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v2.3.0.11

Investment Securities (Tables) | 6 Months Ended
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Jun. 30, 2011
Investment Securities |
Net investment income |
|  | Three Months Ended June 30, |  | Six Months Ended June 30, |
Millions |  | 2011 |  | 2010 |  | 2011 |  | 2010 |
Investment income: |  |  |  |  |  |  |  |  |
Fixed maturity investments |  | $ | 42.6 |  | $ | 50.2 |  | $ | 88.5 |  | $ | 103.1 |
Short-term investments |  | 1.6 |  | 2.3 |  | 2.3 |  | 2.8 |
Common equity securities |  | 3.0 |  | 2.2 |  | 6.4 |  | 4.3 |
Convertible fixed maturity investments |  | 1.1 |  | 1.9 |  | 2.6 |  | 4.0 |
Other long-term investments |  | (.2 | ) | (.4 | ) | .7 |  | .5 |
Interest on funds held under reinsurance treaties |  | (.2 | ) | (.8 | ) | (.8 | ) | (1.6 | )
Total investment income |  | 47.9 |  | 55.4 |  | 99.7 |  | 113.1 |
Less third-party investment expenses |  | (2.1 | ) | (2.7 | ) | (4.4 | ) | (4.6 | )
Net investment income, pre-tax |  | $ | 45.8 |  | $ | 52.7 |  | $ | 95.3 |  | $ | 108.5 |
Net realized investment gains (losses) |
|  | Three Months Ended June 30, |  | Six Months Ended June 30, |
Millions |  | 2011 |  | 2010 |  | 2011 |  | 2010 |
Fixed maturity investments |  | $ | 18.1 |  | $ | 7.9 |  | $ | 19.5 |  | $ | 33.4 |
Short-term investments |  | — |  | — |  | — |  | — |
Common equity securities |  | 15.7 |  | 17.7 |  | 17.9 |  | 20.4 |
Convertible fixed maturity investments |  | 2.9 |  | 9.5 |  | 7.0 |  | 13.7 |
Other long-term investments |  | 8.4 |  | (2.6 | ) | 28.0 |  | (5.2 | )
Net realized investment gains (losses), pre-tax |  | 45.1 |  | 32.5 |  | 72.4 |  | 62.3 |
Income taxes attributable to realized investment gains (losses) |  | (11.1 | ) | (5.0 | ) | (23.7 | ) | (15.6 | )
Net realized investment gains (losses), after-tax |  | $ | 34.0 |  | $ | 27.5 |  | $ | 48.7 |  | $ | 46.7 |
Net unrealized investment gains (losses) |
|  | Three Months Ended June 30, 2011 |  | Six Months Ended June 30, 2011 |
Millions |  | Net unrealized gains (losses) |  | Net foreign exchange gains (losses) |  | Total changes in fair value reflected in earnings |  | Net unrealized gains (losses) |  | Net foreign exchange gains (losses) |  | Total changes in fair value reflected in earnings |
Fixed maturities |  | $ | 17.2 |  | $ | 25.5 |  | $ | 42.7 |  | $ | 9.2 |  | $ | 10.2 |  | $ | 19.4 |
Short-term investments |  | — |  | (.4 | ) | (.4 | ) | — |  | (1.0 | ) | (1.0 | )
Common equity securities |  | (18.8 | ) | (.1 | ) | (18.9 | ) | 5.9 |  | (.9 | ) | 5.0 |
Convertible fixed maturity investments |  | (6.0 | ) | — |  | (6.0 | ) | (8.1 | ) | — |  | (8.1 | )
Other long-term investments |  | (6.4 | ) | 1.2 |  | (5.2 | ) | (7.2 | ) | (3.9 | ) | (11.1 | )
Net unrealized investment gains (losses), pre-tax |  | (14.0 | ) | 26.2 |  | 12.2 |  | (.2 | ) | 4.4 |  | 4.2 |
Income taxes attributable to unrealized investment gains (losses) |  | 1.9 |  | (6.7 | ) | (4.8 | ) | 2.1 |  | (1.0 | ) | 1.1 |
Net unrealized investment gains (losses), after-tax |  | $ | (12.1 | ) | $ | 19.5 |  | $ | 7.4 |  | $ | 1.9 |  | $ | 3.4 |  | $ | 5.3 |
|  | Three Months Ended June 30, 2010 |  | Six Months Ended June 30, 2010 |
Millions |  | Net unrealized gains (losses) |  | Net foreign exchange gains (losses) |  | Total changes in fair value reflected in earnings |  | Net unrealized gains (losses) |  | Net foreign exchange gains (losses) |  | Total changes in fair value reflected in earnings |
Fixed maturities |  | $ | 8.5 |  | $ | 30.9 |  | $ | 39.4 |  | $ | 33.1 |  | $ | 27.6 |  | $ | 60.7 |
Short-term investments |  | (1.6 | ) | 1.1 |  | (.5 | ) | — |  | (.8 | ) | (.8 | )
Common equity securities |  | (46.4 | ) | 2.3 |  | (44.1 | ) | (32.5 | ) | 1.1 |  | (31.4 | )
Convertible fixed maturity investments |  | (13.9 | ) | — |  | (13.9 | ) | (11.1 | ) | — |  | (11.1 | )
Other long-term investments |  | (5.2 | ) | 2.9 |  | (2.3 | ) | 11.5 |  | 1.9 |  | 13.4 |
Net unrealized investment gains (losses), pre-tax |  | (58.6 | ) | 37.2 |  | (21.4 | ) | 1.0 |  | 29.8 |  | 30.8 |
Income taxes attributable to unrealized investment gains (losses) |  | (15.3 | ) | 9.7 |  | (5.6 | ) | 6.4 |  | 7.4 |  | 13.8 |
Net unrealized investment gains (losses), after-tax |  | $ | (73.9 | ) | $ | 46.9 |  | $ | (27.0 | ) | $ | 7.4 |  | $ | 37.2 |  | $ | 44.6 |
Net unrealized investment gains (losses) for Level 3 investments |
|  | Three Months Ended June 30, |  | Six Months Ended June 30, |
Millions |  | 2011 |  | 2010 |  | 2011 |  | 2010 |
Fixed maturities |  | $ | (3.3 | ) | $ | (3.4 | ) | $ | (1.4 | ) | $ | 6.2 |
Common equity securities |  | 1.3 |  | (19.1 | ) | (.5 | ) | (22.5 | )
Convertible fixed maturities |  | — |  | — |  | — |  | — |
Other long-term investments |  | (2.2 | ) | (7.5 | ) | (9.9 | ) | 28.9 |
Total unrealized investment gains (losses), pre-tax - Level 3 investments |  | $ | (4.2 | ) | $ | (30.0 | ) | $ | (11.8 | ) | $ | 12.6 |
Investment holdings, fixed maturity investments |
|  | June 30, 2011 |
Millions |  | Cost or amortized cost |  | Gross unrealized gains |  | Gross unrealized losses |  | Net foreign currency gains (losses) |  | Carrying value |
U.S. Government and agency obligations |  | $ | 290.6 |  | $ | 6.1 |  | $ | — |  | $ | (.5 | ) | $ | 296.2 |
Debt securities issued by corporations |  | 2,001.9 |  | 76.4 |  | (8.9 | ) | (36.6 | ) | 2,032.8 |
Municipal obligations |  | 3.3 |  | — |  | — |  | — |  | 3.3 |
Mortgage-backed and asset-backed securities |  | 2,306.9 |  | 21.1 |  | (4.8 | ) | (15.2 | ) | 2,308.0 |
Foreign government, agency and provincial obligations |  | 829.6 |  | 3.8 |  | (.4 | ) | (1.5 | ) | 831.5 |
Preferred stocks |  | 81.0 |  | 6.3 |  | — |  | (.2 | ) | 87.1 |
Total fixed maturity investments |  | $ | 5,513.3 |  | $ | 113.7 |  | $ | (14.1 | ) | $ | (54.0 | ) | $ | 5,558.9 |
|  | December 31, 2010 |
Millions |  | Cost or amortized cost |  | Gross unrealized gains |  | Gross unrealized losses |  | Net foreign currency gains (losses) |  | Carrying value |
U.S. Government and agency obligations |  | $ | 385.9 |  | $ | 13.6 |  | $ | (.8 | ) | $ | — |  | $ | 398.7 |
Debt securities issued by corporations |  | 2,149.2 |  | 87.9 |  | (21.1 | ) | (37.9 | ) | 2,178.1 |
Municipal obligations |  | 3.3 |  | .1 |  | (.1 | ) | — |  | 3.3 |
Mortgage-backed and asset-backed securities |  | 2,082.0 |  | 18.2 |  | (15.6 | ) | (12.9 | ) | 2,071.7 |
Foreign government, agency and provincial obligations |  | 1,053.6 |  | 7.7 |  | (6.6 | ) | (8.3 | ) | 1,046.4 |
Preferred stocks |  | 81.9 |  | 6.1 |  | — |  | (.1 | ) | 87.9 |
Total fixed maturity investments |  | $ | 5,755.9 |  | $ | 133.6 |  | $ | (44.2 | ) | $ | (59.2 | ) | $ | 5,786.1 |
Investment holdings, equity securities, convertible fixed maturities and other long-term investments |
|  | June 30, 2011 |
Millions |  | Cost or amortized cost |  | Gross unrealized gains |  | Gross unrealized losses |  | Net foreign currency gains (losses) |  | Carrying value |
Common equity securities |  | $ | 593.0 |  | $ | 115.7 |  | $ | (5.8 | ) | $ | .9 |  | $ | 703.8 |
Convertible fixed maturities |  | $ | 111.7 |  | $ | 9.7 |  | $ | (1.7 | ) | $ | — |  | $ | 119.7 |
Other long-term investments |  | $ | 301.9 |  | $ | 55.8 |  | $ | (13.7 | ) | $ | (10.7 | ) | $ | 333.3 |
|  | December 31, 2010 |
Millions |  | Cost or amortized cost |  | Gross unrealized gains |  | Gross unrealized losses |  | Net foreign currency gains (losses) |  | Carrying value |
Common equity securities |  | $ | 561.2 |  | $ | 105.5 |  | $ | (1.5 | ) | $ | 1.8 |  | $ | 667.0 |
Convertible fixed maturities |  | $ | 126.9 |  | $ | 16.2 |  | $ | (.1 | ) | $ | — |  | $ | 143.0 |
Other long-term investments |  | $ | 329.5 |  | $ | 62.4 |  | $ | (13.0 | ) | $ | (6.8 | ) | $ | 372.1 |
Other long-term investments |
|  | June 30, 2011 |  | December 31, 2010 |
Millions |  | Fair Value |  | Unfunded Commitments |  | Fair Value |  | Unfunded Commitments |
Hedge funds |  |  |  |  |  |  |  |  |
Long/short equity |  | $ | 51.1 |  | $ | — |  | $ | 50.4 |  | $ | — |
Long/short credit & distressed |  | 35.3 |  | — |  | 34.1 |  | — |
Long diversified strategies |  | 23.8 |  | — |  | 24.0 |  | — |
Long/short equity REIT |  | 14.9 |  | — |  | 25.2 |  | — |
Long/short equity activist |  | 13.1 |  | — |  | 16.9 |  | — |
Long bank loan |  | .9 |  | — |  | 5.1 |  | — |
Total hedge funds |  | 139.1 |  | — |  | 155.7 |  | — |
Private equity funds |  |  |  |  |  |  |  |  |
Distressed residential real estate |  | 34.3 |  | — |  | 49.2 |  | — |
Energy infrastructure & services |  | 27.5 |  | 9.9 |  | 24.2 |  | 10.8 |
Multi-sector |  | 26.8 |  | 9.1 |  | 26.0 |  | 10.6 |
Manufacturing/Industrial |  | 14.1 |  | — |  | 17.9 |  | — |
Private equity secondaries |  | 11.2 |  | 4.0 |  | 10.4 |  | 4.4 |
Real estate |  | 9.8 |  | 4.2 |  | 9.1 |  | 4.6 |
International multi-sector, Europe |  | 8.3 |  | 5.1 |  | 10.5 |  | 5.3 |
International multi-sector, Asia |  | 3.8 |  | 2.7 |  | 4.9 |  | 2.7 |
Insurance |  | 3.6 |  | 41.3 |  | 3.9 |  | 41.3 |
Venture capital |  | 2.6 |  | .5 |  | 2.2 |  | 1.0 |
Healthcare |  | 2.4 |  | 7.0 |  | 1.5 |  | 8.0 |
Total private equity funds |  | 144.4 |  | 83.8 |  | 159.8 |  | 88.7 |
Total hedge and private equity funds included in other long-term investments |  | $ | 283.5 |  | $ | 83.8 |  | $ | 315.5 |  | $ | 88.7 |
Fair value of hedge funds subject to restrictions on redemption frequency and advance notice period requirements for investments in active hedge funds |
|  | Notice Period |
Millions Redemption frequency |  | 30-59 days notice |  | 60-89 days notice |  | 90-119 days notice |  | 120+ days notice |  | Total |
Monthly |  | $ | — |  | $ | — |  | $ | — |  | $ | 5.7 |  | $ | 5.7 |
Quarterly |  | 27.7 |  | 32.9 |  | 20.1 |  | — |  | 80.7 |
Semi-annual |  | — |  | 5.5 |  | — |  | 14.9 |  | 20.4 |
Annual |  | 23.7 |  | — |  | 7.7 |  | .9 |  | 32.3 |
Total |  | $ | 51.4 |  | $ | 38.4 |  | $ | 27.8 |  | $ | 21.5 |  | $ | 139.1 |
Fair Value of private equity funds subject to lock-up periods |
Millions |  | 1-3 years |  | 3 – 5 years |  | 5 – 10 years |  | >10 years |  | Total |
Private Equity Funds — expected lock-up period remaining |  | $ | 50.8 |  | $ | — |  | $ | 79.5 |  | $ | 14.1 |  | $ | 144.4 |
Fair value measurements by level, investment securities |
|  | June 30, 2011 |
Millions |  | Fair value |  | Level 1 Inputs |  | Level 2 Inputs |  | Level 3 Inputs |
Fixed maturities: |  |  |  |  |  |  |  |  |
US Government and agency obligations |  | $ | 296.2 |  | $ | 286.6 |  | $ | 9.6 |  | $ | — |
Debt securities issued by corporations: |  |  |  |  |  |  |  |  |
Consumer |  | 708.6 |  | — |  | 708.6 |  | — |
Industrial |  | 452.7 |  | — |  | 452.7 |  | — |
Financials |  | 239.7 |  | 6.4 |  | 233.3 |  | — |
Communications |  | 220.5 |  | — |  | 220.5 |  | — |
Energy |  | 87.5 |  | — |  | 87.5 |  | — |
Basic materials |  | 159.4 |  | — |  | 159.4 |  | — |
Utilities |  | 141.9 |  | — |  | 141.9 |  | — |
Technology |  | 22.5 |  | — |  | 22.5 |  | — |
Total debt securities issued by corporations: |  | 2,032.8 |  | 6.4 |  | 2,026.4 |  | — |
Municipal obligations |  | 3.3 |  | — |  | 3.3 |  | — |
Mortgage-backed and asset-backed securities |  | 2,308.0 |  | — |  | 2,255.2 |  | 52.8 |
Foreign government, agency and provincial obligations |  | 831.5 |  | 83.9 |  | 747.6 |  | — |
Preferred stocks |  | 87.1 |  | — |  | 16.9 |  | 70.2 |
Total fixed maturities |  | 5,558.9 |  | 376.9 |  | 5,059.0 |  | 123.0 |
Short-term investments |  | 813.5 |  | 723.4 |  | 90.1 |  | — |
Common equity securities: |  |  |  |  |  |  |  |  |
Financials |  | 239.6 |  | 169.4 |  | .6 |  | 69.6 |
Consumer |  | 150.8 |  | 149.1 |  | 1.2 |  | .5 |
Basic materials |  | 91.7 |  | 90.5 |  | 1.2 |  | — |
Energy |  | 64.6 |  | 64.6 |  | — |  | — |
Utilities |  | 46.3 |  | 42.3 |  | — |  | 4.0 |
Technology |  | 34.4 |  | 33.5 |  | .9 |  | — |
Other |  | 76.4 |  | 18.1 |  | 57.9 |  | .4 |
Total common equity securities |  | 703.8 |  | 567.5 |  | 61.8 |  | 74.5 |
Convertible fixed maturity investments |  | 119.7 |  | — |  | 119.7 |  | — |
Other long-term investments(1) |  | 298.0 |  | — |  | — |  | 298.0 |
Total investments |  | $ | 7,493.9 |  | $ | 1,667.8 |  | $ | 5,330.6 |  | $ | 495.5 |
(1) Excludes carrying value of $35.3 associated with other long-term investment limited partnerships accounted for using the equity method.
|  | December 31, 2010 |
Millions |  | Fair value |  | Level 1 Inputs |  | Level 2 Inputs |  | Level 3 Inputs |
Fixed maturities: |  |  |  |  |  |  |  |  |
US Government and agency obligations |  | $ | 398.7 |  | $ | 388.9 |  | $ | 9.8 |  | $ | — |
Debt securities issued by corporations: |  |  |  |  |  |  |  |  |
Consumer |  | 769.0 |  | — |  | 769.0 |  | — |
Industrial |  | 511.3 |  | — |  | 511.3 |  | — |
Financials |  | 265.8 |  | 6.3 |  | 259.5 |  | — |
Communications |  | 226.3 |  | — |  | 226.3 |  | — |
Basic materials |  | 125.3 |  | — |  | 125.3 |  | — |
Utilities |  | 106.7 |  | — |  | 106.7 |  | — |
Energy |  | 151.5 |  | — |  | 151.5 |  | — |
Technology |  | 22.1 |  | — |  | 22.1 |  | — |
Total debt securities issued by corporations: |  | 2,178.0 |  | 6.3 |  | 2,171.7 |  | — |
Municipal obligations |  | 3.3 |  | — |  | 3.3 |  |  |
Mortgage-backed and asset-backed securities |  | 2,071.7 |  | — |  | 2,014.7 |  | 57.0 |
Foreign government, agency and provincial obligations |  | 1,046.5 |  | 82.6 |  | 963.9 |  | — |
Preferred stocks |  | 87.9 |  | — |  | 16.5 |  | 71.4 |
Total fixed maturities |  | 5,786.1 |  | 477.8 |  | 5,179.9 |  | 128.4 |
Short-term investments |  | 975.3 |  | 878.7 |  | 96.6 |  | — |
Common equity securities: |  |  |  |  |  |  |  |  |
Financials |  | 221.6 |  | 152.6 |  | 1.2 |  | 67.8 |
Consumer |  | 123.3 |  | 122.5 |  | .8 |  | — |
Basic materials |  | 98.8 |  | 97.1 |  | 1.7 |  | — |
Energy |  | 60.2 |  | 60.2 |  | — |  | — |
Utilities |  | 47.6 |  | 44.6 |  | — |  | 3.0 |
Technology |  | 31.8 |  | 30.4 |  | 1.4 |  | — |
Other |  | 83.7 |  | 30.5 |  | 52.8 |  | .4 |
Total common equity securities |  | 667.0 |  | 537.9 |  | 57.9 |  | 71.2 |
Convertible fixed maturity investments |  | 143.0 |  | — |  | 143.0 |  | — |
Other long-term investments(1) |  | 330.2 |  | — |  | — |  | 330.2 |
Total investments |  | $ | 7,901.6 |  | $ | 1,894.4 |  | $ | 5,477.4 |  | $ | 529.8 |
(1) Excludes carrying value of $41.9 associated with other long-term investment limited partnerships accounted for using the equity method.
Debt securities issued by corporations, credit ratings |
Millions |  | June 30, 2011 |  | December 31, 2010 |
AAA |  | $ | — |  | $ | — |
AA |  | 114.2 |  | 210.0 |
A |  | 846.1 |  | 833.7 |
BBB |  | 1,050.0 |  | 1,109.1 |
BB |  | 15.6 |  | 24.5 |
Other |  | 6.9 |  | .7 |
Debt securities issued by corporations |  | $ | 2,032.8 |  | $ | 2,178.0 |
Mortgage-backed, asset-backed securities |
|  | June 30, 2011 |  | December 31, 2010 |
Millions |  | Fair Value |  | Level 2 |  | Level 3 |  | Fair Value |  | Level 2 |  | Level 3 |
Mortgage-backed securities: |  |  |  |  |  |  |  |  |  |  |  |  |
Agency: |  |  |  |  |  |  |  |  |  |  |  |  |
GNMA |  | $ | 1,222.8 |  | $ | 1,170.7 |  | $ | 52.1 |  | $ | 1,143.6 |  | $ | 1,102.7 |  | $ | 40.9 |
FNMA |  | 264.4 |  | 263.7 |  | .7 |  | 234.9 |  | 234.9 |  | — |
FHLMC |  | 67.5 |  | 67.5 |  | — |  | 39.1 |  | 39.1 |  | — |
Total Agency(1) |  | 1,554.7 |  | 1,501.9 |  | 52.8 |  | 1,417.6 |  | 1,376.7 |  | 40.9 |
Non-agency: |  |  |  |  |  |  |  |  |  |  |  |  |
Residential |  | 108.1 |  | 108.1 |  | — |  | 90.6 |  | 74.5 |  | 16.1 |
Commercial |  | 111.4 |  | 111.4 |  | — |  | 87.0 |  | 87.0 |  | — |
Total Non-agency |  | 219.5 |  | 219.5 |  | — |  | 177.6 |  | 161.5 |  | 16.1 |
Total mortgage-backed securities |  | 1,774.2 |  | 1,721.4 |  | 52.8 |  | 1,595.2 |  | 1,538.2 |  | 57.0 |
Other asset-backed securities: |  |  |  |  |  |  |  |  |  |  |  |  |
Credit card receivables |  | 223.7 |  | 223.7 |  | — |  | 248.3 |  | 248.3 |  | — |
Vehicle receivables |  | 285.8 |  | 285.8 |  | — |  | 228.1 |  | 228.1 |  | — |
Other |  | 24.3 |  | 24.3 |  | — |  | .1 |  | .1 |  | — |
Total other asset-backed securities |  | 533.8 |  | 533.8 |  | — |  | 476.5 |  | 476.5 |  | — |
Total mortgage and asset-backed securities |  | $ | 2,308.0 |  | $ | 2,255.2 |  | $ | 52.8 |  | $ | 2,071.7 |  | $ | 2,014.7 |  | $ | 57.0 |
(1) Represents publicly traded mortgage-backed securities which carry the full faith and credit guaranty of the U.S. government (i.e., GNMA) or are guaranteed by a government sponsored entity (i.e., FNMA, FHLMC).
Schedule of security issuance years of investments in non-agency RMBS and non-agency CMBS securities |
|  |  |  | Security Issuance Year |
Millions |  | Fair Value |  | 2003 |  | 2005 |  | 2006 |  | 2007 |  | 2010 |  | 2011 |
Non-agency RMBS |  | $ | 108.1 |  | $ | 3.8 |  | $ | — |  | $ | 42.6 |  | $ | 29.6 |  | $ | 10.5 |  | $ | 21.6 |
Non-agency CMBS |  | 111.4 |  | 3.0 |  | 22.8 |  | — |  | 16.4 |  | — |  | 69.2 |
Total |  | $ | 219.5 |  | $ | 6.8 |  | $ | 22.8 |  | $ | 42.6 |  | $ | 46.0 |  | $ | 10.5 |  | $ | 90.8 |
Non-agency residential mortgage securities, collateral quality and tranche levels |
Millions |  | Fair Value |  | Super Senior (1) |  | Senior (2) |  | Subordinate(3) |
Prime |  | $ | 90.1 |  | $ | 27.2 |  | $ | 62.9 |  | $ | — |
Non-prime |  | 18.0 |  | 17.1 |  | .9 |  | — |
Sub-prime |  | — |  | — |  | — |  | — |
Total |  | $ | 108.1 |  | $ | 44.3 |  | $ | 63.8 |  | $ | — |
(1) At issuance, Super Senior were rated AAA by Standard & Poor’s or Aaa by Moody’s and were senior to other AAA or Aaa bonds. (2) At issuance, Senior were rated AAA by Standard & Poor’s and were senior to non-AAA bonds. (3) At issuance, Subordinate were not rated AAA by Standard & Poor’s and were junior to AAA bonds.
Non-agency commercial mortgage securities, type of interest rate and tranche levels |
Millions |  | Fair Value |  | Super Senior (1) |  | Senior(2) |  | Subordinate(3) |
Fixed rate CMBS |  | $ | 80.5 |  | $ | 8.4 |  | $ | 72.1 |  | $ | — |
Floating rate CMBS |  | 30.9 |  | 30.9 |  | — |  | — |
Total |  | $ | 111.4 |  | $ | 39.3 |  | $ | 72.1 |  | $ | — |
(1) At issuance, Super Senior were rated AAA by Standard & Poor’s and were senior to other AAA bonds. (2) At issuance, Senior were rated AAA by Standard & Poor’s or Aaa by Moody’s and were senior to non-AAA or non-Aaa bonds. (3) At issuance, Subordinate were not rated AAA by Standard & Poor’s and were junior to AAA bonds.
Rollforward of fair value investments by level |
|  |  |  |  |  | Level 3 Investments |  |  |
Millions |  | Level 1 Investments |  | Level 2 Investments |  | Fixed Maturities |  | Common equity securities |  | Convertible fixed maturities |  | Other long- term investments |  | Total |
Balance at January 1, 2011 |  | $ | 1,894.4 |  | $ | 5,477.4 |  | $ | 128.4 |  | $ | 71.2 |  | $ | — |  | $ | 330.2 | (1) | $ | 7,901.6 | (1)
Total realized and unrealized gains (losses) |  | 21.9 |  | 38.8 |  | (1.6 | ) | (1.6 | ) | — |  | 13.5 |  | 71.0 |
Foreign currency gains (losses) through OCI and other revenue |  | 6.6 |  | 65.7 |  | — |  | 1.0 |  | — |  | 5.5 |  | 78.8 |
Amortization/Accretion |  | 2.3 |  | (27.8 | ) | — |  | — |  | — |  | — |  | (25.5 | )
Purchases |  | 4,058.3 |  | 2,796.9 |  | 52.7 |  | 3.9 |  | — |  | 25.8 |  | 6,937.6 |
Sales |  | (4,315.7 | ) | (3,076.9 | ) | — |  | — |  | — |  | (77.0 | ) | (7,469.6 | )
Transfers in |  | — |  | 57.5 |  | 1.0 |  | — |  | — |  | — |  | 58.5 |
Transfers out |  | — |  | (1.0 | ) | (57.5 | ) | — |  | — |  | — |  | (58.5 | )
Balance at June 30, 2011 |  | $ | 1,667.8 |  | $ | 5,330.6 |  | $ | 123.0 |  | $ | 74.5 |  | $ | — |  | $ | 298.0 | (1) | $ | 7,493.9 | (1)
(1) Excludes carrying value of $35.3 and $41.9 at June 30, 2011 and January 1, 2011 associated with other long-term investment limited partnerships accounted for using the equity method.

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