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Investment Securities (Tables) | 3 Months Ended
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Mar. 31, 2012
Investment Securities |
Pre-tax net investment income |
|  | Three Months Ended March 31, |
Millions |  | 2012 |  | 2011 |
Investment income: |  |  |  |  |
Fixed maturity investments |  | $ | 36.7 |  | $ | 46.0 |
Short-term investments |  | 1.0 |  | .7 |
Common equity securities |  | 4.4 |  | 3.5 |
Convertible fixed maturity investments |  | 1.9 |  | 1.4 |
Other long-term investments |  | .8 |  | .8 |
Interest on funds held under reinsurance treaties |  | — |  | (.6 | )
Total investment income |  | 44.8 |  | 51.8 |
Less third-party investment expenses |  | (3.0 | ) | (2.3 | )
Net investment income, pre-tax |  | $ | 41.8 |  | $ | 49.5 |
Net Realized and Unrealized Investment Gains and Losses |
|  | Three Months Ended March 31, |
Millions |  | 2012 |  | 2011 |
Net realized investment gains (losses), pre-tax |  | $ | 39.2 |  | $ | (1.2 | )
Net unrealized investment gains (losses), pre-tax |  | 19.4 |  | (8.0 | )
Net realized and unrealized investment gains (losses), pre-tax |  | 58.6 |  | (9.2 | )
Income taxes attributable to realized and unrealized investment gains (losses) |  | (14.0 | ) | .9 |
Net realized and unrealized investment gains (losses), after-tax |  | $ | 44.6 |  | $ | (8.3 | )
Net realized investment gains (losses) |
|  | Three Months Ended March 31, |
Millions |  | 2012 |  | 2011 |
Fixed maturity investments |  | $ | 31.5 |  | $ | (13.6 | )
Short-term investments |  | (.3 | ) | (12.2 | )
Common equity securities |  | 4.2 |  | 2.3 |
Convertible fixed maturity investments |  | 1.5 |  | 4.1 |
Other long-term investments |  | 2.3 |  | 18.2 |
Net realized investment gains (losses), pre-tax |  | 39.2 |  | (1.2 | )
Income taxes attributable to realized investment gains (losses) |  | (11.7 | ) | (5.0 | )
Net realized investment gains (losses), after-tax |  | $ | 27.5 |  | $ | (6.2 | )
Net unrealized investment gains (losses) |
|  | Three Months Ended March 31, 2012 |  | Three Months Ended March 31, 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 |  | $ | (2.9 | ) | $ | (19.3 | ) | $ | (22.2 | ) | $ | (8.0 | ) | $ | (15.3 | ) | $ | (23.3 | )
Short-term investments |  | — |  | — |  | — |  | — |  | (.6 | ) | (.6 | )
Common equity securities |  | 32.4 |  | — |  | 32.4 |  | 24.7 |  | (.8 | ) | 23.9 |
Convertible fixed maturity investments |  | 4.7 |  | — |  | 4.7 |  | (2.1 | ) | — |  | (2.1 | )
Other long-term investments |  | 7.8 |  | (3.3 | ) | 4.5 |  | (.8 | ) | (5.1 | ) | (5.9 | )
Net unrealized investment gains (losses), pre-tax |  | 42.0 |  | (22.6 | ) | 19.4 |  | 13.8 |  | (21.8 | ) | (8.0 | )
Income taxes attributable to unrealized investment gains (losses) |  | (8.2 | ) | 5.9 |  | (2.3 | ) | .2 |  | 5.7 |  | 5.9 |
Net unrealized investment gains (losses), after-tax |  | $ | 33.8 |  | $ | (16.7 | ) | $ | 17.1 |  | $ | 14.0 |  | $ | (16.1 | ) | $ | (2.1 | )
Net unrealized investment gains (losses) for Level 3 investments |
|  | Three Months Ended March 31, |
Millions |  | 2012 |  | 2011 |
Fixed maturities |  | $ | 7.8 |  | $ | 1.9 |
Common equity securities |  | .5 |  | (1.8 | )
Convertible fixed maturities |  | — |  | — |
Other long-term investments |  | 7.2 |  | (7.7 | )
Total unrealized investment gains (losses), pre-tax - Level 3 investments |  | $ | 15.5 |  | $ | (7.6 | )
Investment holdings, fixed maturity investments |
|  | March 31, 2012 |
Millions |  | Cost or amortized cost |  | Gross unrealized gains |  | Gross unrealized losses |  | Net foreign currency gains (losses) |  | Carrying value |
U.S. Government and agency obligations |  | $ | 265.1 |  | $ | 1.8 |  | $ | — |  | $ | — |  | $ | 266.9 |
Debt securities issued by corporations |  | 2,269.8 |  | 79.5 |  | (4.5 | ) | (12.4 | ) | 2,332.4 |
Municipal obligations |  | 2.7 |  | — |  | — |  | — |  | 2.7 |
Mortgage-backed and asset-backed securities |  | 2,138.4 |  | 15.3 |  | (3.5 | ) | 1.0 |  | 2,151.2 |
Foreign government, agency and provincial obligations |  | 569.4 |  | 7.5 |  | (1.5 | ) | (3.8 | ) | 571.6 |
Preferred stocks |  | 82.4 |  | 4.5 |  | (.3 | ) | (.1 | ) | 86.5 |
Total fixed maturity investments |  | $ | 5,327.8 |  | $ | 108.6 |  | $ | (9.8 | ) | $ | (15.3 | ) | $ | 5,411.3 |
|  | December 31, 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 |  | $ | 299.4 |  | $ | 5.3 |  | $ | (.1 | ) | $ | .4 |  | $ | 305.0 |
Debt securities issued by corporations |  | 2,072.1 |  | 73.7 |  | (7.8 | ) | (2.9 | ) | 2,135.1 |
Municipal obligations |  | 2.7 |  | — |  | — |  | — |  | 2.7 |
Mortgage-backed and asset-backed securities |  | 3,190.5 |  | 25.9 |  | (3.9 | ) | 10.4 |  | 3,222.9 |
Foreign government, agency and provincial obligations |  | 581.2 |  | 11.0 |  | (.1 | ) | (2.9 | ) | 589.2 |
Preferred stocks |  | 82.3 |  | 3.2 |  | (6.7 | ) | — |  | 78.8 |
Total fixed maturity investments including assets held for sale |  | $ | 6,228.2 |  | $ | 119.1 |  | $ | (18.6 | ) | $ | 5.0 |  | $ | 6,333.7 |
Fixed maturity investments reclassified to assets held for sale related to AutoOne |  |  |  |  |  |  |  |  |  | (111.8 | )
Total fixed maturity investments |  |  |  |  |  |  |  |  |  | $ | 6,221.9 |
Investment holdings, equity securities, convertible fixed maturities and other long-term investments |
|  | March 31, 2012 |
Millions |  | Cost or amortized cost |  | Gross unrealized gains |  | Gross unrealized losses |  | Net foreign currency gains (losses) |  | Carrying value |
Common equity securities |  | $ | 773.0 |  | $ | 108.6 |  | $ | (12.9 | ) | $ | — |  | $ | 868.7 |
Convertible fixed maturity investments |  | $ | 143.4 |  | $ | 9.8 |  | $ | (.4 | ) | $ | — |  | $ | 152.8 |
Other long-term investments |  | $ | 275.3 |  | $ | 58.6 |  | $ | (20.5 | ) | $ | (6.7 | ) | $ | 306.7 |
|  | December 31, 2011 |
Millions |  | Cost or amortized cost |  | Gross unrealized gains |  | Gross unrealized losses |  | Net foreign currency gains (losses) |  | Carrying value |
Common equity securities |  | $ | 691.7 |  | $ | 72.0 |  | $ | (8.7 | ) | $ | — |  | $ | 755.0 |
Convertible fixed maturity investments |  | $ | 139.2 |  | $ | 6.2 |  | $ | (1.6 | ) | $ | — |  | $ | 143.8 |
Other long-term investments |  | $ | 274.4 |  | $ | 55.5 |  | $ | (25.2 | ) | $ | (3.4 | ) | $ | 301.3 |
Other long-term investments |
|  | March 31, 2012 |  | December 31, 2011 |
Millions |  | Fair Value |  | Unfunded Commitments |  | Fair Value |  | Unfunded Commitments |
Hedge funds |  |  |  |  |  |  |  |  |
Long/short equity |  | $ | 52.8 |  | $ | — |  | $ | 48.8 |  | $ | — |
Long/short credit & distressed |  | 33.6 |  | — |  | 32.3 |  | — |
Long diversified strategies |  | 16.9 |  | — |  | 16.9 |  | — |
Long/short equity REIT |  | 14.2 |  | — |  | 14.5 |  | — |
Long/short equity activist |  | 13.5 |  | — |  | 12.3 |  | — |
Long bank loan |  | .4 |  | — |  | .5 |  | — |
Total hedge funds |  | 131.4 |  | — |  | 125.3 |  | — |
Private equity funds |  |  |  |  |  |  |  |  |
Multi-sector |  | 28.3 |  | 7.7 |  | 26.9 |  | 8.2 |
Energy infrastructure & services |  | 26.4 |  | 9.4 |  | 28.0 |  | 9.9 |
Distressed residential real estate |  | 24.4 |  | — |  | 27.4 |  | — |
Real estate |  | 12.2 |  | 3.3 |  | 9.5 |  | 3.3 |
Private equity secondaries |  | 10.9 |  | 3.6 |  | 11.3 |  | 4.0 |
International multi-sector, Europe |  | 6.5 |  | 4.9 |  | 7.8 |  | 4.7 |
Manufacturing/Industrial |  | 6.5 |  | — |  | 6.2 |  | — |
Healthcare |  | 3.5 |  | 6.4 |  | 2.3 |  | 7.0 |
International multi-sector, Asia |  | 3.3 |  | 2.7 |  | 3.6 |  | 2.6 |
Insurance |  | 3.3 |  | 41.3 |  | 3.5 |  | 41.3 |
Venture capital |  | 2.6 |  | .5 |  | 2.4 |  | .5 |
Total private equity funds |  | 127.9 |  | 79.8 |  | 128.9 |  | 81.5 |
Total hedge and private equity funds included in other long-term investments |  | $ | 259.3 |  | $ | 79.8 |  | $ | 254.2 |  | $ | 81.5 |
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 |  | $ | — |  | $ | — |  | $ | — |  | $ | 6.6 |  | $ | 6.6 |
Quarterly |  | 27.6 |  | 31.8 |  | 20.4 |  | — |  | 79.8 |
Semi-annual |  | — |  | 5.4 |  | — |  | 14.2 |  | 19.6 |
Annual |  | 16.9 |  | — |  | 8.1 |  | .4 |  | 25.4 |
Total |  | $ | 44.5 |  | $ | 37.2 |  | $ | 28.5 |  | $ | 21.2 |  | $ | 131.4 |
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 |  | $ | 38.2 |  | $ | 15.4 |  | $ | 67.8 |  | $ | 6.5 |  | $ | 127.9 |
Fair value measurements by level, investment securities |
|  | March 31, 2012 |
Millions |  | Fair value |  | Level 1 Inputs |  | Level 2 Inputs |  | Level 3 Inputs |
Fixed maturity investments: |  |  |  |  |  |  |  |  |
US Government and agency obligations |  | $ | 266.9 |  | $ | 259.9 |  | $ | 7.0 |  | $ | — |
Debt securities issued by corporations: |  |  |  |  |  |  |  |  |
Consumer |  | 746.6 |  | — |  | 725.6 |  | 21.0 |
Industrial |  | 436.8 |  | — |  | 436.8 |  | — |
Financials |  | 315.2 |  | 3.1 |  | 312.1 |  | — |
Communications |  | 262.7 |  | — |  | 262.7 |  | — |
Energy |  | 193.1 |  | — |  | 193.1 |  | — |
Basic materials |  | 183.3 |  | — |  | 183.3 |  | — |
Utilities |  | 165.9 |  | — |  | 165.9 |  | — |
Technology |  | 25.1 |  | — |  | 25.1 |  | — |
Diversified |  | 3.7 |  | — |  | 3.7 |  | — |
Total debt securities issued by corporations: |  | 2,332.4 |  | 3.1 |  | 2,308.3 |  | 21.0 |
Municipal obligations |  | 2.7 |  | — |  | 2.7 |  | — |
Mortgage-backed and asset-backed securities |  | 2,151.2 |  | — |  | 2,062.9 |  | 88.3 |
Foreign government, agency and provincial obligations |  | 571.6 |  | 65.6 |  | 506.0 |  | — |
Preferred stocks |  | 86.5 |  | — |  | 16.7 |  | 69.8 |
Total fixed maturity investments |  | 5,411.3 |  | 328.6 |  | 4,903.6 |  | 179.1 |
Short-term investments |  | 877.5 |  | 877.5 |  | — |  | — |
Common equity securities: |  |  |  |  |  |  |  |  |
Financials |  | 296.0 |  | 261.9 |  | 1.2 |  | 32.9 |
Consumer |  | 197.5 |  | 197.1 |  | .4 |  | — |
Basic materials |  | 123.4 |  | 122.2 |  | 1.2 |  | — |
Energy |  | 80.1 |  | 80.1 |  | — |  | — |
Utilities |  | 44.0 |  | 43.8 |  | .2 |  | — |
Technology |  | 29.5 |  | 29.5 |  | — |  | — |
Other |  | 98.2 |  | 42.6 |  | 55.6 |  | — |
Total common equity securities |  | 868.7 |  | 777.2 |  | 58.6 |  | 32.9 |
Convertible fixed maturity investments |  | 152.8 |  | — |  | 152.8 |  | — |
Other long-term investments(1) |  | 273.5 |  | — |  | — |  | 273.5 |
Total investments |  | $ | 7,583.8 |  | $ | 1,983.3 |  | $ | 5,115.0 |  | $ | 485.5 |
(1) Excludes carrying value of $33.2 associated with other long-term investment limited partnerships accounted for using the equity method.
|  | December 31, 2011 |
Millions |  | Fair value |  | Level 1 Inputs |  | Level 2 Inputs |  | Level 3 Inputs |
Fixed maturity investments: |  |  |  |  |  |  |  |  |
US Government and agency obligations |  | $ | 305.0 |  | $ | 296.2 |  | $ | 8.8 |  | $ | — |
Debt securities issued by corporations: |  |  |  |  |  |  |  |  |
Consumer |  | 790.7 |  | — |  | 790.7 |  | — |
Industrial |  | 359.4 |  | — |  | 359.4 |  | — |
Financials |  | 239.6 |  | 3.8 |  | 235.8 |  | — |
Communications |  | 225.8 |  | — |  | 225.8 |  | — |
Basic materials |  | 195.7 |  | — |  | 195.7 |  | — |
Utilities |  | 140.1 |  | — |  | 140.1 |  | — |
Energy |  | 155.8 |  | — |  | 155.8 |  | — |
Technology |  | 24.5 |  | — |  | 24.5 |  | — |
Diversified |  | 3.5 |  | — |  | 3.5 |  | — |
Total debt securities issued by corporations: |  | 2,135.1 |  | 3.8 |  | 2,131.3 |  | — |
Municipal obligations |  | 2.7 |  | — |  | 2.7 |  | — |
Mortgage-backed and asset-backed securities |  | 3,222.9 |  | — |  | 3,207.8 |  | 15.1 |
Foreign government, agency and provincial obligations |  | 589.2 |  | 65.7 |  | 523.5 |  | — |
Preferred stocks |  | 78.8 |  | — |  | 15.0 |  | 63.8 |
Total fixed maturity investments(1) |  | 6,333.7 |  | 365.7 |  | 5,889.1 |  | 78.9 |
Short-term investments |  | 846.0 |  | 846.0 |  | — |  | — |
Common equity securities: |  |  |  |  |  |  |  |  |
Financials |  | 219.2 |  | 185.8 |  | 1.5 |  | 31.9 |
Consumer |  | 188.8 |  | 188.5 |  | .3 |  | — |
Basic materials |  | 121.0 |  | 119.9 |  | 1.1 |  | — |
Energy |  | 72.6 |  | 72.6 |  | — |  | — |
Utilities |  | 42.0 |  | 41.8 |  | .2 |  | — |
Technology |  | 25.8 |  | 25.8 |  | — |  | — |
Other |  | 85.6 |  | 33.0 |  | 52.2 |  | .4 |
Total common equity securities |  | 755.0 |  | 667.4 |  | 55.3 |  | 32.3 |
Convertible fixed maturity investments |  | 143.8 |  | — |  | 143.8 |  | — |
Other long-term investments(2) |  | 268.3 |  | — |  | — |  | 268.3 |
Total investments |  | $ | 8,346.8 |  | $ | 1,879.1 |  | $ | 6,088.2 |  | $ | 379.5 |
(1) Carrying value includes $111.8 that is classified as assets held for sale relating to AutoOne discontinued operations. (2) Excludes carrying value of $33.0 associated with other long-term investments accounted for using the equity method.
Debt securities issued by corporations, credit ratings |
Millions |  | March 31, 2012 |  | December 31, 2011 |
AAA |  | $ | — |  | $ | — |
AA |  | 210.6 |  | 206.8 |
A |  | 842.4 |  | 802.8 |
BBB |  | 1,262.5 |  | 1,110.8 |
BB |  | 7.4 |  | 6.2 |
Other |  | 9.5 |  | 8.5 |
Debt securities issued by corporations |  | $ | 2,332.4 |  | $ | 2,135.1 |
Mortgage-backed, asset-backed securities |
|  | March 31, 2012 |  | December 31, 2011 |
Millions |  | Fair Value |  | Level 2 |  | Level 3 |  | Fair Value |  | Level 2 |  | Level 3 |
Mortgage-backed securities: |  |  |  |  |  |  |  |  |  |  |  |  |
Agency: |  |  |  |  |  |  |  |  |  |  |  |  |
GNMA |  | $ | 1,200.3 |  | $ | 1,200.3 |  | $ | — |  | $ | 1,365.8 |  | $ | 1,365.8 |  | $ | — |
FNMA |  | 308.2 |  | 308.2 |  | — |  | 712.6 |  | 712.6 |  | — |
FHLMC |  | 106.4 |  | 33.2 |  | 73.2 |  | 35.9 |  | 35.9 |  | — |
Total Agency(1) |  | 1,614.9 |  | 1,541.7 |  | 73.2 |  | 2,114.3 |  | 2,114.3 |  | — |
Non-agency: |  |  |  |  |  |  |  |  |  |  |  |  |
Residential |  | 81.5 |  | 66.4 |  | 15.1 |  | 83.1 |  | 68.0 |  | 15.1 |
Commercial |  | 299.1 |  | 299.1 |  | — |  | 276.7 |  | 276.7 |  | — |
Total Non-agency |  | 380.6 |  | 365.5 |  | 15.1 |  | 359.8 |  | 344.7 |  | 15.1 |
Total mortgage-backed securities |  | 1,995.5 |  | 1,907.2 |  | 88.3 |  | 2,474.1 |  | 2,459.0 |  | 15.1 |
Other asset-backed securities: |  |  |  |  |  |  |  |  |  |  |  |  |
Credit card receivables |  | 81.5 |  | 81.5 |  | — |  | 380.6 |  | 380.6 |  | — |
Vehicle receivables |  | 43.0 |  | 43.0 |  | — |  | 345.6 |  | 345.6 |  | — |
Other |  | 31.2 |  | 31.2 |  | — |  | 22.6 |  | 22.6 |  | — |
Total other asset-backed securities |  | 155.7 |  | 155.7 |  | — |  | 748.8 |  | 748.8 |  | — |
Total mortgage and asset-backed securities |  | $ | 2,151.2 |  | $ | 2,062.9 |  | $ | 88.3 |  | $ | 3,222.9 |  | $ | 3,207.8 |  | $ | 15.1 |
(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 |  | 2006 |  | 2007 |  | 2009 |  | 2010 |  | 2011 |  | 2012 |
Non-agency RMBS |  | $ | 81.5 |  | $ | 2.9 |  | $ | 22.7 |  | $ | 25.4 |  | $ | — |  | $ | 10.5 |  | $ | 20.0 |  | $ | — |
Non-agency CMBS |  | 299.1 |  | — |  | — |  | 17.7 |  | 11.3 |  | 6.3 |  | 246.6 |  | 17.2 |
Total |  | $ | 380.6 |  | $ | 2.9 |  | $ | 22.7 |  | $ | 43.1 |  | $ | 11.3 |  | $ | 16.8 |  | $ | 266.6 |  | $ | 17.2 |
Non-agency residential mortgage securities, collateral quality and tranche levels |
Millions |  | Fair Value |  | Super Senior (1) |  | Senior (2) |  | Subordinate(3) |
Prime |  | $ | 65.7 |  | $ | 18.3 |  | $ | 47.4 |  | $ | — |
Non-prime |  | 15.8 |  | 15.1 |  | .7 |  | — |
Sub-prime |  | — |  | — |  | — |  | — |
Total |  | $ | 81.5 |  | $ | 33.4 |  | $ | 48.1 |  | $ | — |
(1) At issuance, Super Senior were rated AAA by Standard & Poor’s, Aaa by Moody’s or AAA by Fitch 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 |  | $ | 271.5 |  | $ | 62.8 |  | $ | 208.7 |  | $ | — |
Floating rate CMBS |  | 27.6 |  | 17.7 |  | 9.9 |  | — |
Total |  | $ | 299.1 |  | $ | 80.5 |  | $ | 218.6 |  | $ | — |
(1) At issuance, Super Senior were rated AAA by Standard & Poor’s, Aaa by Moody’s or AAA by Fitch 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.
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, 2012 |  | $ | 1,879.1 |  | $ | 6,088.2 |  | $ | 78.9 |  | $ | 32.3 |  | $ | — |  | $ | 268.3 | (1) | $ | 8,346.8 | (1)(2)
Total realized and unrealized gains (losses) |  | 33.5 |  | 10.1 |  | 7.1 |  | .5 |  | — |  | 6.5 |  | 57.7 |
Foreign currency gains (losses) through OCI |  | 6.9 |  | 50.4 |  | .7 |  | — |  | — |  | 2.7 |  | 60.7 |
Amortization/Accretion |  | (.3 | ) | (12.5 | ) | (1.1 | ) | — |  | — |  |  |  | (13.9 | )
Purchases |  | 3,094.4 |  | 1,708.2 |  | 97.7 |  | — |  | — |  | 5.7 |  | 4,906.0 |
Sales |  | (3,030.3 | ) | (2,729.4 | ) | (4.1 | ) | — |  | — |  | (9.7 | ) | (5,773.5 | )
Transfers in |  | — |  | — |  | — |  | — |  | — |  | — |  | — |
Transfers out |  | — |  | — |  | — |  | — |  | — |  | — |  | — |
Balance at March 31, 2012 |  | $ | 1,983.3 |  | $ | 5,115.0 |  | $ | 179.2 |  | $ | 32.8 |  | $ | — |  | $ | 273.5 | (1) | $ | 7,583.8 | (1)
(1) Excludes carrying value of $33.0 and $33.2 at January 1, 2012 and March 31, 2012 associated with other long-term investments accounted for using the equity method. (2) Carrying value includes $111.8 that is classified as assets held for sale relating to AutoOne discontinued operations.
|  |  |  |  |  | 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) |  | 24.2 |  | (44.1 | ) | 1.9 |  | (1.8 | ) | — |  | 10.2 |  | (9.6 | )
Foreign currency gains (losses) through OCI |  | 10.4 |  | 106.6 |  | — |  | 1.0 |  | — |  | 6.6 |  | 124.6 |
Amortization/Accretion |  | 1.0 |  | (14.2 | ) | — |  | — |  | — |  |  |  | (13.2 | )
Purchases |  | 1,975.7 |  | 1,523.8 |  | .4 |  | 3.9 |  | — |  | 4.7 |  | 3,508.5 |
Sales |  | (2,079.7 | ) | (1,597.4 | ) | — |  | (.1 | ) | — |  | (49.9 | ) | (3,727.1 | )
Transfers in |  | — |  | 47.4 |  | 1.0 |  | — |  | — |  | — |  | 48.4 |
Transfers out |  | — |  | (1.0 | ) | (47.4 | ) | — |  | — |  | — |  | (48.4 | )
Balance at March 31, 2011 |  | $ | 1,826.0 |  | $ | 5,498.5 |  | $ | 84.3 |  | $ | 74.2 |  | $ | — |  | $ | 301.8 | (1) | $ | 7,784.8 | (1)
(1) Excludes carrying value of $37.5 and $41.9 at March 31, 2011 and January 1, 2011 associated with other long-term investment limited partnerships accounted for using the equity method.
Schedule of significant unobservable inputs used in estimating the fair value of investment securities |
($ in Millions) |  | March 31, 2012 |
Description |  | Fair Value |  | Rating |  | Valuation Technique(s) |  | Unobservable Input |  | Range(1) |
Agency RMBS |  | $ | 73.2 |  | AA+ |  | Discounted cash flow |  | Prepayment Rate Discount Yield |  | 15 CPR(2) 2.1% |
Non-agency RMBS |  | $ | 15.1 |  | CCC |  | Discounted cash flow |  | Prepayment rate Probability of default Loss severity Discount yield |  | 10 CPR CDR Vector(3) 40% 8.0% |
Preferred Stock |  | $ | 69.8 |  | NR |  | Discounted cash flow |  | Discount yield |  | 8.8% |
Corporate Bonds |  | $ | 21.0 |  | BBB+ |  | Broker pricing |  | Broker quote |  | $21.0 million |
(1) For the three month period ended March 31, 2012, each asset type consists of one security. (2) CPR refers to “Constant Prepayment Rate”. (3) CDR refers to “Constant Default Rate”.

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