R QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE
SECURITIES EXCHANGE ACT OF 1934
For the quarterly period ended September 30, 2011
OR
o TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE
SECURITIES EXCHANGE ACT OF 1934
For the transition period from _____ to _____
Commission File Number 1-5823
CNA FINANCIAL CORPORATION
(Exact name of registrant as specified in its charter)
Delaware
(State or other jurisdiction of
incorporation or organization)
36-6169860
(I.R.S. Employer
Identification No.)
333 S. Wabash
Chicago, Illinois
(Address of principal executive offices)
60604
(Zip Code)
(312) 822-5000
(Registrant’s telephone number, including area code)
Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days.
Yes R No o
Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files).
Yes R No o
Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, or a smaller reporting company. See the definitions of “large accelerated filer,” “accelerated filer” and “smaller reporting company” in Rule 12b-2 of the Exchange Act.
Large accelerated filer £
Accelerated filer R
Non-accelerated filer o
(Do not check if a smaller reporting company)
Smaller reporting company o
Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act). Yes o No R
Indicate the number of shares outstanding of each of the issuer’s classes of common stock, as of the latest practicable date.
Notes to Condensed Consolidated Financial Statements (Unaudited)
Note A. General
Basis of Presentation
The Condensed Consolidated Financial Statements (Unaudited) include the accounts of CNA Financial Corporation (CNAF) and its controlled subsidiaries. Collectively, CNAF and its controlled subsidiaries are referred to as CNA or the Company. CNA’s property and casualty and remaining life and group insurance operations are primarily conducted by Continental Casualty Company (CCC), The Continental Insurance Company, Western Surety Company and Continental Assurance Company. Loews Corporation (Loews) owned approximately 90% of the outstanding common stock of CNAF as of September 30, 2011.
The accompanying Condensed Consolidated Financial Statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP). Certain financial information that is normally included in annual financial statements, including certain financial statement notes, prepared in accordance with GAAP, is not required for interim reporting purposes and has been condensed or omitted. These statements should be read in conjunction with the Consolidated Financial Statements and notes thereto included in CNAF’s Annual Report on Form 10-K filed with the Securities and Exchange Commission (SEC) for the year ended December 31, 2010, including the summary of significant accounting policies in Note A. The preparation of Condensed Consolidated Financial Statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and the disclosure of contingent assets and liabilities at the date of the Condensed Consolidated Financial Statements and the reported amounts of revenues and expenses during the reporting periods. Actual results may differ from those estimates.
The interim financial data as of September 30, 2011 and for the three and nine months ended September 30, 2011 and 2010 is unaudited. However, in the opinion of management, the interim data includes all adjustments, consisting of normal recurring accruals, necessary for a fair statement of the Company’s results for the interim periods. The results of operations for the interim periods are not necessarily indicative of the results to be expected for the full year. Intercompany amounts have been eliminated.
The Company has historically reported certain run-off insurance and reinsurance operations acquired in its merger with The Continental Corporation in 1995 as discontinued operations. Due to the immateriality of the remaining liabilities, effective in the third quarter of 2011, the Company is no longer reporting these run-off operations as discontinued operations.
First Insurance Company of Hawaii
The Company owns 50% of the common stock of First Insurance Company of Hawaii (FICOH). On August 11, 2011, CNA announced the sale of its noncontrolling interest in FICOH to Tokio Marine & Nichido Fire Insurance Co., Ltd., the other 50% shareholder. The sale, which is subject to regulatory approval, is expected to close in the fourth quarter of 2011 and result in a modest gain. The Company previously anticipated recovering the undistributed earnings of FICOH at a dividend tax rate. As a result of the pending sale, the Company has increased income tax expense by $22 million to reflect the statutory tax rate.
CNA Surety Corporation
On June 10, 2011, CNA completed its previously announced acquisition of the noncontrolling interest of CNA Surety Corporation (CNA Surety). Previously the Company owned approximately 61% of the outstanding publicly-traded common stock of CNA Surety. CNA Surety is now a wholly-owned subsidiary of CCC, and, effective after the close of the stock market on June 10, 2011, trading in CNA Surety common stock ceased.
The aggregate purchase price was approximately $475 million, based on the offer price of $26.55 per share and inclusive of the retirement of CNA Surety employee stock options. The amount paid to acquire the common stock of CNA Surety not owned by the Company in excess of the closing date noncontrolling interest included in the Company's equity of $434 million was reflected as an adjustment to Additional Paid-in Capital and Accumulated Other Comprehensive Income on the Condensed Consolidated Statement of Equity. During 2011, net income attributable to the noncontrolling interest in CNA Surety through the acquisition date of June 10, 2011 was $12 million and is reflected on the Condensed Consolidated Statement of Operations. For the three and nine months ended September 30, 2010, net income attributable to the noncontrolling interest in CNA Surety was $11 million and $30 million.
Reinsurance Receivables
The Company has established an allowance for uncollectible reinsurance receivables which relates to both amounts already billed on ceded paid losses as well as ceded reserves that will be billed when losses are paid in the future. The allowance for uncollectible reinsurance receivables is estimated on the basis of periodic evaluations of balances due from reinsurers, reinsurer creditworthiness, management’s experience and current economic conditions. Financial strength ratings are updated and reviewed on an annual basis or sooner if the Company becomes aware of significant changes related to a reinsurer. Because billed receivables are less than 5% of total reinsurance receivables, the age of the reinsurance receivables related to paid losses is not a significant input into the allowance analysis. During the three months ended September 30, 2011, the Company reduced its allowance for uncollectible reinsurance receivables by $15 million arising from a change in estimate. The additional reduction in the allowance primarily related to write-offs of reinsurance receivable balances.
Accounting for Costs Associated with Acquiring or Renewing Insurance Contracts
In October 2010, the FASB issued updated accounting guidance which limits the capitalization of costs incurred to acquire or renew insurance contracts to those that are incremental direct costs of successful contract acquisitions. The updated accounting guidance is effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2011 with prospective or retrospective application allowed. The Company intends to adopt this updated accounting guidance retrospectively and is currently assessing the impact it will have on its financial condition and results of operations. The Company preliminarily estimates that amounts capitalized under the current accounting guidance as of September 30, 2011 would be approximately $75 million to $130 million less under the updated guidance. Any reduction of capitalized costs will also necessitate a change in related deferred tax balances.
Earnings (loss) per share attributable to the Company's common stockholders is based on the weighted average number of outstanding common shares. Basic earnings (loss) per share excludes the impact of dilutive securities and is computed by dividing net income (loss) attributable to CNA by the weighted average number of common shares outstanding for the period. Diluted earnings (loss) per share reflects the potential dilution that could occur if securities or other contracts to issue common stock were exercised or converted into common stock.
For the three and nine months ended September 30, 2011, approximately 279 thousand and 286 thousand potential shares attributable to exercises under stock-based employee compensation plans were included in the calculation of diluted earnings per share. For those same periods, approximately 1.2 million and 1.1 million potential shares attributable to exercises under stock-based employee compensation plans were not included in the calculation of diluted earnings per share because the effect would have been antidilutive.
For the three months ended September 30, 2010, as a result of the net loss, none of the 2.3 million potential shares attributable to exercises under stock-based employee compensation plans were included in the calculation of loss per share as the effect would have been antidilutive. For the nine months ended September 30, 2010, approximately 240 thousand potential shares attributable to exercises under stock-based employee compensation plans were included in the calculation of diluted earnings per share. For that same period, approximately 1.2 million potential shares attributable to exercises under stock-based employee compensation plans were not included in the calculation of diluted earnings per share because the effect would have been antidilutive.
The significant components of net investment income are presented in the following table.
Net Investment Income
Periods ended September 30
Three Months
Nine Months
(In millions)
2011
2010
2011
2010
Fixed maturity securities
$
494
$
511
$
1,505
$
1,540
Short term investments
2
2
6
13
Limited partnership investments
(93
)
68
32
136
Equity securities
4
7
16
26
Mortgage loans
2
1
6
1
Trading portfolio (a)
(1
)
4
5
10
Other
1
2
6
7
Gross investment income
409
595
1,576
1,733
Investment expense
(15
)
(14
)
(45
)
(41
)
Net investment income
$
394
$
581
$
1,531
$
1,692
____________________
(a)
The net unrealized losses related to changes in fair value on trading securities still held included in net investment income were $1 million for the three and nine months ended September 30, 2011. The net unrealized gains related to changes in fair value on trading securities still held included in net investment income were $1 million for the three and nine months ended September 30, 2010.
Net realized investment gains (losses) are presented in the following table.
Net Realized Investment Gains (Losses)
Periods ended September 30
Three Months
Nine Months
(In millions)
2011
2010
2011
2010
Net realized investment gains (losses):
Fixed maturity securities:
Gross realized gains
$
56
$
121
$
233
$
352
Gross realized losses
(85
)
(45
)
(222
)
(183
)
Net realized investment gains (losses) on fixed maturity securities
(29
)
76
11
169
Equity securities:
Gross realized gains
1
3
7
7
Gross realized losses
(2
)
(20
)
(10
)
(49
)
Net realized investment losses on equity securities
(1
)
(17
)
(3
)
(42
)
Derivatives
1
(1
)
—
(1
)
Short term investments and other (a) (b)
2
4
(7
)
(1
)
Net realized investment gains (losses), net of participating policyholders’ interests
$
(27
)
$
62
$
1
$
125
____________________
(a)
The nine months ended September 30, 2011 includes a $9 million loss related to the early extinguishment of $400 million of senior notes originally due August 15, 2011.
(b)
Includes net unrealized gains (losses) related to changes in the fair value of securities for which the fair value option has been elected. There were no net unrealized gains (losses) included in the three months ended September 30, 2011, $1 million of net unrealized gains for the nine months ended September 30, 2011 and $2 million of net unrealized gains for the three and nine months ended September 30, 2010.
The components of net other-than-temporary impairment (OTTI) losses recognized in earnings by asset type are summarized in the following table.
Periods ended September 30
Three Months
Nine Months
(In millions)
2011
2010
2011
2010
Fixed maturity securities available-for-sale:
Corporate and other bonds
$
49
$
17
$
73
$
59
States, municipalities and political subdivisions
—
—
—
20
Asset-backed:
Residential mortgage-backed
21
18
95
55
Commercial mortgage-backed
—
—
—
2
Other asset-backed
4
—
4
2
Total asset-backed
25
18
99
59
Total fixed maturity securities available-for-sale
74
35
172
138
Equity securities available-for-sale:
Common stock
3
5
7
10
Preferred stock
—
4
1
13
Total equity securities available-for-sale
3
9
8
23
Net OTTI losses recognized in earnings
$
77
$
44
$
180
$
161
A security is impaired if the fair value of the security is less than its cost adjusted for accretion, amortization and previously recorded OTTI losses, otherwise defined as an unrealized loss. When a security is impaired, the impairment is evaluated to determine whether it is temporary or other-than-temporary.
Significant judgment is required in the determination of whether an OTTI loss has occurred for a security. The Company follows a consistent and systematic process for determining and recording an OTTI loss. The Company has established a committee responsible for the OTTI process. This committee, referred to as the Impairment Committee, is made up of three officers appointed by the Company’s Chief Financial Officer. The Impairment Committee is responsible for evaluating all securities in an unrealized loss position on at least a quarterly basis.
The Impairment Committee’s assessment of whether an OTTI loss has occurred incorporates both quantitative and qualitative information. Fixed maturity securities that the Company intends to sell, or it more likely than not will be required to sell before recovery of amortized cost, are considered to be other-than-temporarily impaired and the entire difference between the amortized cost basis and fair value of the security is recognized as an OTTI loss in earnings. The remaining fixed maturity securities in an unrealized loss position are evaluated to determine if a credit loss exists. The factors considered by the Impairment Committee include (a) the financial condition and near term prospects of the issuer, (b) whether the debtor is current on interest and principal payments, (c) credit ratings of the securities and (d) general market conditions and industry or sector specific outlook. The Company also considers results and analysis of cash flow modeling for asset-backed securities, and when appropriate, other fixed maturity securities. The focus of the analysis for asset-backed securities is on assessing the sufficiency and quality of underlying collateral and timing of cash flows based on scenario tests. If the present value of the modeled expected cash flows equals or exceeds the amortized cost of a security, no credit loss is judged to exist and the asset-backed security is deemed to be temporarily impaired. If the present value of the expected cash flows is less than amortized cost, the security is judged to be other-than-temporarily impaired for credit reasons and that shortfall, referred to as the credit component, is recognized as an OTTI loss in earnings. The difference between the adjusted amortized cost basis and fair value, referred to as the non-credit component, is recognized as OTTI in Other comprehensive income. In subsequent reporting periods, a change in intent to sell or further credit impairment on a security whose fair value has not deteriorated will cause the non-credit component originally recorded as OTTI in Other comprehensive income to be recognized as an OTTI loss in earnings.
The Company performs the discounted cash flow analysis using stressed scenarios to determine future expectations regarding recoverability. For asset-backed securities, significant assumptions enter into these cash flow projections including delinquency rates, probable risk of default, loss severity upon a default, over collateralization and interest coverage triggers, and credit support from lower level tranches.
The Company applies the same impairment model as described above for the majority of non-redeemable preferred stock securities on the basis that these securities possess characteristics similar to debt securities and that the issuers maintain their ability to pay dividends. For all other equity securities, in determining whether the security is other-than-temporarily impaired, the Impairment Committee considers a number of factors including, but not limited to: (a) the length of time and the extent to which the fair value has been less than amortized cost, (b) the financial condition and near term prospects of the issuer, (c) the intent and ability of the Company to retain its investment for a period of time sufficient to allow for an anticipated recovery in value and (d) general market conditions and industry or sector specific outlook.
The following tables provide a summary of fixed maturity and equity securities.
Summary of Fixed Maturity and Equity Securities
September 30, 2011
Cost or
Amortized
Cost
Gross
Unrealized
Gains
Gross
Unrealized
Losses
Estimated
Fair
Value
Unrealized
OTTI
Losses (Gains)
(In millions)
Fixed maturity securities available-for-sale:
Corporate and other bonds
$
19,141
$
1,918
$
160
$
20,899
$
—
States, municipalities and political subdivisions
8,834
853
150
9,537
—
Asset-backed:
Residential mortgage-backed
5,812
199
161
5,850
82
Commercial mortgage-backed
1,255
55
61
1,249
(8
)
Other asset-backed
1,035
15
14
1,036
—
Total asset-backed
8,102
269
236
8,135
74
U.S. Treasury and obligations of government-sponsored enterprises
221
16
—
237
—
Foreign government
557
25
—
582
—
Redeemable preferred stock
49
8
—
57
—
Total fixed maturity securities available-for-sale
U.S. Treasury and obligations of government-sponsored enterprises
122
16
1
137
—
Foreign government
602
18
—
620
—
Redeemable preferred stock
47
7
—
54
—
Total fixed maturity securities available-for-sale
36,421
1,945
795
37,571
$
112
Total fixed maturity securities trading
6
—
—
6
Equity securities available-for-sale:
Common stock
90
25
—
115
Preferred stock
332
2
9
325
Total equity securities available-for-sale
422
27
9
440
Total
$
36,849
$
1,972
$
804
$
38,017
At September 30, 2011 and December 31, 2010, net unrealized gains on investments included in Accumulated other comprehensive income (AOCI) supporting certain products within the Life & Group Non-Core segment were reduced by $467 million and $150 million, net of tax, resulting from a reduction of Deferred acquisition costs or an increase in Future policy benefit reserves.
The following tables summarize the estimated fair value and gross unrealized losses of available-for-sale fixed maturity and equity securities in a gross unrealized loss position by the length of time in which the securities have continuously been in that position.
Securities in a Gross Unrealized Loss Position
Less than 12 Months
Greater than 12 Months
Total
September 30, 2011
Estimated
Fair Value
Gross
Unrealized
Losses
Estimated
Fair Value
Gross
Unrealized
Losses
Estimated
Fair Value
Gross
Unrealized
Losses
(In millions)
Fixed maturity securities available-for-sale:
Corporate and other bonds
$
3,143
$
134
$
142
$
26
$
3,285
$
160
States, municipalities and political subdivisions
270
4
716
146
986
150
Asset-backed:
Residential mortgage-backed
789
20
978
141
1,767
161
Commercial mortgage-backed
474
42
179
19
653
61
Other asset-backed
377
4
77
10
454
14
Total asset-backed
1,640
66
1,234
170
2,874
236
Total fixed maturity securities available-for-sale
5,053
204
2,092
342
7,145
546
Equity securities available-for-sale:
Common stock
36
2
—
—
36
2
Preferred stock
129
7
19
1
148
8
Total equity securities available-for-sale
165
9
19
1
184
10
Total
$
5,218
$
213
$
2,111
$
343
$
7,329
$
556
Less than 12 Months
Greater than 12 Months
Total
December 31, 2010
Estimated
Fair Value
Gross
Unrealized
Losses
Estimated
Fair Value
Gross
Unrealized
Losses
Estimated
Fair Value
Gross
Unrealized
Losses
(In millions)
Fixed maturity securities available-for-sale:
Corporate and other bonds
$
1,719
$
34
$
405
$
36
$
2,124
$
70
States, municipalities and political subdivisions
3,339
164
745
246
4,084
410
Asset-backed:
Residential mortgage-backed
1,800
52
1,801
213
3,601
265
Commercial mortgage-backed
164
3
333
38
497
41
Other asset-backed
122
1
60
7
182
8
Total asset-backed
2,086
56
2,194
258
4,280
314
U.S. Treasury and obligations of government-sponsored enterprises
8
1
—
—
8
1
Total fixed maturity securities available-for-sale
7,152
255
3,344
540
10,496
795
Equity securities available-for-sale:
Preferred stock
175
5
70
4
245
9
Total equity securities available-for-sale
175
5
70
4
245
9
Total
$
7,327
$
260
$
3,414
$
544
$
10,741
$
804
The amount of pretax net unrealized gains (losses) on available-for-sale securities reclassified out of AOCI into earnings was $(29) million and $12 million for the three and nine months ended September 30, 2011 and $62 million and $133 million for the three and nine months ended September 30, 2010.
The following table summarizes the activity for the three and nine months ended September 30, 2011 and 2010 related to the pretax credit loss component reflected in Retained earnings on fixed maturity securities still held at September 30, 2011 and 2010 for which a portion of an OTTI loss was recognized in Other comprehensive income.
Periods ended September 30
Three Months
Nine Months
(In millions)
2011
2010
2011
2010
Beginning balance of credit losses on fixed maturity securities
$
82
$
171
$
141
$
164
Additional credit losses for securities for which an OTTI loss was previously recognized
11
4
29
26
Credit losses for securities for which an OTTI loss was not previously recognized
10
1
11
9
Reductions for securities sold during the period
(4
)
(27
)
(50
)
(50
)
Reductions for securities the Company intends to sell or more likely than not will be required to sell
—
(8
)
(32
)
(8
)
Ending balance of credit losses on fixed maturity securities
$
99
$
141
$
99
$
141
Based on current facts and circumstances, the Company has determined that no additional OTTI losses related to the securities in an unrealized loss position presented in the September 30, 2011 Securities in a Gross Unrealized Loss Position table above are required to be recorded. A discussion of some of the factors reviewed in making that determination is presented below.
The classification between investment grade and non-investment grade presented in the discussion below is based on a ratings methodology that takes into account ratings from two major providers, Standard & Poor’s (S&P) and Moody’s Investors Service, Inc. (Moody’s) in that order of preference. If a security is not rated by these providers, the Company formulates an internal rating. For securities with credit support from third party guarantees, the rating reflects the greater of the underlying rating of the issuer or the insured rating.
Corporate and Other Bonds
The unrealized losses on the Company’s investments in this category primarily relate to non-investment grade bonds and bonds within the financial industry sector. The financial industry sector holdings in this category include bonds with an aggregate fair value of $1,702 million and an aggregate amortized cost of $1,793 million as of September 30, 2011.
The following table summarizes corporate and other bonds in a gross unrealized loss position by ratings distribution at September 30, 2011.
Gross Unrealized Losses by Ratings Distribution
September 30, 2011
Amortized
Cost
Estimated
Fair Value
Gross
Unrealized
Losses
(In millions)
AAA
$
58
$
57
$
1
AA
202
196
6
A
1,018
975
43
BBB
1,280
1,219
61
Non-investment grade
887
838
49
Total
$
3,445
$
3,285
$
160
The Company has no current intent to sell these securities, nor is it more likely than not that it will be required to sell prior to recovery of amortized cost. Additionally, the Company believes that the unrealized losses on these securities were not due to factors regarding the ultimate collection of principal and interest; accordingly, the Company has determined that there are no additional OTTI losses to be recorded at September 30, 2011.
The unrealized losses on the Company's investments in this category are primarily due to market conditions for zero coupon bonds, particularly for those with maturity dates that exceed 20 years. Yields for these securities continue to be higher than historical norms relative to after-tax returns on similar fixed income securities.
The following table summarizes the ratings distribution of states, municipalities and political subdivisions securities in a gross unrealized loss position at September 30, 2011.
Gross Unrealized Losses by Ratings Distribution
September 30, 2011
Amortized
Cost
Estimated
Fair Value
Gross
Unrealized
Losses
(In millions)
AAA
$
198
$
190
$
8
AA
485
378
107
A
370
340
30
BBB
67
63
4
Non-investment grade
16
15
1
Total
$
1,136
$
986
$
150
The Company has no current intent to sell these securities, nor is it more likely than not that it will be required to sell prior to recovery of amortized cost. Additionally, the Company believes that the unrealized losses on these securities were not due to factors regarding the ultimate collection of principal and interest; accordingly, the Company has determined that there are no additional OTTI losses to be recorded at September 30, 2011.
Asset-Backed Securities
The fair value of total asset-backed holdings at September 30, 2011 was $8,135 million which was comprised of 2,054 different securities. The fair value of these securities tends to be influenced by the characteristics and projected cash flows of the underlying collateral rather than the credit of the issuer. Each security has deal-specific tranche structures, credit support that results from the unique deal structure, particular collateral characteristics and other distinct security terms. As a result, seemingly common factors such as delinquency rates and collateral performance affect each security differently. Of these securities, 132 had underlying collateral that was either considered sub-prime or Alt-A in nature. The exposure to sub-prime residential mortgage (sub-prime) collateral and Alternative A residential mortgages that have lower than normal standards of loan documentation (Alt-A) collateral is measured by the original deal structure.
Residential mortgage-backed securities included 149 non-agency structured securities that had at least one trade lot in a gross unrealized loss position. The aggregate severity of the gross unrealized loss for residential mortgage-backed securities was approximately 8% of amortized cost.
Commercial mortgage-backed securities included 66 securities that had at least one trade lot in a gross unrealized loss position. The aggregate severity of the gross unrealized loss was approximately 9% of amortized cost.
Other asset-backed securities included 46 securities that had at least one trade lot in a gross unrealized loss position. The aggregate severity of the gross unrealized loss was approximately 3% of amortized cost.
The following table summarizes asset-backed securities in a gross unrealized loss position by ratings distribution at September 30, 2011.
Gross Unrealized Losses by Ratings Distribution
September 30, 2011
Amortized
Cost
Estimated
Fair Value
Gross
Unrealized
Losses
(In millions)
U.S. Government, Government Agencies, and Government-Sponsored Enterprises
$
481
$
465
$
16
AAA
762
734
28
AA
441
415
26
A
213
203
10
BBB
316
278
38
Non-investment grade
897
779
118
Total
$
3,110
$
2,874
$
236
The Company believes the unrealized losses are primarily attributable to broader economic conditions, changes in interest rates, wider than historical bid/ask spreads, and uncertainty with regard to the timing and amount of ultimate collateral realization, but are not indicative of the ultimate collectibility of the current carrying values of securities. The Company has no current intent to sell these securities, nor is it more likely than not that it will be required to sell prior to recovery of amortized cost; accordingly, the Company has determined that there are no additional OTTI losses to be recorded at September 30, 2011.
Contractual Maturity
The following table summarizes available-for-sale fixed maturity securities by contractual maturity at September 30, 2011 and December 31, 2010. Actual maturities may differ from contractual maturities because certain securities may be called or prepaid with or without call or prepayment penalties. Securities not due at a single date are allocated based on weighted average life.
