Progressive 2012 Annual Report Download - page 69

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INTEREST RATE SWAPS
We invest in interest rate swaps primarily to manage the fixed-income portfolio duration. The following table summarizes our
interest rate swap activity:
Net Realized Gains
(Losses)
(millions) Date Notional Value
Years ended
December 31,
Term Effective Maturity Coupon 2012 2011 2010 2012 2011 2010
Open:
5-year 05/2011 05/2016 Receive variable $ 400 $ 400 $ 0 $(10.5) $(20.0) $ 0
5-year 08/2011 08/2016 Receive variable 500 500 0 (13.5) (9.2) 0
9-year 12/2009 01/2019 Receive variable 363 363 713 (18.7) (44.8) (66.6)
Total open positions $1,263 $1,263 $713 $(42.7) $(74.0) $(66.6)
Closed:
9-year NA NA Receive variable 0 350 0 0 (25.5) 0
Total closed positions $ 0 $ 350 $ 0 $ 0 $(25.5) $ 0
Total interest rate swaps $(42.7) $(99.5) $(66.6)
NA = Not Applicable
CORPORATE CREDIT DEFAULT SWAPS
We invest in corporate credit default swaps primarily to manage the fixed-income portfolio credit risk. The following table
summarizes our corporate credit default swap activity:
(millions) Date Bought
or Sold
Protection
Notional Value
Net Realized Gains
(Losses)
Years ended
December 31,
Term Effective Maturity 2012 2011 2010 2012 2011 2010
Open:
5-year 09/2008 09/2013 Bought $ 0 $25 $25 $ 0 $(.2) $ .9
Corporate swap NA NA Sold 0 0 10 0 0 1.2
Treasury Note1NA NA Sold 0 0 10 0 0 .4
Total open positions $ 0 $(.2) $2.5
Closed:
2-year NA NA Bought $ 0 $ 0 $10 $ 0 $ 0 $ 0
4-year NA NA Bought 0 0 15 0 0 (.2)
5-year NA NA Bought 25 0 0 (1.0) 0 0
Corporate swap NA NA Sold 0 10 0 0 .2 0
Treasury Note1NA NA Sold 0 10 0 0 .3 0
Total closed positions $(1.0) $ .5 $ (.2)
Total corporate swaps $(1.0) $ .3 $2.3
1Used to replicate a long corporate bond position.
NA = Not Applicable
App.-A-69