Imagine my shock.
At least 13 people were also injured in the shooting in a busy part of Baghdad.
It broke out at about 1230 local time on Nisoor Square in the predominantly Sunni neighbourhood of Mansour, a police officer told the Associated Press news agency.
A witness said the shooting erupted after an explosion.
"We saw a convoy of SUVs passing in the street nearby. One minute later, we heard the sound of a bomb explosion followed by gunfire that lasted for 20 minutes between gunmen and the convoy people who were foreigners and dressed in civilian clothes.
"Everybody in the street started to flee immediately," Hussein Abdul-Abbas, a local shop owner, told AP.
"I was driving behind my brother's car and suddenly there was an explosion and firing. I tried to figure out what was happening when I saw a black convoy ahead of us," he told the AFP news agency.
"Soon after I saw my brother slump in the car. I dragged him out of the car and tried to hide to avoid the firing but realised that he had been shot in the chest and was already dead," he said.
Thousands of private security staff are employed by businessmen, journalists and dignitaries in lawless Iraq. They are often heavily armed, but critics say some are not properly trained - even trigger-happy - and are not accountable except to their employers.
Sunday's violence followed the publication of a survey of Iraqis which suggested that up to 1.2m people might have died because of the conflict in Iraq.
Edit: (before anyone complains) I know the title of this thread may be a bit OTT but I don't know how to change it or I would