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Investments (Tables)
 12 Months Ended
Dec. 31, 2017
Investments Schedule [Abstract]  
Investment Portfolio by Major Security Type
The following tables present the composition of our investment portfolio by major security type, consistent with our internal classification of how we manage, monitor, and measure the portfolio. The net holding period gains (losses) represent the
amounts realized on our hybrid securities only (see discussion below).
 
($ in millions)
Cost

Gross Unrealized Gains

Gross Unrealized Losses

Net Realized Gains (Losses)

Fair Value

% of Total Fair Value

December 31, 2017
 
 
 
 
 
 
Fixed maturities:
 
 
 
 
 
 
U.S. government obligations
$
6,688.8

$
1.1

$
(44.0
)
$
0

$
6,645.9

24.4
%
State and local government obligations
2,285.6

20.7

(9.3
)
0.1

2,297.1

8.4

Foreign government obligations
0

0

0

0

0

0

Corporate debt securities
4,997.2

14.8

(14.4
)
0.1

4,997.7

18.3

Residential mortgage-backed securities
828.8

11.3

(3.4
)
0

836.7

3.1

Commercial mortgage-backed securities
2,760.1

11.8

(13.3
)
0

2,758.6

10.1

Other asset-backed securities
2,454.5

4.5

(4.5
)
0.2

2,454.7

9.0

Redeemable preferred stocks
194.9

17.8

(1.5
)
(0.2
)
211.0

0.8

Total fixed maturities
20,209.9

82.0

(90.4
)
0.2

20,201.7

74.1

Equity securities:
 
 
 
 
 
 
Nonredeemable preferred stocks
698.6

114.0

(8.8
)
0

803.8

2.9

Common equities
1,499.0

1,901.0

(0.2
)
0

3,399.8

12.5

Short-term investments
2,869.4

0

0

0

2,869.4

10.5

Total portfolio1,2
$
25,276.9

$
2,097.0

$
(99.4
)
$
0.2

$
27,274.7

100.0
%
($ in millions)
Cost

Gross Unrealized Gains

Gross Unrealized Losses

Net Realized Gains (Losses)

Fair Value

% of Total Fair Value

December 31, 2016
 
 
 
 
 
 
Fixed maturities:
 
 
 
 
 
 
U.S. government obligations
$
2,899.2

$
0

$
(29.1
)
$
0

$
2,870.1

12.2
%
State and local government obligations
2,509.5

13.8

(20.7
)
0

2,502.6

10.7

Foreign government obligations
24.5

0

0

0

24.5

0.1

Corporate debt securities
4,557.8

17.3

(24.3
)
0.1

4,550.9

19.4

Residential mortgage-backed securities
1,489.7

23.7

(15.6
)
1.5

1,499.3

6.4

Commercial mortgage-backed securities
2,266.9

12.0

(25.5
)
0

2,253.4

9.6

Other asset-backed securities
2,350.7

4.6

(4.4
)
0.2

2,351.1

10.0

Redeemable preferred stocks
188.8

5.1

(2.0
)
0

191.9

0.8

Total fixed maturities
16,287.1

76.5

(121.6
)
1.8

16,243.8

69.2

Equity securities:
 
 
 
 
 
 
Nonredeemable preferred stocks
734.2

135.4

(16.1
)
0

853.5

3.6

Common equities
1,437.5

1,377.0

(2.1
)
0

2,812.4

12.0

Short-term investments
3,572.9

0

0

0

3,572.9

15.2

Total portfolio1,2
$
22,031.7

$
1,588.9

$
(139.8
)
$
1.8

$
23,482.6

100.0
%


1 Our portfolio reflects the effect of unsettled security transactions and collateral on any open derivative positions; at December 31, 2017, $5.8 million was included in “other assets,” compared to $27.8 million in “other liabilities” at December 31, 2016.
2 The total fair value of the portfolio at December 31, 2017 and 2016 included $1.6 billion and $1.3 billion, respectively, of securities held in a consolidated, non-insurance subsidiary of the holding company, net of any unsettled security transactions.
Hybrid Securities
Included in our fixed maturities are hybrid securities, which are reported at fair value at December 31:
 
(millions)
2017

 
2016

State and local government obligations
$
6.1

 
$
0

Corporate debt securities
99.8

 
40.1

Residential mortgage-backed securities
0

 
170.5

Other asset-backed securities
6.7

 
8.9

Redeemable preferred stocks
30.3

 
0

Total hybrid securities
$
142.9

 
$
219.5
Composition of Fixed Maturities by Maturity
 The composition of fixed maturities by maturity at December 31, 2017, was:
 
(millions)
Cost

 
Fair Value

Less than one year
$
3,964.1

 
$
3,980.0

One to five years
12,706.5

 
12,671.3

Five to ten years
3,294.4

 
3,306.9

Ten years or greater
244.9

 
243.5

Total
$
20,209.9

 
$
20,201.7
Gross Unrealized Losses by Major Security
The following tables show the composition of gross unrealized losses by major security type and by the length of time that individual securities have been in a continuous unrealized loss position:

 
Total No. of Sec.

Total
Fair
Value
Gross Unrealized Losses

Less than 12 Months
 
12 Months or Greater
($ in millions)
No. of Sec.

Fair
Value

Unrealized Losses

 
No. of Sec.

Fair
 Value

Unrealized Losses

December 31, 2017
 
 
 
 
 
 
 
 
 
 
Fixed maturities:
 
 
 
 
 
 
 
 
 
 
U.S. government obligations
58

$
5,817.0

$
(44.0
)
41

$
4,869.3

$
(34.6
)
 
17

$
947.7

$
(9.4
)
State and local government obligations
358

1,200.3

(9.3
)
230

737.6

(4.4
)
 
128

462.7

(4.9
)
Corporate debt securities
222

2,979.4

(14.4
)
171

2,072.9

(9.1
)
 
51

906.5

(5.3
)
Residential mortgage-backed securities
201

300.9

(3.4
)
30

75.1

(0.2
)
 
171

225.8

(3.2
)
Commercial mortgage-backed securities
105

1,682.3

(13.3
)
63

1,221.2

(5.9
)
 
42

461.1

(7.4
)
Other asset-backed securities
197

1,837.3

(4.5
)
134

1,377.8

(3.3
)
 
63

459.5

(1.2
)
Redeemable preferred stocks
2

21.8

(1.5
)
1

10.8

(0.1
)
 
1

11.0

(1.4
)
Total fixed maturities
1,143

13,839.0

(90.4
)
670

10,364.7

(57.6
)
 
473

3,474.3

(32.8
)
Equity securities:


 
 
 
 
 
 
 
 
 
Nonredeemable preferred stocks
4

127.8

(8.8
)
1

56.5

(0.5
)
 
3

71.3

(8.3
)
Common equities
19

13.4

(0.2
)
18

13.4

(0.2
)
 
1

0

0

Total equity securities
23

141.2

(9.0
)
19

69.9

(0.7
)
 
4

71.3

(8.3
)
Total portfolio
1,166

$
13,980.2

$
(99.4
)
689

$
10,434.6

$
(58.3
)
 
477

$
3,545.6

$
(41.1
)
 
 
Total No. of Sec.

Total
Fair
Value

Gross
Unrealized
Losses

Less than 12 Months
 
12 Months or Greater
($ in millions)
No. of Sec.

Fair
Value

Unrealized
Losses

 
No. of Sec.

Fair
Value

Unrealized
Losses

December 31, 2016
 
 
 
 
 
 
 
 
 
 
Fixed maturities:
 
 
 
 
 
 
 
 
 
 
U.S. government obligations
30

$
2,774.0

$
(29.1
)
30

$
2,774.0

$
(29.1
)
 
0

$
0

$
0

State and local government obligations
618

1,497.9

(20.7
)
584

1,404.3

(19.6
)
 
34

93.6

(1.1
)
Corporate debt securities
184

2,615.1

(24.3
)
175

2,559.9

(24.0
)
 
9

55.2

(0.3
)
Residential mortgage-backed securities
233

953.7

(15.6
)
117

209.7

(1.7
)
 
116

744.0

(13.9
)
Commercial mortgage-backed securities
111

1,347.3

(25.5
)
85

1,061.2

(22.9
)
 
26

286.1

(2.6
)
Other asset-backed securities
103

1,605.2

(4.4
)
89

1,423.3

(3.9
)
 
14

181.9

(0.5
)
Redeemable preferred stocks
2

31.0

(2.0
)
0

0

0

 
2

31.0

(2.0
)
Total fixed maturities
1,281

10,824.2

(121.6
)
1,080

9,432.4

(101.2
)
 
201

1,391.8

(20.4
)
Equity securities:
 
 
 
 
 
 
 
 
 
 
Nonredeemable preferred stocks
13

329.6

(16.1
)
8

175.2

(3.8
)
 
5

154.4

(12.3
)
Common equities
75

22.1

(2.1
)
69

19.7

(1.7
)
 
6

2.4

(0.4
)
Total equity securities
88

351.7

(18.2
)
77

194.9

(5.5
)
 
11

156.8

(12.7
)
Total portfolio
1,369

$
11,175.9

$
(139.8
)
1,157

$
9,627.3

$
(106.7
)
 
212

$
1,548.6

$
(33.1
)
Total Non-Credit Portion of Other-Than-Temporary Impairment Recorded in Accumulated Other Comprehensive Income, Reflecting Original Non-Credit Loss at the Time Credit Impairment
The following table shows the total non-credit portion of the OTTI recorded in accumulated other comprehensive income, reflecting the original non-credit loss at the time the credit impairment was determined (i.e., unadjusted for valuation changes subsequent to the original write-down):
 
 
December 31,
(millions)
2017

2016

Fixed maturities:
 
 
Residential mortgage-backed securities
$
(19.7
)
$
(43.3
)
Commercial mortgage-backed securities
(0.3
)
(0.6
)
Total fixed maturities
$
(20.0
)
$
(43.9
)
OTTI Credit Losses Recognized in Earnings
The following tables provide rollforwards of the amounts related to credit losses recognized in earnings for the periods ended December 31, 2017, 2016, and 2015, for which a portion of the OTTI losses were also recognized in accumulated other comprehensive income at the time the credit impairments were determined and recognized:
 
(millions)
Residential
Mortgage-
Backed

Commercial
Mortgage-
Backed

Total

Total at December 31, 2016
$
11.1

$
0.4

$
11.5

Credit losses for which an OTTI was not previously recognized
0

0.4

0.4

Reductions for securities sold/matured
(10.9
)
(0.3
)
(11.2
)
Change in recoveries of future cash flows expected to be collected1
(0.2
)
0

(0.2
)
Total at December 31, 2017
$
0

$
0.5

$
0.5

(millions)
Residential
Mortgage-
Backed

Commercial
Mortgage-
Backed

Total

Total at December 31, 2015
$
12.4

$
0.4

$
12.8

Credit losses for which an OTTI was not previously recognized
0

0

0

Reductions for securities sold/matured
0

0

0

Change in recoveries of future cash flows expected to be collected1
(1.3
)
0

(1.3
)
Total at December 31, 2016
$
11.1

$
0.4

$
11.5


(millions)
Residential
Mortgage-
Backed

Commercial
Mortgage-
Backed

Total

Total at December 31, 2014
$
12.7

$
0.4

$
13.1

Credit losses for which an OTTI was not previously recognized
0

0

0

Reductions for securities sold/matured
(1.4
)
0

(1.4
)
Change in recoveries of future cash flows expected to be collected1
1.1

0

1.1

Total at December 31, 2015
$
12.4

$
0.4

$
12.8


1 Reflects expected recovery of prior period impairments that will be accreted into income over the remaining life of the security.
Components of Net Realized Gains (Losses)
The components of net realized gains (losses) for the years ended December 31, were:
 
(millions)
2017

2016

2015

Gross realized gains on security sales
 
 
 
Fixed maturities:
 
 
 
U.S. government obligations
$
6.2

$
24.6

$
17.5

State and local government obligations
10.5

16.0

7.8

Corporate and other debt securities
20.3

43.3

31.2

Residential mortgage-backed securities
23.8

2.5

4.9

Commercial mortgage-backed securities
4.9

13.3

15.7

Other asset-backed securities
0.3

0

0

Redeemable preferred stocks
8.5

20.9

0.1

Total fixed maturities
74.5

120.6

77.2

Equity securities:
 
 
 
Nonredeemable preferred stocks
58.4

11.9

65.3

Common equities
43.0

61.3

50.4

         Short-term investments
0

0.1

0

Subtotal gross realized gains on security sales
175.9

193.9

192.9

Gross realized losses on security sales
 
 
 
Fixed maturities:
 
 
 
U.S. government obligations
(28.7
)
(2.4
)
(0.9
)
State and local government obligations
(0.1
)
(1.6
)
(0.3
)
Corporate and other debt securities
(5.1
)
(2.5
)
(5.0
)
Residential mortgage-backed securities
(0.4
)
(0.2
)
(0.8
)
Commercial mortgage-backed securities
(5.3
)
(5.6
)
(1.3
)
Other asset-backed securities
(0.4
)
0

0

Redeemable preferred stocks
(6.4
)
(6.6
)
0

Total fixed maturities
(46.4
)
(18.9
)
(8.3
)
Equity securities:
 
 
 
Nonredeemable preferred stocks
(5.9
)
(5.3
)
(3.2
)
Common equities
(12.2
)
(15.7
)
(38.4
)
         Short-term investments
(0.2
)
(0.1
)
0

Subtotal gross realized losses on security sales
(64.7
)
(40.0
)
(49.9
)
Net realized gains (losses) on security sales
 
 
 
Fixed maturities:
 
 
 
U.S. government obligations
(22.5
)
22.2

16.6

State and local government obligations
10.4

14.4

7.5

Corporate and other debt securities
15.2

40.8

26.2

Residential mortgage-backed securities
23.4

2.3

4.1

Commercial mortgage-backed securities
(0.4
)
7.7

14.4

Other asset-backed securities
(0.1
)
0

0

Redeemable preferred stocks
2.1

14.3

0.1

Total fixed maturities
28.1

101.7

68.9

Equity securities:
 
 
 
Nonredeemable preferred stocks
52.5

6.6

62.1

Common equities
30.8

45.6

12.0

         Short-term investments
(0.2
)
0

0

Subtotal net realized gains (losses) on security sales
111.2

153.9

143.0

Other-than-temporary impairment losses
 
 
 
Fixed maturities:
 
 
 
Commercial mortgage-backed securities
(0.4
)
0

0

Redeemable preferred stocks
0

(25.3
)
0

Total fixed maturities
(0.4
)
(25.3
)
0

Equity securities:
 
 
 
Common equities
(11.2
)
(0.3
)
(8.7
)
Subtotal investment other-than-temporary impairment losses
(11.6
)
(25.6
)
(8.7
)
Other asset impairment
(49.6
)
(59.7
)
0

       Subtotal other-than-temporary impairment losses
(61.2
)
(85.3
)
(8.7
)
Other gains (losses)
 
 
 
Hybrid securities
(1.6
)
2.1

(1.3
)
Derivative instruments
0

(20.0
)
(20.7
)
Litigation settlements
1.2

0.4

0.4

Subtotal other gains (losses)
(0.4
)
(17.5
)
(21.6
)
Total net realized gains (losses) on securities
$
49.6

$
51.1

$
112.7
Components of Net Investment Income
The components of net investment income for the years ended December 31, were:
 
(millions)
2017

2016

2015

Fixed maturities:
 
 
 
U.S. government obligations
$
72.7

$
18.2

$
28.3

State and local government obligations
51.5

52.3

60.7

Foreign government obligations
0.3

0.4

0.4

Corporate debt securities
125.2

110.7

102.4

Residential mortgage-backed securities
34.7

47.3

54.3

Commercial mortgage-backed securities
79.6

81.6

74.6

Other asset-backed securities
47.1

28.0

22.0

Redeemable preferred stocks
11.8

14.9

15.0

Total fixed maturities
422.9

353.4

357.7

Equity securities:
 
 
 
Nonredeemable preferred stocks
44.1

48.6

43.7

Common equities
58.3

57.2

51.0

Short-term investments
37.8

19.7

2.2

Investment income
563.1

478.9

454.6

Investment expenses
(23.9
)
(22.4
)
(22.8
)
Net investment income
$
539.2

$
456.5

$
431.8
Derivative Instruments
The following table shows the status of our derivative instruments at December 31, 2017 and 2016, and for the years ended December 31, 2017, 2016, and 2015:
 
(millions)
 
Balance Sheet2
Comprehensive
Income Statement
 
Notional Value1
 
 
Assets
(Liabilities)
Fair Value
Pretax Net Realized
Gains (Losses)
 
 
 
 
 
Years ended
 
December 31,
 
 
December 31,
December 31,
Derivatives
designated as:
2017

2016

2015

Purpose
Classification
2017

2016

2017

2016

2015

Hedging instruments
 
 
 
 
 
 
 
 
 
 
Closed:
 
 
 
 
 
 
 
 
 
 
Ineffective cash flow hedge
$
31

$
370

$
18

Manage
interest
rate risk
NA
$
0

$
0

$
0

$
(1.3
)
$
0.2

Non-hedging instruments
 
 
 
 
 
 
 
 
 
 
Assets:
 
 
 
 
 
 
 
 
 
 
Interest rate swaps
0

0

750

Manage
portfolio
duration
Investments - fixed
maturities
0

0

0

0

(23.4
)
Closed:
 
 
 
 
 
 
 
 
 
 
Interest rate swaps
0

750

0

Manage
portfolio
duration
NA
0

0

0

(19.0
)
0

U.S. Treasury Note futures
0

135

691

Manage
portfolio
duration
NA
0

0

0

0.3

2.5

Total
NA

NA

NA

 
 
$
0

$
0

$
0

$
(20.0
)
$
(20.7
)

1 The amounts represent the value held at year end for open positions and the maximum amount held during the year for closed positions.
2 To the extent we held both derivative assets and liabilities with the same counterparty that were subject to an enforceable master netting arrangement, we reported them on a gross basis on our balance sheets, consistent with our historical presentation.
NA = Not Applicable