quarter is attributable to concerns about the cessation of liquidity measures being provided by the Federal Reserve. These concerns were coupled with fears that reduced stimulus would crimp liquidity and affect risk assets, and as a result, credit spreads widened in June. Although elevated Treasury yields, and most recently, credit spreads have resulted in an increase in the unrealized loss position in the portfolio, FGL noted that the largest component of this increase is in securities priced between 90% and 100% of market value. Additionally, FGL noted that the portfolio's exposure to floating rate and less rate-sensitive assets has provided a buffer to rising Treasury yields.
At June 30, 2013 and September 30, 2012, securities with a fair value of $25.4 and $1.2, respectively, were depressed greater than 20% of amortized cost (excluding United States Government and United States Government sponsored agency securities), which represented less than 1% of the carrying values of all investments. The increase in unrealized loss positions from September 30, 2012 is primarily due to increases in Treasury yields during this period. Based upon FGL's current evaluation of these securities in accordance with its impairment policy and its intent to retain these investments for a period of time sufficient to allow for recovery in value, FGL has determined that these securities are not other-than-temporarily impaired.
Credit Loss Portion of Other-than-temporary Impairments
The following table provides a reconciliation of the beginning and ending balances of the credit loss portion of other-than-temporary impairments on fixed maturity securities held by FGL for the three and nine months ended June 30, 2013 and July 1, 2012, for which a portion of the other-than-temporary impairment was recognized in AOCI:
|
| | | | | | | | | | | | | | | |
| Three months ended | | Nine months ended |
| June 30, 2013 | | July 1,
2012 | | June 30, 2013 | | July 1,
2012 |
Balance at the beginning of the period | $ | 2.7 |
| | $ | 2.6 |
| | $ | 2.7 |
| | $ | 0.7 |
|
Increases attributable to credit losses on securities: | | | | | | | |
Other-than-temporary impairment was previously recognized | — |
| | 0.1 |
| | — |
| | 0.1 |
|
Other-than-temporary impairment was not previously recognized | — |
| | — |
| | — |
| | 1.9 |
|
Balance at the end of the period | $ | 2.7 |
| | $ | 2.7 |
| | $ | 2.7 |
| | $ | 2.7 |
|
For the three and nine months ended June 30, 2013, FGL recognized impairment losses in operations totaling $0.7 and $1.6, respectively, including credit impairments of $0.5 and $0.8 and change-of-intent impairments of $0.2 and $0.9 and had an amortized cost of $4.1 and a fair value of $2.4 at the time of impairment, respectively. For the three and nine months ended July 1, 2012, FGL recognized impairment losses in operations totaling $2.5 and $19.8, respectively, including credit impairments of $0.7 and $4.7, and change-of-intent impairments of $1.8 and $15.0 and had an amortized cost of $101.9 and a fair value of $80.6 at the time of impairment. Details underlying write-downs taken as a result of other-than-temporary impairments that were recognized in earnings and included in net realized gains on securities were as follows:
|
| | | | | | | | | | | | | | | |
| Three months ended | | Nine months ended |
| June 30,
2013 | | July 1,
2012 | | June 30,
2013 | | July 1,
2012 |
Other-than-temporary impairments recognized in net income: | | | | | | | |
Corporates | $ | — |
| | $ | 1.5 |
| | $ | — |
| | $ | 2.2 |
|
Non-agency residential mortgage-backed securities | 0.2 |
| | 0.8 |
| | 1.1 |
| | 6.9 |
|
Hybrids | — |
| | — |
| | — |
| | 9.7 |
|
Other invested assets | 0.5 |
| | 0.2 |
| | 0.5 |
| | 1.0 |
|
Total other-than-temporary impairments | $ | 0.7 |
| | $ | 2.5 |
| | $ | 1.6 |
| | $ | 19.8 |
|
