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Investments (Tables)

9 Months Ended

Sep. 30, 2021

Investments

Available-for-Sale Securities (Table)

Gross

Allowance

Amortized

unrealized

for credit

cost (1)

gains

losses

loss

Fair value

(in millions)

September 30, 2021

Fixed maturities, available-for-sale:

U.S. government and agencies

1,821.7

140.6

40.5

—

1,921.8

Non-U.S. governments

906.3

139.3

0.8

—

1,044.8

States and political subdivisions

8,255.6

1,004.3

26.9

—

9,233.0

Corporate

41,412.9

4,350.9

203.0

15.9

45,544.9

Residential mortgage-backed pass-through securities

2,816.2

82.8

16.4

—

2,882.6

Commercial mortgage-backed securities

5,086.5

219.2

22.2

0.3

5,283.2

Collateralized debt obligations (2)

3,569.6

7.3

10.6

—

3,566.3

Other debt obligations

6,942.3

162.1

23.8

0.1

7,080.5

Total fixed maturities, available-for-sale

70,811.1

6,106.5

344.2

16.3

76,557.1


			Gross		Gross		Allowance
	Amortized		unrealized		unrealized		for credit
	cost (1)		gains		losses		loss		Fair value

		(in millions)
December 31, 2020
Fixed maturities, available-for-sale:
U.S. government and agencies	$	1,893.1	$	228.9	$	10.5	$	—	$	2,111.5
Non-U.S. governments		881.6		192.1		—		—		1,073.7
States and political subdivisions		8,004.9		1,175.5		12.6		—		9,167.8
Corporate		41,289.9		6,160.9		95.1		0.9		47,354.8
Residential mortgage-backed pass-through securities		2,857.6		129.4		0.2		—		2,986.8
Commercial mortgage-backed securities		4,741.2		241.3		35.9		4.3		4,942.3
Collateralized debt obligations (2)		4,045.9		8.7		24.9		2.2		4,027.5
Other debt obligations		6,832.6		243.2		29.9		—		7,045.9
Total fixed maturities, available-for-sale	$	70,546.8	$	8,380.0	$	209.1	$	7.4	$	78,710.3

(1)	Amortized cost excludes accrued interest receivable of $570.1 million and $552.5 million as of September 30, 2021 and December 31, 2020, respectively.

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

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


	Amortized cost		Fair value

	(in millions)
Due in one year or less	$	2,216.3	$	2,245.6
Due after one year through five years		10,723.2		11,323.9
Due after five years through ten years		14,142.4		15,275.6
Due after ten years		25,314.6		28,899.4
Subtotal		52,396.5		57,744.5
Mortgage-backed and other asset-backed securities		18,414.6		18,812.6
Total	$	70,811.1	$	76,557.1

Net Realized Capital Gains and Losses (Table)


	For the three months ended				For the nine months ended
	September 30,				September 30,
	2021		2020		2021		2020

	(in millions)
Fixed maturities, available-for-sale:
Gross gains	$	13.0	$	22.3	$	61.2	$	128.6
Gross losses		(0.9)		(12.8)		(29.0)		(38.6)
Net credit losses		(9.6)		(9.1)		(27.4)		(25.3)
Hedging, net (1)		—		(0.2)		(1.0)		(9.8)
Fixed maturities, trading (2)		(4.0)		(1.5)		(28.7)		7.2
Equity securities (3)		31.2		52.8		85.5		28.4
Mortgage loans		2.6		(0.3)		14.2		(15.3)
Derivatives (1)		(173.7)		(42.5)		(153.9)		52.3
Other		(10.6)		56.8		37.4		42.0
Net realized capital gains (losses)	$	(152.0)	$	65.5	$	(41.7)	$	169.5

(1)

The change in fair value of fixed maturities, available-for-sale and the change in fair value of derivative hedging instruments in fair value hedging relationships are reported in net investment income with the earnings effect of fixed maturities, available-for-sale. Gains (losses) for fixed maturities, available-for-sale related to terminated cash flow hedges continue to be reflected in net realized capital gains (losses).

(2)

Unrealized gains (losses) on fixed maturities, trading still held at the reporting date were $(4.1) million and $(1.5) million for the three months ended September 30, 2021 and 2020, respectively, and $(27.6) million and $8.7 million for the nine months ended September 30, 2021 and 2020, respectively.

(3)

Unrealized gains (losses) on equity securities still held at the reporting date were $21.5 million and $48.0 million for the three months ended September 30, 2021 and 2020, respectively, and $54.0 million and $30.0 million for the nine months ended September 30, 2021 and 2020, respectively. This excludes $3.7 million and $2.7 million for the three months ended September 30, 2021 and 2020, respectively, and $9.6 million and $13.2 million for the nine months ended September 30, 2021 and 2020, respectively, of unrealized gains on equity securities still held at the reporting date that were reported in net investment income.

Allowance for credit loss (Tables)

For the three months ended September 30, 2021

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

(1)

obligations

Total

(in millions)

Beginning balance

—

8.5

—

0.2

—

8.7

Additions for credit losses not previously recorded

—

7.8

—

0.1

—

0.1

8.0

Foreign currency translation adjustment

—

(0.4)

—

(0.4)

Ending balance

—

15.9

—

0.3

—

0.1

16.3


	For the three months ended September 30, 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		securities		(1)		obligations		Total

	(in millions)
Beginning balance	$	—	$	—	$	—	$	2.8	$	—	$	3.4	$	1.0	$	—	$	7.2
Additions for credit losses not previously recorded		—		—		—		3.4		—		1.2		—		—		4.6
Additional increases (decreases) for credit losses on securities with an allowance recorded in the previous period		—		—		—		—		—		1.0		0.9		—		1.9
Write-offs charged against allowance		—		—		—		—		—		(1.6)		—		—		(1.6)
Ending balance	$	—	$	—	$	—	$	6.2	$	—	$	4.0	$	1.9	$	—	$	12.1

For the nine months ended September 30, 2021

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

(1)

obligations

Total

(in millions)

Beginning balance

—

0.9

—

4.3

2.2

—

7.4

Additions for credit losses not previously recorded

—

15.4

—

0.4

—

0.1

15.9

Additional increases (decreases) for credit losses on securities with an allowance recorded in the previous period

—

2.4

0.4

—

2.8

Write-offs charged against allowance

—

(6.8)

(2.6)

—

(9.4)

Foreign currency translation adjustment

—

(0.4)

—

(0.4)

Ending balance

—

15.9

—

0.3

—

0.1

16.3

Accrued interest written off to net investment income

—

0.2

—

0.2


	For the nine months ended September 30, 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		securities		(1)		obligations		Total

	(in millions)
Beginning balance (2)	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—
Additions for credit losses not previously recorded		—		—		—		13.2		—		2.9		0.1		0.1		16.3
Reductions for securities sold during the period		—		—		—		(7.0)		—		—		—		—		(7.0)
Additional increases (decreases) for credit losses on securities with an allowance recorded in the previous period		—		—		—		—		—		2.7		1.8		(0.1)		4.4
Write-offs charged against allowance		—		—		—		—		—		(1.6)		—		—		(1.6)
Ending balance	$	—	$	—	$	—	$	6.2	$	—	$	4.0	$	1.9	$	—	$	12.1

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

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

Available-for-Sale Securities in Unrealized Loss Positions Without an Allowance for Credit Loss (Table)

September 30, 2021

Less than

Greater than or

twelve months

equal to twelve months

Total

Gross

Fair

unrealized

Fair

unrealized

Fair

unrealized

value

losses

value

losses

value

losses

(in millions)

Fixed maturities, available-for-sale (1):

U.S. government and agencies

400.1

14.9

150.8

25.7

550.9

40.6

Non-U.S. governments

47.7

0.8

—

47.7

0.8

States and political subdivisions

632.3

10.9

245.1

15.9

877.4

26.8

Corporate

4,287.4

141.3

448.6

48.6

4,736.0

189.9

Residential mortgage-backed pass-through securities

1,229.4

15.9

21.8

0.6

1,251.2

16.5

Commercial mortgage-backed securities

480.6

4.9

321.6

14.1

802.2

19.0

Collateralized debt obligations (2)

1,235.9

2.9

461.3

7.7

1,697.2

10.6

Other debt obligations

2,334.4

17.3

177.4

6.5

2,511.8

23.8

Total fixed maturities, available-for-sale

10,647.8

208.9

1,826.6

119.1

12,474.4

328.0

(1)	Fair value and gross unrealized losses are excluded for available-for-sale securities for which an allowance for credit loss has been recorded.

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


	December 31, 2020
	Less than				Greater than or
	twelve months				equal to twelve months				Total
			Gross				Gross				Gross
	Fair		unrealized		Fair		unrealized		Fair		unrealized
	value		losses		value		losses		value		losses

	(in millions)
Fixed maturities, available-for-sale (1):
U.S. government and agencies	$	351.1	$	10.4	$	—	$	—	$	351.1	$	10.4
States and political subdivisions		363.5		12.5		—		—		363.5		12.5
Corporate		1,578.7		54.4		267.9		40.6		1,846.6		95.0
Residential mortgage-backed pass-through securities		92.3		0.2		1.6		—		93.9		0.2
Commercial mortgage-backed securities		970.9		22.1		137.4		12.2		1,108.3		34.3
Collateralized debt obligations (2)		1,750.6		11.1		931.1		12.9		2,681.7		24.0
Other debt obligations		802.3		28.1		61.1		1.7		863.4		29.8
Total fixed maturities, available-for-sale	$	5,909.4	$	138.8	$	1,399.1	$	67.4	$	7,308.5	$	206.2

(1)	Fair value and gross unrealized losses are excluded for available-for-sale securities for which an allowance for credit loss has been recorded.

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

Net Unrealized Gains and Losses on Available-for-Sale Securities and Derivative Instruments (Table)


	September 30, 2021		December 31, 2020

	(in millions)
Net unrealized gains on fixed maturities, available-for-sale (1)	$	5,749.7	$	8,193.0
Net unrealized gains on derivative instruments		79.6		38.9
Adjustments for assumed changes in amortization patterns		(316.5)		(437.3)
Adjustments for assumed changes in policyholder liabilities		(1,029.2)		(2,603.9)
Net unrealized gains on other investments and noncontrolling interest adjustments		55.9		78.0
Provision for deferred income taxes		(956.7)		(1,112.2)
Net unrealized gains on available-for-sale securities and derivative instruments	$	3,582.8	$	4,156.5

(1)	Excludes net unrealized gains (losses) on fixed maturities, available-for-sale included in fair value hedging relationships.

Financing Receivable Credit Quality Indicators (Table)

As of September 30, 2021

2021

2020

2019

2018

2017

Prior

Total

(in millions)

Commercial mortgage loans:

A- and above

1,852.4

1,812.6

2,447.0

2,411.6

1,623.0

4,504.4

14,651.0

BBB+ thru BBB-

233.1

296.9

294.0

160.5

183.3

384.8

1,552.6

BB+ thru BB-

23.8

5.4

—

56.1

85.3

B+ and below

—

9.0

—

34.7

43.7

Total

2,109.3

2,114.9

2,741.0

2,581.1

1,806.3

4,980.0

16,332.6

Direct financing leases:

A- and above

—

44.1

1.4

40.3

17.1

255.0

357.9

BBB+ thru BBB-

25.1

59.4

22.7

18.3

16.0

53.1

194.6

BB+ thru BB-

51.6

13.8

1.9

—

2.1

69.4

B+ and below

1.5

—

1.5

Total

78.2

117.3

26.0

58.6

33.1

310.2

623.4

Residential mortgage loans:

Performing

1,665.2

585.2

181.5

101.5

117.5

470.3

3,121.2

Non-performing

0.7

1.8

1.3

0.6

0.8

4.0

9.2

Total

1,665.9

587.0

182.8

102.1

118.3

474.3

3,130.4

Reinsurance recoverables

1,122.7


	As of December 31, 2020
	2020		2019		2018		2017		2016		Prior		Total

	(in millions)
Commercial mortgage loans:
A- and above	$	1,807.6	$	2,486.8	$	2,464.7	$	1,780.8	$	1,417.8	$	3,697.0	$	13,654.7
BBB+ thru BBB-		149.1		194.1		352.5		262.7		75.8		499.7		1,533.9
BB+ thru BB-		23.7		69.0		—		—		9.1		43.9		145.7
B+ and below		39.4		20.0		—		5.8		6.6		35.5		107.3
Total	$	2,019.8	$	2,769.9	$	2,817.2	$	2,049.3	$	1,509.3	$	4,276.1	$	15,441.6

Direct financing leases:
A- and above	$	43.9	$	1.6	$	42.6	$	19.2	$	15.3	$	202.9	$	325.5
BBB+ thru BBB-		94.9		5.5		11.3		18.4		3.0		35.5		168.6
BB+ thru BB-		13.3		—		—		—		—		1.9		15.2
B+ and below		57.6		22.5		11.9		—		1.0		108.5		201.5
Total	$	209.7	$	29.6	$	65.8	$	37.6	$	19.3	$	348.8	$	710.8

Residential mortgage loans:
Performing	$	699.1	$	336.7	$	167.0	$	165.1	$	167.6	$	398.7	$	1,934.2
Non-performing		—		2.0		0.8		1.4		0.4		12.7		17.3
Total	$	699.1	$	338.7	$	167.8	$	166.5	$	168.0	$	411.4	$	1,951.5

Reinsurance recoverables													$	1,098.0

Non-Accrual Financing Receivables (Table)


		September 30, 2021
					Amortized cost
	Beginning		Ending		of nonaccrual
	amortized cost		amortized cost		assets without
	on nonaccrual		on nonaccrual		a valuation
	status		status		allowance

		(in millions)
Commercial mortgage loans	$	10.7	$	4.6	$	—
Residential mortgage loans		10.8		6.2		0.7
Total	$	21.5	$	10.8	$	0.7


	December 31, 2020
					Amortized cost
	Beginning		Ending		of nonaccrual
	amortized cost		amortized cost		assets without
	on nonaccrual		on nonaccrual		a valuation
	status		status		allowance

		(in millions)
Commercial mortgage loans	$	5.0	$	10.7	$	—
Residential mortgage loans		6.8		10.8		0.7
Total	$	11.8	$	21.5	$	0.7

Financing Receivables Aging (Table)

September 30, 2021

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

5.3

0.1

7.3

12.7

16,319.9

16,332.6

2.7

Direct financing leases

—

3.6

619.8

623.4

3.6

Residential mortgage loans

34.8

7.4

49.6

3,080.8

3,130.4

3.0

Total

40.1

7.5

18.3

65.9

20,020.5

20,086.4

9.3


	December 31, 2020
													Amortized
													cost
					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 (1)		accruing

	(in millions)
Commercial mortgage loans	$	42.1	$	9.2	$	12.0	$	63.3	$	15,378.3	$	15,441.6	$	1.3
Direct financing leases		—		3.2		—		3.2		707.6		710.8		—
Residential mortgage loans		66.6		8.8		10.9		86.3		1,865.2		1,951.5		6.5
Total	$	108.7	$	21.2	$	22.9	$	152.8	$	17,951.1	$	18,103.9	$	7.8

(1)	As of both September 30, 2021 and December 31, 2020, no reinsurance recoverables were considered past due.

Financing Receivables Valuation Allowance (Table)

For the three months ended September 30, 2021

Direct

Commercial

financing

Residential

Reinsurance

mortgage loans

leases

mortgage loans

recoverables

Total

(in millions)

Beginning balance

36.6

0.3

3.2

2.6

42.7

Provision (1)

(2.1)

—

(1.4)

0.1

(3.4)

Charge-offs

—

(0.2)

—

(0.2)

Recoveries

—

1.0

—

1.0

Foreign currency translation adjustment

(0.1)

—

(0.1)

Ending balance

34.4

0.3

2.6

2.7

40.0


	For the three months ended September 30, 2020
			Direct
	Commercial		financing		Residential		Reinsurance
	mortgage loans		leases		mortgage loans		recoverables		Total

		(in millions)
Beginning balance	$	40.4	$	0.2	$	5.6	$	2.5	$	48.7
Provision		1.7		(0.1)		(0.3)		0.1		1.4
Charge-offs		—		—		(0.1)		—		(0.1)
Recoveries		—		—		0.6		—		0.6
Ending balance	$	42.1	$	0.1	$	5.8	$	2.6	$	50.6

For the nine months ended September 30, 2021

Direct

Commercial

financing

Residential

Reinsurance

mortgage loans

leases

mortgage loans

recoverables

Total

(in millions)

Beginning balance

43.2

0.1

6.9

2.7

52.9

Provision (1)

(8.6)

0.2

(6.5)

—

(14.9)

Charge-offs

—

(0.5)

—

(0.5)

Recoveries

—

2.7

—

2.7

Foreign currency translation adjustment

(0.2)

—

(0.2)

Ending balance

34.4

0.3

2.6

2.7

40.0


	For the nine months ended September 30, 2020
			Direct
	Commercial		financing		Residential		Reinsurance
	mortgage loans		leases		mortgage loans		recoverables		Total

		(in millions)
Beginning balance (2)	$	27.3	$	—	$	3.3	$	2.5	$	33.1
Provision (3)		14.8		0.1		1.0		0.1		16.0
Charge-offs		—		—		(0.3)		—		(0.3)
Recoveries		—		—		1.8		—		1.8
Ending balance	$	42.1	$	0.1	$	5.8	$	2.6	$	50.6

(1)

During the three and nine months ended September 30, 2021, certain valuation allowances for commercial and residential mortgage loans were released. This release was a result of further adjustments to our current and forecasted environmental factors management believed to be relevant as global economic activity improved from previously adverse impacts due to COVID-19.

(2)

Upon adoption of authoritative guidance effective January 1, 2020, we updated accounting policies and methodology, adjusted the commercial and residential mortgage loan valuation allowance and established a valuation allowance for reinsurance recoverables. See Note 1, Nature of Operations and Significant Accounting Policies under the caption, “Recent Accounting Pronouncements” for further details.

(3)

During the nine months ended September 30, 2020, COVID-19 adversely impacted global economic activity and contributed to significant volatility in financial markets. As a result, certain current and forecasted environmental factors management believed to be relevant were adjusted, resulting in an increase in the valuation allowance for commercial and residential mortgage loans and direct financing leases.

Mortgage Loans Purchased and Sold (Table)

For the three months ended

For the nine months ended

September 30,

2021

2020

2021

2020

(in millions)

Commercial mortgage loans:

Purchased

1.5

65.0

106.3

151.3

Sold

—

3.3

66.3

4.4

Residential mortgage loans:

Purchased (1)

1,142.0

242.0

1,955.0

736.5

Sold

29.5

24.6

73.1

98.0

(1)	Includes mortgage loans purchased by residential mortgage loan VIEs established in 2021.

Commercial Mortgage Loans by Geographic Distribution and Property Type Distribution (Table)


	September 30, 2021				December 31, 2020
	Amortized		Percent		Amortized		Percent
	cost		of total		cost		of total

	($ in millions)
Geographic distribution
New England	$	588.4	3.6	%	$	593.9	3.8	%
Middle Atlantic		4,508.0	27.5			4,438.2	28.8
East North Central		596.4	3.7			572.6	3.7
West North Central		290.4	1.8			267.5	1.7
South Atlantic		2,455.1	15.0			2,368.9	15.3
East South Central		374.9	2.3			316.6	2.1
West South Central		1,249.6	7.7			1,315.9	8.5
Mountain		1,006.9	6.2			936.2	6.1
Pacific		4,825.0	29.5			4,183.0	27.1
International		437.9	2.7			448.8	2.9
Total	$	16,332.6	100.0	%	$	15,441.6	100.0	%

Property type distribution
Office	$	4,839.0	29.7	%	$	4,491.7	29.0	%
Retail		1,689.7	10.3			1,815.3	11.8
Industrial		2,970.6	18.2			2,488.7	16.1
Apartments		6,059.0	37.1			5,958.0	38.6
Hotel		86.6	0.5			89.4	0.6
Mixed use/other		687.7	4.2			598.5	3.9
Total	$	16,332.6	100.0	%	$	15,441.6	100.0	%

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)
September 30, 2021
Derivative assets	$	328.1	$	(112.1)	$	(208.1)	$	7.9
Reverse repurchase agreements		24.2		—		(24.2)		—
Total	$	352.3	$	(112.1)	$	(232.3)	$	7.9
December 31, 2020
Derivative assets	$	463.5	$	(132.5)	$	(293.5)	$	37.5
Reverse repurchase agreements		63.7		—		(63.7)		—
Total	$	527.2	$	(132.5)	$	(357.2)	$	37.5

(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 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.

Financial Liabilities Subject to Netting Agreements (Table)

Gross amounts not offset in the

consolidated statements

of financial position

Gross amount

of recognized

Financial

Collateral

liabilities (1)

instruments (2)

pledged

Net amount

(in millions)

September 30, 2021

Derivative liabilities

242.2

(112.1)

(73.9)

56.2

December 31, 2020

Derivative liabilities

186.2

(132.5)

(45.7)

8.0

(1)

The gross amount of recognized derivative liabilities is reported with other liabilities on the consolidated statements of financial position. The above excludes $356.1 million and $467.8 million of derivative liabilities as of September 30, 2021 and December 31, 2020, respectively, which are primarily embedded derivatives that are not subject to master netting agreements or similar agreements. The gross amounts of derivative liabilities are not netted against offsetting assets for presentation on the consolidated statements of financial position.

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