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Investment Securities (Tables) | 9 Months Ended
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Sep. 30, 2011
Investment Securities |
Net investment income |
|  | Three Months Ended September 30, |  | Nine Months Ended September 30, |
Millions |  | 2011 |  | 2010 |  | 2011 |  | 2010 |
Investment income: |  |  |  |  |  |  |  |  |
Fixed maturity investments |  | $ | 38.5 |  | $ | 46.9 |  | $ | 127.0 |  | $ | 149.9 |
Short-term investments |  | .9 |  | .8 |  | 3.2 |  | 3.7 |
Common equity securities |  | 3.6 |  | 2.7 |  | 10.1 |  | 7.1 |
Convertible fixed maturity investments |  | 1.3 |  | .4 |  | 3.9 |  | 4.4 |
Other long-term investments |  | 1.2 |  | 1.1 |  | 1.9 |  | 1.6 |
Interest on funds held under reinsurance treaties |  | .2 |  | (.5 | ) | (.6 | ) | (2.2 | )
Total investment income |  | 45.7 |  | 51.4 |  | 145.5 |  | 164.5 |
Less third-party investment expenses |  | (2.9 | ) | (2.5 | ) | (7.4 | ) | (7.1 | )
Net investment income, pre-tax |  | $ | 42.8 |  | $ | 48.9 |  | $ | 138.1 |  | $ | 157.4 |
Schedule of Net Realized and Unrealized Investment Gains and Losses |
|  | Three Months Ended September 30, |  | Nine Months Ended September 30, |
Millions |  | 2011 |  | 2010 |  | 2011 |  | 2010 |
Net realized investment gains (losses), pre-tax |  | $ | 37.1 |  | $ | 31.4 |  | $ | 109.6 |  | $ | 93.7 |
Net unrealized investment gains (losses), pre-tax |  | (35.4 | ) | (19.8 | ) | (31.3 | ) | 11.0 |
Net realized and unrealized investment gains (losses), pre-tax |  | 1.7 |  | 11.6 |  | 78.3 |  | 104.7 |
Income taxes attributable to realized and unrealized investment gains (losses) |  | (1.1 | ) | (22.7 | ) | (23.7 | ) | (24.5 | )
Net realized and unrealized investment gains (losses), after-tax |  | $ | .6 |  | $ | (11.1 | ) | $ | 54.6 |  | $ | 80.2 |
Net realized investment gains (losses) |
|  | Three Months Ended September 30, |  | Nine Months Ended September 30, |
Millions |  | 2011 |  | 2010 |  | 2011 |  | 2010 |
Fixed maturity investments |  | $ | 14.0 |  | $ | 34.7 |  | $ | 33.6 |  | $ | 68.1 |
Short-term investments |  | — |  | — |  | — |  | — |
Common equity securities |  | 23.1 |  | (13.7 | ) | 41.0 |  | 6.7 |
Convertible fixed maturity investments |  | (.7 | ) | 6.2 |  | 6.3 |  | 19.9 |
Other long-term investments |  | .7 |  | 4.2 |  | 28.7 |  | (1.0 | )
Net realized investment gains (losses), pre-tax |  | 37.1 |  | 31.4 |  | 109.6 |  | 93.7 |
Income taxes attributable to realized investment gains (losses) |  | (8.0 | ) | (4.9 | ) | (31.7 | ) | (20.5 | )
Net realized investment gains (losses), after-tax |  | $ | 29.1 |  | $ | 26.5 |  | $ | 77.9 |  | $ | 73.2 |
Net unrealized investment gains (losses) |
|  | Three Months Ended September 30, 2011 |  | Nine Months Ended September 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 |  | $ | 3.5 |  | $ | 67.5 |  | $ | 71.0 |  | $ | 12.6 |  | $ | 77.7 |  | $ | 90.3 |
Short-term investments |  | (.1 | ) | (.4 | ) | (.5 | ) | (.1 | ) | (1.4 | ) | (1.5 | )
Common equity securities |  | (101.0 | ) | (.9 | ) | (101.9 | ) | (95.1 | ) | (1.8 | ) | (96.9 | )
Convertible fixed maturity investments |  | (11.2 | ) | — |  | (11.2 | ) | (19.3 | ) | — |  | (19.3 | )
Other long-term investments |  | (1.2 | ) | 8.4 |  | 7.2 |  | (8.4 | ) | 4.5 |  | (3.9 | )
Net unrealized investment gains (losses), pre-tax |  | (110.0 | ) | 74.6 |  | (35.4 | ) | (110.3 | ) | 79.0 |  | (31.3 | )
Income taxes attributable to unrealized investment gains (losses) |  | 26.4 |  | (19.5 | ) | 6.9 |  | 28.5 |  | (20.5 | ) | 8.0 |
Net unrealized investment gains (losses), after-tax |  | $ | (83.6 | ) | $ | 55.1 |  | $ | (28.5 | ) | $ | (81.8 | ) | $ | 58.5 |  | $ | (23.3 | )
|  | Three Months Ended September 30, 2010 |  | Nine Months Ended September 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 |  | $ | 3.3 |  | $ | (81.2 | ) | $ | (77.9 | ) | $ | 36.4 |  | $ | (53.6 | ) | $ | (17.2 | )
Short-term investments |  | — |  | 1.4 |  | 1.4 |  | — |  | .6 |  | .6 |
Common equity securities |  | 64.3 |  | (10.8 | ) | 53.5 |  | 31.8 |  | (9.7 | ) | 22.1 |
Convertible fixed maturity investments |  | 2.8 |  | — |  | 2.8 |  | (8.3 | ) | — |  | (8.3 | )
Other long-term investments |  | 9.0 |  | (8.6 | ) | .4 |  | 20.5 |  | (6.7 | ) | 13.8 |
Net unrealized investment gains (losses), pre-tax |  | 79.4 |  | (99.2 | ) | (19.8 | ) | 80.4 |  | (69.4 | ) | 11.0 |
Income taxes attributable to unrealized investment gains (losses) |  | (28.8 | ) | 11.0 |  | (17.8 | ) | (22.4 | ) | 18.4 |  | (4.0 | )
Net unrealized investment gains (losses), after-tax |  | $ | 50.6 |  | $ | (88.2 | ) | $ | (37.6 | ) | $ | 58.0 |  | $ | (51.0 | ) | $ | 7.0 |
Net unrealized investment gains (losses) for Level 3 investments |
|  | Three Months Ended September 30, |  | Nine Months Ended September 30, |
Millions |  | 2011 |  | 2010 |  | 2011 |  | 2010 |
Fixed maturities |  | $ | (13.5 | ) | $ | 3.3 |  | $ | (14.9 | ) | $ | 9.5 |
Common equity securities |  | (17.5 | ) | 2.5 |  | (17.0 | ) | (20.0 | )
Convertible fixed maturities |  | — |  | — |  | — |  | — |
Other long-term investments |  | (3.2 | ) | 8.5 |  | (6.5 | ) | 37.4 |
Total unrealized investment gains (losses), pre-tax - Level 3 investments |  | $ | (34.2 | ) | $ | 14.3 |  | $ | (38.4 | ) | $ | 26.9 |
Investment holdings, fixed maturity investments |
|  | September 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 |  | $ | 347.1 |  | $ | 5.8 |  | $ | (.2 | ) | $ | .4 |  | $ | 353.1 |
Debt securities issued by corporations |  | 1,990.0 |  | 76.6 |  | (11.9 | ) | (.8 | ) | 2,053.9 |
Municipal obligations |  | 2.4 |  | — |  | — |  | — |  | 2.4 |
Mortgage-backed and asset-backed securities |  | 2,200.8 |  | 29.8 |  | (4.9 | ) | 14.9 |  | 2,240.6 |
Foreign government, agency and provincial obligations |  | 653.0 |  | 14.1 |  | (.2 | ) | (.9 | ) | 666.0 |
Preferred stocks |  | 82.3 |  | 3.3 |  | (11.0 | ) | — |  | 74.6 |
Total fixed maturity investments(1) |  | $ | 5,275.6 |  | $ | 129.6 |  | $ | (28.2 | ) | $ | 13.6 |  | $ | 5,390.6 |
(1) Carrying value includes $102.9 that is classified as assets held for sale relating to AutoOne discontinued operations.
|  | 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 |
|  | September 30, 2011 |
Millions |  | Cost or amortized cost |  | Gross unrealized gains |  | Gross unrealized losses |  | Net foreign currency gains (losses) |  | Carrying value |
Common equity securities |  | $ | 661.0 |  | $ | 35.4 |  | $ | (26.6 | ) | $ | — |  | $ | 669.8 |
Convertible fixed maturities |  | $ | 143.7 |  | $ | 4.4 |  | $ | (7.6 | ) | $ | — |  | $ | 140.5 |
Other long-term investments |  | $ | 290.2 |  | $ | 56.2 |  | $ | (15.2 | ) | $ | (2.4 | ) | $ | 328.8 |
|  | 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 |
|  | September 30, 2011 |  | December 31, 2010 |
Millions |  | Fair Value |  | Unfunded Commitments |  | Fair Value |  | Unfunded Commitments |
Hedge funds |  |  |  |  |  |  |  |  |
Long/short equity |  | $ | 49.0 |  | $ | — |  | $ | 50.4 |  | $ | — |
Long/short credit & distressed |  | 32.3 |  | — |  | 34.1 |  | — |
Long diversified strategies |  | 22.0 |  | — |  | 24.0 |  | — |
Long/short equity REIT |  | 14.7 |  | — |  | 25.2 |  | — |
Long/short equity activist |  | 11.7 |  | — |  | 16.9 |  | — |
Long bank loan |  | .5 |  | — |  | 5.1 |  | — |
Total hedge funds |  | 130.2 |  |  |  | 155.7 |  | — |
Private equity funds |  |  |  |  |  |  |  |  |
Distressed residential real estate |  | 31.4 |  | — |  | 49.2 |  | — |
Energy infrastructure & services |  | 29.5 |  | 9.9 |  | 24.2 |  | 10.8 |
Multi-sector |  | 28.0 |  | 8.2 |  | 26.0 |  | 10.6 |
Manufacturing/Industrial |  | 17.0 |  | — |  | 17.9 |  | — |
Private equity secondaries |  | 11.3 |  | 4.0 |  | 10.4 |  | 4.4 |
Real estate |  | 10.2 |  | 3.3 |  | 9.1 |  | 4.6 |
International multi-sector, Europe |  | 8.0 |  | 4.7 |  | 10.5 |  | 5.3 |
International multi-sector, Asia |  | 3.6 |  | 2.7 |  | 4.9 |  | 2.7 |
Insurance |  | 3.6 |  | 41.3 |  | 3.9 |  | 41.3 |
Venture capital |  | 2.5 |  | .5 |  | 2.2 |  | 1.0 |
Healthcare |  | 2.3 |  | 7.0 |  | 1.5 |  | 8.0 |
Total private equity funds |  | 147.4 |  | 81.6 |  | 159.8 |  | 88.7 |
Total hedge and private equity funds included in other long-term investments |  | $ | 277.6 |  | $ | 81.6 |  | $ | 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 |  | $ | — |  | $ | — |  | $ | — |  | $ | 6.0 |  | $ | 6.0 |
Quarterly |  | 26.1 |  | 29.7 |  | 19.6 |  | — |  | 75.4 |
Semi-annual |  | — |  | 5.1 |  | — |  | 14.7 |  | 19.8 |
Annual |  | 21.9 |  | — |  | 6.6 |  | .5 |  | 29.0 |
Total |  | $ | 48.0 |  | $ | 34.8 |  | $ | 26.2 |  | $ | 21.2 |  | $ | 130.2 |
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 |  | $ | 47.3 |  | $ | — |  | $ | 83.1 |  | $ | 17.0 |  | $ | 147.4 |
Fair value measurements by level, investment securities |
|  | September 30, 2011 |
Millions |  | Fair value |  | Level 1 Inputs |  | Level 2 Inputs |  | Level 3 Inputs |
Fixed maturities: |  |  |  |  |  |  |  |  |
US Government and agency obligations |  | $ | 353.1 |  | $ | 343.5 |  | $ | 9.6 |  | $ | — |
Debt securities issued by corporations: |  |  |  |  |  |  |  |  |
Consumer |  | 719.0 |  | — |  | 719.0 |  | — |
Industrial |  | 425.3 |  | — |  | 425.3 |  | — |
Financials |  | 243.4 |  | 5.7 |  | 212.2 |  | 25.5 |
Communications |  | 211.0 |  | — |  | 211.0 |  | — |
Energy |  | 118.0 |  | — |  | 118.0 |  | — |
Basic materials |  | 160.1 |  | — |  | 160.1 |  | — |
Utilities |  | 148.3 |  | — |  | 148.3 |  | — |
Technology |  | 25.3 |  | — |  | 25.3 |  | — |
Diversified |  | 3.5 |  | — |  | 3.5 |  | — |
Total debt securities issued by corporations: |  | 2,053.9 |  | 5.7 |  | 2,022.7 |  | 25.5 |
Municipal obligations |  | 2.4 |  | — |  | 2.4 |  | — |
Mortgage-backed and asset-backed securities |  | 2,240.6 |  | — |  | 2,108.7 |  | 131.9 |
Foreign government, agency and provincial obligations |  | 666.0 |  | 64.5 |  | 601.5 |  | — |
Preferred stocks |  | 74.6 |  | — |  | 15.1 |  | 59.5 |
Total fixed maturities(2) |  | 5,390.6 |  | 413.7 |  | 4,760.0 |  | 216.9 |
Short-term investments |  | 772.8 |  | 759.0 |  | 13.8 |  | — |
Common equity securities: |  |  |  |  |  |  |  |  |
Financials |  | 191.6 |  | 159.4 |  | .5 |  | 31.7 |
Consumer |  | 166.0 |  | 164.8 |  | 1.2 |  | — |
Basic materials |  | 108.4 |  | 107.2 |  | 1.2 |  | — |
Energy |  | 57.5 |  | 57.5 |  | — |  | — |
Utilities |  | 40.7 |  | 40.7 |  | — |  | — |
Technology |  | 28.6 |  | 27.6 |  | 1.0 |  | — |
Other |  | 77.0 |  | 25.3 |  | 51.3 |  | .4 |
Total common equity securities |  | 669.8 |  | 582.5 |  | 55.2 |  | 32.1 |
Convertible fixed maturity investments |  | 140.5 |  | — |  | 140.5 |  | — |
Other long-term investments(1) |  | 292.2 |  | — |  | — |  | 292.2 |
Total investments |  | $ | 7,265.9 |  | $ | 1,755.2 |  | $ | 4,969.5 |  | $ | 541.2 |
(1) Excludes carrying value of $36.6 associated with other long-term investment limited partnerships accounted for using the equity method. (2) Carrying value includes $102.9 that is classified as assets held for sale relating to AutoOne discontinued operations.
|  | 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 |  | September 30, 2011 |  | December 31, 2010 |
AAA |  | $ | — |  | $ | — |
AA |  | 217.4 |  | 210.0 |
A |  | 765.0 |  | 833.7 |
BBB |  | 1,059.8 |  | 1,109.1 |
BB |  | 5.5 |  | 24.5 |
Other |  | 6.2 |  | .7 |
Debt securities issued by corporations |  | $ | 2,053.9 |  | $ | 2,178.0 |
Mortgage-backed, asset-backed securities |
|  | September 30, 2011 |  | December 31, 2010 |
Millions |  | Fair Value |  | Level 2 |  | Level 3 |  | Fair Value |  | Level 2 |  | Level 3 |
Mortgage-backed securities: |  |  |  |  |  |  |  |  |  |  |  |  |
Agency: |  |  |  |  |  |  |  |  |  |  |  |  |
GNMA |  | $ | 1,268.0 |  | $ | 1,136.1 |  | $ | 131.9 |  | $ | 1,143.6 |  | $ | 1,102.7 |  | $ | 40.9 |
FNMA |  | 268.9 |  | 268.9 |  | — |  | 234.9 |  | 234.9 |  | — |
FHLMC |  | 56.6 |  | 56.6 |  | — |  | 39.1 |  | 39.1 |  | — |
Total Agency(1) |  | 1,593.5 |  | 1,461.6 |  | 131.9 |  | 1,417.6 |  | 1,376.7 |  | 40.9 |
Non-agency: |  |  |  |  |  |  |  |  |  |  |  |  |
Residential |  | 68.0 |  | 68.0 |  | — |  | 90.6 |  | 74.5 |  | 16.1 |
Commercial |  | 243.5 |  | 243.5 |  | — |  | 87.0 |  | 87.0 |  | — |
Total Non-agency |  | 311.5 |  | 311.5 |  | — |  | 177.6 |  | 161.5 |  | 16.1 |
Total mortgage-backed securities |  | 1,905.0 |  | 1,773.1 |  | 131.9 |  | 1,595.2 |  | 1,538.2 |  | 57.0 |
Other asset-backed securities: |  |  |  |  |  |  |  |  |  |  |  |  |
Credit card receivables |  | 77.5 |  | 77.5 |  | — |  | 248.3 |  | 248.3 |  | — |
Vehicle receivables |  | 235.5 |  | 235.5 |  | — |  | 228.1 |  | 228.1 |  | — |
Other |  | 22.6 |  | 22.6 |  | — |  | .1 |  | .1 |  | — |
Total other asset-backed securities |  | 335.6 |  | 335.6 |  | — |  | 476.5 |  | 476.5 |  | — |
Total mortgage and asset-backed securities |  | $ | 2,240.6 |  | $ | 2,108.7 |  | $ | 131.9 |  | $ | 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 |  | 2009 |  | 2010 |  | 2011 |
Non-agency RMBS |  | $ | 68.0 |  | $ | 3.7 |  | $ | — |  | $ | 24.3 |  | $ | 29.5 |  | $ | — |  | $ | 10.5 |  | $ | — |
Non-agency CMBS |  | 243.5 |  | 2.4 |  | 14.7 |  | — |  | 17.1 |  | 11.3 |  | 2.2 |  | 195.8 |
Total |  | $ | 311.5 |  | $ | 6.1 |  | $ | 14.7 |  | $ | 24.3 |  | $ | 46.6 |  | $ | 11.3 |  | $ | 12.7 |  | $ | 195.8 |
Non-agency residential mortgage securities, collateral quality and tranche levels |
Millions |  | Fair Value |  | Super Senior (1) |  | Senior (2) |  | Subordinate(3) |
Prime |  | $ | 49.9 |  | $ | 23.2 |  | $ | 26.7 |  | $ | — |
Non-prime |  | 18.1 |  | 17.2 |  | .9 |  | — |
Sub-prime |  | — |  | — |  | — |  | — |
Total |  | $ | 68.0 |  | $ | 40.4 |  | $ | 27.6 |  | $ | — |
(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 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 or Aaa by Moody’s and were junior to AAA or 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 |  | $ | 201.8 |  | $ | 24.3 |  | $ | 177.5 |  | $ | — |
Floating rate CMBS |  | 41.7 |  | 31.8 |  | 9.9 |  | — |
Total |  | $ | 243.5 |  | $ | 56.1 |  | $ | 187.4 |  | $ | — |
(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 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 or Aaa by Moody’s and were junior to AAA or Aaa bonds.
Roll forward 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) |  | (50.5 | ) | 115.9 |  | (10.6 | ) | (4.9 | ) | — |  | 22.5 |  | 72.4 |
Foreign currency gains (losses) through OCI and other revenue |  | .3 |  | (84.4 | ) | (4.4 | ) | 1.6 |  | — |  | (5.0 | ) | (91.9 | )
Amortization/Accretion |  | 2.4 |  | (40.7 | ) | (.1 | ) |  |  | — |  |  |  | (38.4 | )
Purchases |  | 6,690.7 |  | 3,987.4 |  | 212.8 |  | 19.7 |  | — |  | 27.9 |  | 10,938.5 |
Sales |  | (6,782.1 | ) | (4,596.9 | ) | 1.6 |  | (55.5 | ) | — |  | (83.4 | ) | (11,516.3 | )
Transfers in |  | — |  | 111.8 |  | 1.0 |  | — |  | — |  | — |  | 112.8 |
Transfers out |  | — |  | (1.0 | ) | (111.8 | ) | — |  | — |  | — |  | (112.8 | )
Balance at September 30, 2011 |  | $ | 1,755.2 |  | $ | 4,969.5 |  | $ | 216.9 |  | $ | 32.1 |  | $ | — |  | $ | 292.2 | (1) | $ | 7,265.9 | (1)
(1) | Excludes carrying value of $36.6 and $41.9 at September 30, 2011 and January 1, 2011 associated with other long-term investment limited partnerships accounted for using the equity method.

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