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Investment Securities (Tables)

3 Months Ended

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”.

X

- Definition

Tabular disclosure of assets, including [financial] instruments measured at fair value that are classified in stockholders' equity, if any, by class that are measured at fair value on a recurring basis. The disclosures contemplated herein include the fair value measurements at the reporting date by the level within the fair value hierarchy in which the fair value measurements in their entirety fall, segregating fair value measurements using quoted prices in active markets for identical assets (Level 1), significant other observable inputs (Level 2), and significant unobservable inputs (Level 3).

+ References

Reference 1: http://www.xbrl.org/2003/role/presentationRef

-Publisher FASB

-Name Accounting Standards Codification

-Topic 820

-SubTopic 10

-Section 50

-Paragraph 1

-URI http://asc.fasb.org/extlink&oid=6925170&loc=d3e19190-110258



Reference 2: http://www.xbrl.org/2003/role/presentationRef

-Publisher FASB

-Name Statement of Financial Accounting Standard (FAS)

-Number 157

-Paragraph 32

-LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy.



Reference 3: http://www.xbrl.org/2003/role/presentationRef

-Publisher FASB

-Name Statement of Financial Accounting Standard (FAS)

-Number 157

-Paragraph 6

-Footnote 4

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