Investments

Fixed Maturities Available-for-Sale by Contractual Maturity (Table)


	Amortized cost		Fair value
	(in millions)
Due in one year or less	$	2,170.7	$	2,173.4
Due after one year through five years		10,179.8		10,168.8
Due after five years through ten years		12,378.6		12,459.7
Due after ten years		22,694.6		25,070.6
Subtotal		47,423.7		49,872.5
Mortgage-backed and other asset-backed securities		19,225.0		18,835.3
Total	$	66,648.7	$	68,707.8

For the three months ended March 31, 2020

Residential

mortgage-

backed

Commercial

Collateralized

U.S.

States and

pass-

mortgage-

debt

Other

government

Non-U.S

political

through

backed

obligations

debt

and agencies

governments

subdivisions

Corporate

securities

(2)

obligations

Total

(in millions)

Beginning balance (1)

$

—

$

—

$

—

$

—

$

—

$

—

$

—

$

—

$

—

Additions for credit losses not previously recorded

—

7.0

—

0.4

0.1

7.6

Ending balance

$

—

$

—

$

—

$

7.0

$

—

$

0.4

$

0.1

$

0.1

$

7.6

(1)	The allowance for credit loss associated with fixed maturities, available-for-sale was applied prospectively upon adoption of authoritative guidance effective January 1, 2020.

(2)	Primarily consists of collateralized loan obligations backed by secured corporate loans.

Other-Than-Temporary Impairment, Credit Losses Recognized in Earnings (Table)


	For the three months ended
	March 31, 2019
	(in millions)
Beginning balance	$	(117.5)
Credit losses for which an other-than-temporary impairment was not previously recognized		(2.0)
Credit losses for which an other-than-temporary impairment was previously recognized		(4.3)
Reduction for credit losses previously recognized on fixed maturities now sold, paid down or intended to be sold		20.4
Net reduction for positive changes in cash flows expected to be collected and amortization (1)		1.1
Ending balance	$	(102.3)

(1)	Amounts are recognized in net investment income.

Gross Unrealized Losses for Fixed Maturities (Table)


	December 31, 2019
	Less than				Greater than or
	twelve months				equal to twelve months				Total
			Gross				Gross				Gross
	Fair		unrealized		Fair		unrealized		Fair		unrealized
	value		losses (2)		value		losses (2)		value		losses (2)
	(in millions)
Fixed maturities, available-for-sale:
U.S. government and agencies	$	100.0	$	1.9	$	74.2	$	1.1	$	174.2	$	3.0
Non-U.S. governments		17.6		0.2		12.4		—		30.0		0.2
States and political subdivisions		559.9		11.2		86.3		0.4		646.2		11.6
Corporate		1,041.5		27.8		394.7		24.4		1,436.2		52.2
Residential mortgage-backed pass-through securities		429.6		1.4		237.3		2.4		666.9		3.8
Commercial mortgage-backed securities		829.3		9.2		268.5		14.8		1,097.8		24.0
Collateralized debt obligations (1)		639.4		1.8		1,447.8		12.5		2,087.2		14.3
Other debt obligations		1,772.8		9.5		613.7		5.4		2,386.5		14.9
Total fixed maturities, available-for-sale	$	5,390.1	$	63.0	$	3,134.9	$	61.0	$	8,525.0	$	124.0

(1) Primarily consists of collateralized loan obligations backed by secured corporate loans.

(2)	Prior to the implementation of authoritative guidance in 2020, other than temporary impairment losses reported in OCI were included with gross unrealized losses resulting in total gross unrealized losses for fixed maturities, available-for-sale being reported in the table.

Financing Receivable Credit Quality Indicators (Table)

2020

2019

2018

2017

2016

Prior

Total

(in millions)

Commercial mortgage loans (1):

A- and above

$

536.3

$

2,593.6

$

2,556.5

$

2,006.5

$

1,575.2

$

4,680.4

$

13,948.5

BBB+ thru BBB-

12.4

165.2

322.5

182.0

76.0

398.4

1,156.5

BB+ thru BB-

—

28.8

4.3

—

33.1

B+ and below

—

4.5

Total

$

548.7

$

2,787.6

$

2,883.3

$

2,188.5

$

1,651.2

$

5,083.3

$

15,142.6

Direct financing leases:

A- and above

$

9.6

$

1.4

$

35.6

$

16.0

$

29.4

$

233.4

$

325.4

BBB+ thru BBB-

40.3

22.3

38.4

23.8

16.7

157.6

299.1

BB+ thru BB-

5.6

6.7

3.4

—

4.1

19.8

B+ and below

—

1.3

Total

$

55.5

$

30.4

$

77.4

$

39.8

$

46.1

$

396.4

$

645.6

Residential mortgage loans (1):

Performing

$

73.6

$

509.4

$

210.5

$

196.6

$

138.2

$

409.1

$

1,537.4

Non-performing

—

0.7

0.9

0.6

—

7.5

9.7

Total

$

73.6

$

510.1

$

211.4

$

197.2

$

138.2

$

416.6

$

1,547.1

Reinsurance recoverables

$

510.4

(1)	The amortized cost of mortgage loans excluded accrued interest receivable of $56.0 million as of March 31, 2020.

Performing and Non-Performing Residential Mortgage Loans (Table)


	December 31, 2019 (1)
	First liens		Home equity		Total
	(in millions)
Performing	$	1,474.2	$	8.0	$	1,482.2
Non-performing		11.5		3.0		14.5
Total	$	1,485.7	$	11.0	$	1,496.7

(1)

Prior to the implementation of authoritative guidance in 2020, residential mortgage loan credit quality disclosures included information about classes of those mortgages and information by vintage was excluded. Beginning in 2020, we determined that total residential mortgage loans by credit risk and vintage is the most meaningful presentation.

Financing Receivables Aging (Table)

March 31, 2020

Amortized

cost

90 days or

30-59 days

60-89 days

more past

Total past

more and

past due

due

Current

Total (1)

accruing

(in millions)

Commercial mortgage loans

$

5.8

$

—

$

4.4

$

10.2

$

15,132.4

$

15,142.6

$

—

Direct financing leases

4.9

—

4.9

640.7

645.6

—

Residential mortgage loans

35.0

8.0

6.1

49.1

1,498.0

1,547.1

2.8

Total

$

45.7

$

8.0

$

10.5

$

64.2

$

17,271.1

$

17,335.3

$

2.8

(1)	No reinsurance recoverables were considered past due as of March 31, 2020.


	December 31, 2019 (1)
													Recorded
													investment
					90 days or								90 days or
	30-59 days		60-89 days		more past		Total past						more and
	past due		past due		due		due		Current		Total loans		accruing
	(in millions)
Commercial-brick and mortar	$	—	$	—	$	—	$	—	$	14,856.7	$	14,856.7	$	—
Commercial-CTL		—		—		—		—		160.5		160.5		—
Residential-first liens		46.6		9.3		11.2		67.1		1,418.6		1,485.7		2.7
Residential-home equity		0.8		—		0.3		1.1		9.9		11.0		—
Total	$	47.4	$	9.3	$	11.5	$	68.2	$	16,445.7	$	16,513.9	$	2.7

(1)

Prior to the implementation of authoritative guidance in 2020, commercial and residential mortgage loan past due disclosures included information about classes of those mortgages. Beginning in 2020, we determined that aging for total commercial and residential mortgage loans is the most meaningful presentation.

Mortgage Loans Purchased and Sold (Table)


	For the three months ended
	March 31,
	2020		2019
	(in millions)
Commercial mortgage loans:
Purchased	$	12.8	$	12.9
Sold		1.1		0.5
Residential mortgage loans:
Purchased		226.8		33.2
Sold		24.9		10.9

Financial Assets Subject to Netting Agreements (Table)


			Gross amounts not offset in the
			consolidated statements
			of financial position
	Gross amount
	of recognized		Financial		Collateral
	assets (1)		instruments (2)		received		Net amount
	(in millions)
March 31, 2020
Derivative assets	$	616.2	$	(93.8)	$	(517.5)	$	4.9
Reverse repurchase agreements		9.7		—		(9.7)		—
Total	$	625.9	$	(93.8)	$	(527.2)	$	4.9
December 31, 2019
Derivative assets	$	288.7	$	(88.4)	$	(197.6)	$	2.7
Reverse repurchase agreements		23.6		—		(23.6)		—
Total	$	312.3	$	(88.4)	$	(221.2)	$	2.7

(1)

The gross amount of recognized derivative and reverse repurchase agreement assets are reported with other investments and cash and cash equivalents, respectively, on the consolidated statements of financial position. The above excludes $1.4 million and $6.0 million of derivative assets as of March 31, 2020 and December 31, 2019, respectively, that are not subject to master netting agreements or similar agreements. The gross amounts of derivative and reverse repurchase agreement assets are not netted against offsetting liabilities for presentation on the consolidated statements of financial position.

(2)	Represents amount of offsetting derivative liabilities that are subject to an enforceable master netting agreement or similar agreement that are not netted against the gross derivative assets for presentation on the consolidated statements of financial position.