pledged, by market sector for instances in which fair value declined below amortized cost by greater than or less than 20% were as follows as of the dates indicated:
All investments with fair values less than amortized cost are included in the Company's other-than-temporary impairments analysis, and impairments were recognized as disclosed in the "Evaluating Securities for Other-Than-Temporary Impairments" section below. The Company evaluates non-agency RMBS and ABS for other-than-temporary impairments each quarter based on actual and projected cash flows after considering the quality and updated loan-to-value ratios reflecting current home prices of underlying collateral, forecasted loss severity, the payment priority within the tranche structure of the security and amount of any credit enhancements. The Company's assessment of current levels of cash flows compared to estimated cash flows at the time the securities were acquired indicates the amount and the pace of projected cash flows from the underlying collateral has generally been lower and slower, respectively. However, since cash flows are typically projected at a trust level, the impairment review incorporates the security's position within the trust structure as well as credit enhancement remaining in the trust to determine whether an impairment is warranted. Therefore, while lower and slower cash flows will impact the trust, the effect on a particular security within the trust will be dependent upon the trust structure. Where the assessment continues to project full recovery of principal and interest on schedule, the Company has not recorded an impairment. Unrealized losses on below investment grade securities are principally related to RMBS (primarily Alt-A RMBS) and ABS (primarily subprime RMBS) largely due to economic and market uncertainties including concerns over unemployment levels, lower interest rate environment on floating rate securities requiring higher risk premiums since purchase and valuations of residential real estate supporting non-agency RMBS. Based on this analysis, the Company determined that the remaining investments in an unrealized loss position were not other-than-temporarily impaired and therefore no further other-than-temporary impairment was necessary. Fixed Maturity Securities Credit Quality - Ratings Information about certain of the Company's fixed maturity securities holdings, by National Association of Insurance Commissioners ("NAIC") designations is set forth in the following tables. Corresponding rating agency designation does not directly translate into NAIC designation, but represents the Company's best estimate of comparable ratings from rating agencies, including Fitch Ratings, Inc. ("Fitch"), Moody's Investors Service, Inc. ("Moody's") and Standard & Poor's Ratings Services ("S&P"). If no rating is available from a rating agency, then an internally developed rating is used. The fixed maturities in the Company's portfolio are generally rated by external rating agencies and, if not externally rated, are rated by the Company on a basis similar to that used by the rating agencies. Ratings are derived from three ARO ratings and are applied as follows based on the number of agency ratings received: • when three ratings are received, the middle rating is applied; • when two ratings are received, the lower rating is applied; • when a single rating is received, the ARO rating is applied; and • when ratings are unavailable, an internal rating is applied. Subprime and Alt-A Mortgage Exposure The Company does not originate or purchase subprime or Alt-A whole-loan mortgages. Subprime lending is the origination of loans to customers with weaker credit profiles. The Company defines Alt-A mortgages to include the following: residential mortgage loans to customers who have strong credit profiles but lack some element(s), such as documentation to substantiate income; residential mortgage loans to borrowers that would otherwise be classified as prime but whose loan structure provides repayment options to the borrower that increase the risk of default; and any securities backed by residential mortgage collateral not clearly identifiable as prime or subprime. The Company's exposure to subprime mortgage backed securities is primarily in the form of ABS structures collateralized by subprime residential mortgages and the majority of these holdings are included in Other ABS in the "Fixed Maturities and Equity Securities" section above. As of June 30, 2013, the fair value and gross unrealized losses related to the Company's exposure to subprime mortgage backed securities were $62.0 and $3.1, respectively, representing 0.3% of total fixed maturities, including securities pledged, based on fair value. As of December 31, 2012, the fair value and gross unrealized losses related to the Company's exposure to subprime mortgage backed securities were $61.2 and $6.2, respectively, representing 0.3% of total fixed maturities, including securities pledged, based on fair value. The following tables summarize the Company's exposure to subprime mortgage-backed securities by credit quality using NAIC designations, ARO ratings and vintage year as of the dates indicated:
The Company's exposure to Alt-A mortgages is included in Residential mortgage-backed securities in the "Fixed Maturities and Equity Securities" section above. As of June 30, 2013, the fair value and gross unrealized losses related to the Company's exposure to Alt-A RMBS aggregated to $94.7 and $5.2, respectively, representing 0.5% of total fixed maturities, including securities pledged, based on fair value. As of December 31, 2012, the fair value and gross unrealized losses related to the Company's exposure to Alt-A RMBS aggregated to $106.0 and $9.5, respectively, representing 0.5% of total fixed maturities, including securities pledged, based on fair value. The following tables summarize the Company's exposure to Alt-A residential mortgage-backed securities by credit quality using NAIC designations, ARO ratings and vintage year as of the dates indicated:
Commercial Mortgage-backed and Other Asset-backed Securities As of June 30, 2013 and December 31, 2012, the fair value of the Company's CMBS totaled $745.2 and $839.1, respectively. As of June 30, 2013 and December 31, 2012, the gross unrealized losses related to CMBS totaled $0.1 and $0.2, respectively. CMBS investments represent pools of commercial mortgages that are broadly diversified across property types and geographical areas. The following tables summarize the Company's exposure to CMBS holdings by credit quality using NAIC designations, ARO ratings and vintage year as of the dates indicated:
As of June 30, 2013 and December 31, 2012, the fair value of the Company's Other ABS, excluding subprime exposure, totaled $436.3 and $435.6, respectively. As of June 30, 2013 and December 31, 2012, the gross unrealized losses related to Other ABS, excluding subprime exposure, totaled $0.8 and $0.6, respectively. As of June 30, 2013, Other ABS was also broadly diversified both by type and issuer with credit card receivables, nonconsolidated collateralized loan obligations and automobile receivables, comprising 45.7%, 3.8% and 32.7%, respectively, of total Other ABS, excluding subprime exposure. As of December 31, 2012, Other ABS was also broadly diversified both by type and issuer with credit card receivables, nonconsolidated collateralized loan obligations and automobile receivables, comprising 47.0%, 5.6% and 26.9%, respectively, of total Other ABS, excluding subprime exposure. The following tables summarize the Company's exposure to Other ABS holdings, excluding subprime exposure, by credit quality using NAIC designations, ARO ratings and vintage year as of the dates indicated:
Troubled Debt Restructuring The Company invests in high quality, well performing portfolios of commercial mortgage loans and private placements. Under certain circumstances, modifications are granted to these contracts. Each modification is evaluated as to whether a troubled debt restructuring has occurred. A modification is a troubled debt restructure when the borrower is in financial difficulty and the creditor makes concessions. Generally, the types of concessions may include reducing the face amount or maturity amount of the debt as originally stated, reducing the contractual interest rate, extending the maturity date at an interest rate lower than current market interest rates and/or reducing accrued interest. The Company considers the amount, timing and extent of the concession granted in determining any impairment or changes in the specific valuation allowance recorded in connection with the troubled debt restructuring. A valuation allowance may have been recorded prior to the quarter when the loan is modified in a troubled debt restructuring. Accordingly, the carrying value (net of the specific valuation allowance) before and after modification through a troubled debt restructuring may not change significantly, or may increase if the expected recovery is higher than the pre-modification recovery assessment. As of June 30, 2013 and December 31, 2012, the Company did not have any new troubled debt restructurings. During the three and six months ended June 30, 2013 and 2012, the Company did not have any commercial mortgage loans or private placements modified in a troubled debt restructuring with a subsequent payment default. Mortgage Loans on Real Estate The Company's mortgage loans on real estate are all commercial mortgage loans held for investment, which are reported at amortized cost, less impairment write-downs and allowance for losses. The Company diversifies its commercial mortgage loan portfolio by geographic region and property type to reduce concentration risk. The Company manages risk when originating commercial mortgage loans by generally lending only up to 75% of the estimated fair value of the underlying real estate. Subsequently, the Company continuously evaluates all mortgage loans based on relevant current information including an appraisal of loan-specific credit quality, property characteristics and market trends. Loan performance is monitored on a loan-specific basis through the review of submitted appraisals, operating statements, rent revenues and annual inspection reports, among other items. This review ensures properties are performing at a consistent and acceptable level to secure the debt. The following table summarizes the Company’s investment in mortgage loans as of the dates indicated:
There were no impairments taken on the mortgage loan portfolio for the three and six months ended June 30, 2013 and 2012. The following table summarizes the activity in the allowance for losses for all commercial mortgage loans for the periods indicated:
There were no troubled debt restructured loans, loans 90 days or more past due, loans in foreclosure, or unpaid principal balance on loans 90 days or more past due as of the dates indicated. The carrying values and unpaid principal balances of impaired mortgage loans were as follows as of the dates indicated:
There were no mortgage loans in the Company's portfolio in process of foreclosure as of June 30, 2013 and December 31, 2012. There were no other loans in arrears with respect to principal and interest as of June 30, 2013 and December 31, 2012. The following table presents information on the average investment during the period in impaired loans and interest income recognized on impaired and restructured loans for the periods indicated:
Loan-to-value ("LTV") and debt service coverage ("DSC") ratios are measures commonly used to assess the risk and quality of mortgage loans. The LTV ratio, calculated at time of origination, is expressed as a percentage of the amount of the loan relative to the value of the underlying property. A LTV ratio in excess of 100% indicates the unpaid loan amount exceeds the underlying collateral. The DSC ratio, based upon the most recently received financial statements, is expressed as a percentage of the amount of a property’s net income to its debt service payments. A DSC ratio of less than 1.0 indicates that a property’s operations do not generate sufficient income to cover debt payments. These ratios are utilized as part of the review process described above. The following table presents the LTV ratios as of the dates indicated:
(1) Balances do not include allowance for mortgage loan credit losses. The following table presents the DSC ratios as of the dates indicated:
(1) Balances do not include allowance for mortgage loan credit losses. Properties collateralizing mortgage loans are geographically dispersed throughout the United States, as well as diversified by property type, as reflected in the following tables as of the dates indicated:
(1) Balances do not include allowance for mortgage loan credit losses.
(1) Balances do not include allowance for mortgage loan credit losses. The following table sets forth the breakdown of mortgages by year of origination as of the dates indicated:
(1) Balances do not include allowance for mortgage loan credit losses. Evaluating Securities for Other-Than-Temporary Impairments The Company performs a regular evaluation, on a security-by-security basis, of its available-for-sale securities holdings, including fixed maturity securities and equity securities in accordance with its impairment policy in order to evaluate whether such investments are other-than-temporarily impaired. The following tables identify the Company’s credit-related and intent-related impairments included in the Condensed Consolidated Statements of Operations, excluding impairments included in Other comprehensive income (loss) by type for the periods indicated:
The above tables include $1.3 and $1.8 and of write-downs related to credit impairments for the three and six months ended June 30, 2013, respectively, in Other-than-temporary impairments, which are recognized in the Condensed Consolidated Statements of Operations. The Company did not have any write-downs for the three months ended June 30, 2013, related to intent impairments. The remaining $0.1 in write-downs for the six months ended June 30, 2013, is related to intent impairments. The above tables include $1.1 and $1.9 and of write-downs related to credit impairments for the three and six months ended June 30, 2012, respectively, in Other-than-temporary impairments, which are recognized in the Condensed Consolidated Statements of Operations. The remaining $0.6 and $1.1, in write-downs for the three and six months ended June 30, 2012, respectively, are related to intent impairments. The following tables summarize these intent impairments, which are also recognized in earnings, by type for the periods indicated:
The Company may sell securities during the period in which fair value has declined below amortized cost for fixed maturities or cost for equity securities. In certain situations, new factors, including changes in the business environment, can change the Company’s previous intent to continue holding a security. Accordingly, these factors may lead the Company to record additional intent related capital losses. The fair value of fixed maturities with OTTI as of June 30, 2013 and December 31, 2012 was $1.1 billion and $1.2 billion, respectively. The following tables identify the amount of credit impairments on fixed maturities for which a portion of the OTTI loss was recognized in Other comprehensive income (loss) and the corresponding changes in such amounts for the periods indicated:
Net Investment Income The following table summarizes Net investment income for the periods indicated:
As of June 30, 2013 and December 31, 2012, the Company did not have any investments in fixed maturities which produced no net investment income. Fixed maturities are moved to a non-accrual status immediately when the investment defaults. Net Realized Capital Gains (Losses) Net realized capital gains (losses) are comprised of the difference between the amortized cost of investments and proceeds from sale and redemption, as well as losses incurred due to the credit-related and intent-related other-than-temporary impairment of investments. Realized investment gains and losses are also primarily generated from changes in fair value of embedded derivatives within product guarantees and fixed maturities, changes in fair value of fixed maturities recorded at FVO and changes in fair value including accruals on derivative instruments, except for effective cash flow hedges. The cost of the investments on disposal is generally determined based on first-in-first-out ("FIFO") methodology. Net realized capital gains (losses) were as follows for the periods indicated:
Proceeds from the sale of fixed maturities and equity securities, available-for-sale and the related gross realized gains and losses, before tax were as follows for the periods indicated:
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Investments - Mortgages by Year of Origination (Details) (USD $)
In Millions, unless otherwise specified |
Jun. 30, 2013
|
Dec. 31, 2012
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Investment [Line Items] | ||||||
Total commercial mortgage loans | $ 3,189.4 | [1] | $ 2,874.0 | [1] | ||
Year of Origination 2013
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Investment [Line Items] | ||||||
Total commercial mortgage loans | 404.9 | [1] | 0 | [1] | ||
Year of Origination 2012
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Investment [Line Items] | ||||||
Total commercial mortgage loans | 927.1 | [1] | 939.0 | [1] | ||
Year of Origination 2011
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Investment [Line Items] | ||||||
Total commercial mortgage loans | 815.7 | [1] | 836.9 | [1] | ||
Year of Origination 2010
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Investment [Line Items] | ||||||
Total commercial mortgage loans | 122.3 | [1] | 124.0 | [1] | ||
Year of Origination 2009
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Investment [Line Items] | ||||||
Total commercial mortgage loans | 72.5 | [1] | 73.0 | [1] | ||
Year of Origination 2008
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Investment [Line Items] | ||||||
Total commercial mortgage loans | 116.4 | [1] | 119.0 | [1] | ||
Year of Origination 2007 and Prior
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Investment [Line Items] | ||||||
Total commercial mortgage loans | $ 730.5 | [1] | $ 782.1 | [1] | ||
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Investments - Debt Maturities (Details) (USD $)
In Millions, unless otherwise specified |
Jun. 30, 2013
|
Dec. 31, 2012
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Fixed maturities
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Available-for-sale Securities Including Securities Pledged [Line Items] | ||
One year or less, Amortized Cost | $ 800.6 | |
One year or less, Fair Value | 823.4 | |
After one year through five years, Amortized Cost | 3,905.6 | |
After one year through five years, Fair Value | 4,142.0 | |
After five years through ten years, Amortized Cost | 6,152.3 | |
After five years through ten years, Fair Value | 6,365.7 | |
After ten years, Amortized Cost | 5,654.2 | |
After ten years, Fair Value | 5,896.7 | |
Fixed maturities, including securities pledged, Amortized Cost | 19,519.6 | 19,210.6 |
Fixed maturities, including securities pledged, Fair Value | 20,530.4 | 21,455.2 |
Mortgage-backed securities
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Available-for-sale Securities Including Securities Pledged [Line Items] | ||
Without single maturity date, Amortized Cost | 2,527.7 | |
Without single maturity date, Fair Value | 2,805.7 | |
Percentage collateralized of mortgage backed securities including interest-only strip or principal-only strip | 43.10% | 41.80% |
Other asset-backed securities
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Available-for-sale Securities Including Securities Pledged [Line Items] | ||
Without single maturity date, Amortized Cost | 479.2 | |
Without single maturity date, Fair Value | 496.9 | |
Fixed maturities, including securities pledged, Amortized Cost | 479.2 | 475.7 |
Fixed maturities, including securities pledged, Fair Value | $ 496.9 | $ 495.6 |
Investments - Unrealized Capital Losses 1 (Details) (USD $)
In Millions, unless otherwise specified |
Jun. 30, 2013
|
Dec. 31, 2012
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Available-for-sale Securities Including Securities Pledged [Line Items] | ||
Six Months or Less Below Amortized Cost, Unrealized Capital Loss | $ 263.7 | $ 13.7 |
More Than Six Months and Twelve Months or Less Below Amortized Cost, Unrealized Capital Loss | 37.6 | 1.7 |
More Than Twelve Months Below Amortized Cost, Unrealized Capital Loss | 25.7 | 37.6 |
Total Unrealized Capital Losses | 327.0 | 53.0 |
Fair value decline below amortized cost less than 20%
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Available-for-sale Securities Including Securities Pledged [Line Items] | ||
Six months or less below amortized cost, Amortized Cost | 5,267.8 | 1,110.8 |
Six Months or Less Below Amortized Cost, Unrealized Capital Loss | 265.2 | 19.3 |
Six months or less below amortized cost, Number of Securities | 712 | 141 |
More than six months and twelve months or less below amortized cost, Amortized Cost | 406.8 | 49.5 |
More Than Six Months and Twelve Months or Less Below Amortized Cost, Unrealized Capital Loss | 39.7 | 2.6 |
More than six months and twelve months or less below amortized cost, Number of Securities | 71 | 31 |
More than twelve months below amortized cost, Amortized Cost | 103.3 | 198.1 |
More Than Twelve Months Below Amortized Cost, Unrealized Capital Loss | 6.1 | 6.2 |
More than twelve months below amortized cost, Number of Securities | 98 | 99 |
Total Amortized Cost | 5,777.9 | 1,358.4 |
Total Unrealized Capital Losses | 311.0 | 28.1 |
Total Number of Securities | 881 | 271 |
Fair value decline below amortized cost greater than 20%
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Available-for-sale Securities Including Securities Pledged [Line Items] | ||
Six months or less below amortized cost, Amortized Cost | 40.9 | 15.2 |
Six Months or Less Below Amortized Cost, Unrealized Capital Loss | 9.4 | 3.9 |
Six months or less below amortized cost, Number of Securities | 12 | 10 |
More than six months and twelve months or less below amortized cost, Amortized Cost | 4.5 | 1.5 |
More Than Six Months and Twelve Months or Less Below Amortized Cost, Unrealized Capital Loss | 1.1 | 0.4 |
More than six months and twelve months or less below amortized cost, Number of Securities | 4 | 2 |
More than twelve months below amortized cost, Amortized Cost | 20.6 | 61.6 |
More Than Twelve Months Below Amortized Cost, Unrealized Capital Loss | 5.5 | 20.6 |
More than twelve months below amortized cost, Number of Securities | 9 | 28 |
Total Amortized Cost | 66.0 | 78.3 |
Total Unrealized Capital Losses | 16.0 | 24.9 |
Total Number of Securities | 25 | 40 |
U.S. Treasuries
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Available-for-sale Securities Including Securities Pledged [Line Items] | ||
Six Months or Less Below Amortized Cost, Unrealized Capital Loss | 4.8 | 0.5 |
More Than Six Months and Twelve Months or Less Below Amortized Cost, Unrealized Capital Loss | 0 | 0 |
More Than Twelve Months Below Amortized Cost, Unrealized Capital Loss | 0 | 0 |
Total Unrealized Capital Losses | 4.8 | 0.5 |
U.S. Treasuries | Fair value decline below amortized cost less than 20%
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Available-for-sale Securities Including Securities Pledged [Line Items] | ||
Total Amortized Cost | 221.8 | 300.5 |
Total Unrealized Capital Losses | 4.8 | 0.5 |
Total Number of Securities | 3 | 2 |
U.S. Treasuries | Fair value decline below amortized cost greater than 20%
|
||
Available-for-sale Securities Including Securities Pledged [Line Items] | ||
Total Amortized Cost | 0 | 0 |
Total Unrealized Capital Losses | 0 | 0 |
Total Number of Securities | 0 | 0 |
U.S. corporate, state and municipalities
|
||
Available-for-sale Securities Including Securities Pledged [Line Items] | ||
Six Months or Less Below Amortized Cost, Unrealized Capital Loss | 159.3 | 6.8 |
More Than Six Months and Twelve Months or Less Below Amortized Cost, Unrealized Capital Loss | 29.1 | 0.9 |
More Than Twelve Months Below Amortized Cost, Unrealized Capital Loss | 4.1 | 3.4 |
Total Unrealized Capital Losses | 192.5 | 11.1 |
U.S. corporate, state and municipalities | Fair value decline below amortized cost less than 20%
|
||
Available-for-sale Securities Including Securities Pledged [Line Items] | ||
Total Amortized Cost | 3,355.2 | 558.1 |
Total Unrealized Capital Losses | 186.0 | 9.1 |
Total Number of Securities | 452 | 82 |
U.S. corporate, state and municipalities | Fair value decline below amortized cost greater than 20%
|
||
Available-for-sale Securities Including Securities Pledged [Line Items] | ||
Total Amortized Cost | 28.4 | 4.7 |
Total Unrealized Capital Losses | 6.5 | 2.0 |
Total Number of Securities | 4 | 2 |
Foreign
|
||
Available-for-sale Securities Including Securities Pledged [Line Items] | ||
Six Months or Less Below Amortized Cost, Unrealized Capital Loss | 88.8 | 4.7 |
More Than Six Months and Twelve Months or Less Below Amortized Cost, Unrealized Capital Loss | 5.8 | 0.5 |
More Than Twelve Months Below Amortized Cost, Unrealized Capital Loss | 6.1 | 11.2 |
Total Unrealized Capital Losses | 100.7 | 16.4 |
Foreign | Fair value decline below amortized cost less than 20%
|
||
Available-for-sale Securities Including Securities Pledged [Line Items] | ||
Total Amortized Cost | 1,595.5 | 242.7 |
Total Unrealized Capital Losses | 97.3 | 5.7 |
Total Number of Securities | 231 | 38 |
Foreign | Fair value decline below amortized cost greater than 20%
|
||
Available-for-sale Securities Including Securities Pledged [Line Items] | ||
Total Amortized Cost | 14.7 | 36.0 |
Total Unrealized Capital Losses | 3.4 | 10.7 |
Total Number of Securities | 3 | 8 |
Residential mortgage-backed
|
||
Available-for-sale Securities Including Securities Pledged [Line Items] | ||
Six Months or Less Below Amortized Cost, Unrealized Capital Loss | 10.6 | 1.6 |
More Than Six Months and Twelve Months or Less Below Amortized Cost, Unrealized Capital Loss | 2.7 | 0.3 |
More Than Twelve Months Below Amortized Cost, Unrealized Capital Loss | 11.7 | 16.2 |
Total Unrealized Capital Losses | 25.0 | 18.1 |
Residential mortgage-backed | Fair value decline below amortized cost less than 20%
|
||
Available-for-sale Securities Including Securities Pledged [Line Items] | ||
Total Amortized Cost | 510.0 | 201.2 |
Total Unrealized Capital Losses | 20.3 | 10.2 |
Total Number of Securities | 169 | 124 |
Residential mortgage-backed | Fair value decline below amortized cost greater than 20%
|
||
Available-for-sale Securities Including Securities Pledged [Line Items] | ||
Total Amortized Cost | 18.1 | 25.2 |
Total Unrealized Capital Losses | 4.7 | 7.9 |
Total Number of Securities | 14 | 24 |
Commercial mortgage-backed
|
||
Available-for-sale Securities Including Securities Pledged [Line Items] | ||
Six Months or Less Below Amortized Cost, Unrealized Capital Loss | 0 | 0.1 |
More Than Six Months and Twelve Months or Less Below Amortized Cost, Unrealized Capital Loss | 0 | 0 |
More Than Twelve Months Below Amortized Cost, Unrealized Capital Loss | 0.1 | 0.1 |
Total Unrealized Capital Losses | 0.1 | 0.2 |
Commercial mortgage-backed | Fair value decline below amortized cost less than 20%
|
||
Available-for-sale Securities Including Securities Pledged [Line Items] | ||
Total Amortized Cost | 2.2 | 11.8 |
Total Unrealized Capital Losses | 0.1 | 0.2 |
Total Number of Securities | 2 | 8 |
Commercial mortgage-backed | Fair value decline below amortized cost greater than 20%
|
||
Available-for-sale Securities Including Securities Pledged [Line Items] | ||
Total Amortized Cost | 0 | 0 |
Total Unrealized Capital Losses | 0 | 0 |
Total Number of Securities | 0 | 0 |
Other asset-backed
|
||
Available-for-sale Securities Including Securities Pledged [Line Items] | ||
Six Months or Less Below Amortized Cost, Unrealized Capital Loss | 0.2 | 0 |
More Than Six Months and Twelve Months or Less Below Amortized Cost, Unrealized Capital Loss | 0 | 0 |
More Than Twelve Months Below Amortized Cost, Unrealized Capital Loss | 3.7 | 6.7 |
Total Unrealized Capital Losses | 3.9 | 6.7 |
Other asset-backed | Fair value decline below amortized cost less than 20%
|
||
Available-for-sale Securities Including Securities Pledged [Line Items] | ||
Total Amortized Cost | 93.2 | 44.1 |
Total Unrealized Capital Losses | 2.5 | 2.4 |
Total Number of Securities | 24 | 17 |
Other asset-backed | Fair value decline below amortized cost greater than 20%
|
||
Available-for-sale Securities Including Securities Pledged [Line Items] | ||
Total Amortized Cost | 4.8 | 12.4 |
Total Unrealized Capital Losses | $ 1.4 | $ 4.3 |
Total Number of Securities | 4 | 6 |
Investments - Loans by Loan to Value (Details) (USD $)
In Millions, unless otherwise specified |
6 Months Ended | 12 Months Ended | ||||
---|---|---|---|---|---|---|
Jun. 30, 2013
|
Dec. 31, 2012
|
|||||
Schedule of Loans by Loan to Value Ratio [Line Items] | ||||||
Benchmark loan to value ratio, greater than indicates unpaid loan amount exceeds underlying collateral | 100.00% | |||||
Total commercial mortgage loans | $ 3,189.4 | [1] | $ 2,874.0 | [1] | ||
0% - 50%
|
||||||
Schedule of Loans by Loan to Value Ratio [Line Items] | ||||||
Loan to Value Ratio, minimum | 0.00% | 0.00% | ||||
Loan to Value Ratio, maximum | 50.00% | 50.00% | ||||
Total commercial mortgage loans | 508.9 | [1] | 501.3 | [1] | ||
50% - 60%
|
||||||
Schedule of Loans by Loan to Value Ratio [Line Items] | ||||||
Loan to Value Ratio, minimum | 50.00% | 50.00% | ||||
Loan to Value Ratio, maximum | 60.00% | 60.00% | ||||
Total commercial mortgage loans | 804.8 | [1] | 768.9 | [1] | ||
60% - 70%
|
||||||
Schedule of Loans by Loan to Value Ratio [Line Items] | ||||||
Loan to Value Ratio, minimum | 60.00% | 60.00% | ||||
Loan to Value Ratio, maximum | 70.00% | 70.00% | ||||
Total commercial mortgage loans | 1,781.1 | [1] | 1,491.6 | [1] | ||
70% - 80%
|
||||||
Schedule of Loans by Loan to Value Ratio [Line Items] | ||||||
Loan to Value Ratio, minimum | 70.00% | 70.00% | ||||
Loan to Value Ratio, maximum | 80.00% | 80.00% | ||||
Total commercial mortgage loans | 79.7 | [1] | 96.4 | [1] | ||
80% and above
|
||||||
Schedule of Loans by Loan to Value Ratio [Line Items] | ||||||
Loan to Value Ratio, minimum | 80.00% | 80.00% | ||||
Total commercial mortgage loans | $ 14.9 | [1] | $ 15.8 | [1] | ||
|
Capital Contributions and Dividends (Details) (USD $)
In Millions, unless otherwise specified |
6 Months Ended | ||
---|---|---|---|
Jun. 30, 2013
|
Jun. 30, 2012
|
May 07, 2013
|
|
Dividends Payable [Line Items] | |||
Capital contributions to parent | $ 174.0 | $ 340.0 | |
Lion
|
|||
Dividends Payable [Line Items] | |||
Capital contribution from parent | 0 | 0 | |
Capital contributions to parent | (340.0) | ||
Extraordinary dividend approved | $ 174.0 |