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Investments (Tables)

9 Months Ended

Sep. 30, 2022

Investments

Available-for-Sale Securities (Table)

Gross

Allowance

Amortized

unrealized

for credit

cost (1)

gains

losses

loss

Fair value

(in millions)

September 30, 2022

Fixed maturities, available-for-sale:

U.S. government and agencies

2,300.1

—

254.6

—

2,045.5

Non-U.S. governments

635.1

24.7

84.3

—

575.5

States and political subdivisions

7,598.0

13.0

1,194.3

—

6,416.7

Corporate

41,897.2

318.5

5,598.8

6.8

36,610.1

Residential mortgage-backed pass-through securities

1,959.9

0.9

223.0

—

1,737.8

Commercial mortgage-backed securities

5,642.9

1.4

656.0

—

4,988.3

Collateralized debt obligations (2)

4,128.9

1.9

136.1

—

3,994.7

Other debt obligations

6,750.3

1.9

711.6

0.1

6,040.5

Total fixed maturities, available-for-sale

70,912.4

362.3

8,858.7

6.9

62,409.1


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

		(in millions)
December 31, 2021
Fixed maturities, available-for-sale:
U.S. government and agencies	$	1,978.0	$	148.0	$	37.4	$	—	$	2,088.6
Non-U.S. governments		851.0		133.1		2.1		—		982.0
States and political subdivisions		8,290.7		1,030.3		16.6		—		9,304.4
Corporate		42,139.2		4,044.8		224.5		15.1		45,944.4
Residential mortgage-backed pass-through securities		3,122.3		59.0		28.4		—		3,152.9
Commercial mortgage-backed securities		5,436.2		157.8		31.5		0.3		5,562.2
Collateralized debt obligations (2)		3,564.7		4.5		9.6		—		3,559.6
Other debt obligations		7,487.8		131.1		58.4		0.1		7,560.4
Total fixed maturities, available-for-sale	$	72,869.9	$	5,708.6	$	408.5	$	15.5	$	78,154.5

(1)	Amortized cost excludes accrued interest receivable of $594.2 million and $542.6 million as of September 30, 2022 and December 31, 2021, 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	$	2,021.5	$	2,005.8
Due after one year through five years		9,355.6		8,905.8
Due after five years through ten years		12,967.0		11,592.6
Due after ten years		28,086.3		23,143.6
Subtotal		52,430.4		45,647.8
Mortgage-backed and other asset-backed securities		18,482.0		16,761.3
Total	$	70,912.4	$	62,409.1

Net Realized Capital Gains and Losses (Table)


	For the three months ended				For the nine months ended
	September 30,				September 30,
	2022		2021		2022		2021

	(in millions)
Fixed maturities, available-for-sale:
Gross gains	$	20.0	$	13.0	$	26.0	$	61.2
Gross losses		(50.7)		(0.9)		(163.3)		(29.0)
Net credit recoveries (losses)		4.3		(9.6)		(5.8)		(27.4)
Hedging, net (1)		—		—		(0.7)		(1.0)
Fixed maturities, trading (2)		(16.6)		(4.0)		(39.1)		(28.7)
Equity securities (3)		(37.1)		31.2		(187.5)		85.5
Mortgage loans		(2.5)		2.6		(19.3)		14.2
Derivatives (1)		50.2		(173.7)		155.3		(153.9)
Other		(23.3)		(10.6)		(159.7)		37.4
Net realized capital losses	$	(55.7)	$	(152.0)	$	(394.1)	$	(41.7)

(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 $(10.1) million and $(4.0) million for the three months ended September 30, 2022 and 2021, respectively, and $(29.3) million and $(27.6) million for the nine months ended September 30, 2022 and 2021, respectively.

(3)

Unrealized gains (losses) on equity securities still held at the reporting date were $(37.1) million and $21.5 million for the three months ended September 30, 2022 and 2021, respectively, and $(184.0) million and $54.0 million for the nine months ended September 30, 2022 and 2021, respectively. This excludes $(7.2) million and $3.7 million for the three months ended September 30, 2022 and 2021, respectively, and $(17.7) million and $9.6 million for the nine months ended September 30, 2022 and 2021, respectively, of unrealized gains (losses) 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, 2022

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

—

12.5

—

12.5

Additions for credit losses not previously recorded

—

1.8

—

0.1

1.9

Reductions for securities sold during the period

—

(1.2)

—

(1.2)

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

—

(6.4)

—

0.2

—

(6.2)

Write-offs charged against allowance

—

(0.2)

—

(0.2)

Foreign currency translation adjustment

—

0.1

—

0.1

Ending balance

—

6.8

—

0.1

6.9


	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		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 nine months ended September 30, 2022

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

—

15.1

—

0.3

—

0.1

15.5

Additions for credit losses not previously recorded

—

5.0

—

0.1

5.1

Reductions for securities sold during the period

—

(8.7)

—

(8.7)

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

—

(3.4)

—

(3.4)

Write-offs charged against allowance

—

(0.3)

—

(0.1)

(0.4)

Foreign currency translation adjustment

—

(1.2)

—

(1.2)

Ending balance

—

6.8

—

0.1

6.9


	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		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

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

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

September 30, 2022

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

1,922.3

215.0

123.1

39.6

2,045.4

254.6

Non-U.S. governments

413.6

79.7

11.0

4.5

424.6

84.2

States and political subdivisions

5,740.2

1,126.9

257.3

67.4

5,997.5

1,194.3

Corporate

29,578.7

4,984.1

2,443.8

617.4

32,022.5

5,601.5

Residential mortgage-backed pass-through securities

1,253.5

139.1

434.0

84.0

1,687.5

223.1

Commercial mortgage-backed securities

4,132.0

509.6

779.9

144.9

4,911.9

654.5

Collateralized debt obligations (2)

2,791.0

98.0

981.3

38.1

3,772.3

136.1

Other debt obligations

4,086.7

372.6

1,864.9

338.7

5,951.6

711.3

Total fixed maturities, available-for-sale

49,918.0

7,525.0

6,895.3

1,334.6

56,813.3

8,859.6

(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, 2021
	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	$	129.3	$	3.4	$	482.9	$	34.0	$	612.2	$	37.4
Non-U.S. governments		57.8		2.0		—		—		57.8		2.0
States and political subdivisions		690.2		10.5		102.3		6.1		792.5		16.6
Corporate		5,281.6		121.2		1,327.5		101.5		6,609.1		222.7
Residential mortgage-backed pass-through securities		1,562.6		22.2		194.9		6.3		1,757.5		28.5
Commercial mortgage-backed securities		1,297.4		15.6		299.6		15.7		1,597.0		31.3
Collateralized debt obligations (2)		1,592.5		2.8		424.4		6.7		2,016.9		9.5
Other debt obligations		3,949.9		49.4		211.0		9.0		4,160.9		58.4
Total fixed maturities, available-for-sale	$	14,561.3	$	227.1	$	3,042.6	$	179.3	$	17,603.9	$	406.4

(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, 2022		December 31, 2021

	(in millions)
Net unrealized gains (losses) on fixed maturities, available-for-sale (1)	$	(8,675.5)	$	5,289.9
Net unrealized gains on derivative instruments		142.5		80.1
Adjustments for assumed changes in amortization patterns		847.9		(266.1)
Adjustments for assumed changes in policyholder liabilities		3.7		(689.2)
Net unrealized gains on other investments and noncontrolling interest adjustments		43.0		40.5
Provision for deferred income tax benefits (taxes)		1,627.6		(936.0)
Net unrealized gains (losses) on available-for-sale securities and derivative instruments	$	(6,010.8)	$	3,519.2

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

Financing Receivable Credit Quality Indicators (Table)

September 30, 2022

2022

2021

2020

2019

2018

Prior

Total

(in millions)

Commercial mortgage loans:

A- and above

1,028.5

2,263.6

1,789.7

2,240.9

2,243.8

4,919.7

14,486.2

BBB+ thru BBB-

190.3

353.2

206.7

387.5

198.4

563.8

1,899.9

BB+ thru BB-

8.1

53.4

5.1

—

57.0

123.6

B+ and below

—

8.5

39.1

47.6

Total

1,226.9

2,670.2

2,001.5

2,628.4

2,450.7

5,579.6

16,557.3

Direct financing leases:

A- and above

91.2

1.0

35.0

1.3

37.7

163.1

329.3

BBB+ thru BBB-

29.7

19.1

55.6

10.4

10.2

61.7

186.7

BB+ thru BB-

—

49.8

12.8

1.8

—

1.9

66.3

B+ and below

—

1.3

—

1.3

Total

120.9

71.2

103.4

13.5

47.9

226.7

583.6

Residential mortgage loans:

Performing

978.7

2,054.6

444.6

130.9

73.0

416.0

4,097.8

Non-performing

—

3.6

3.1

1.3

1.6

6.0

15.6

Total

978.7

2,058.2

447.7

132.2

74.6

422.0

4,113.4

Reinsurance recoverable and deposit receivable

22,895.6


	December 31, 2021
	2021		2020		2019		2018		2017		Prior		Total

	(in millions)
Commercial mortgage loans:
A- and above	$	2,275.9	$	1,722.7	$	2,412.9	$	2,383.3	$	1,437.2	$	4,334.2	$	14,566.2
BBB+ thru BBB-		278.6		305.6		294.0		131.4		302.1		380.0		1,691.7
BB+ thru BB-		32.8		5.3		—		—		—		55.4		93.5
B+ and below		—		—		—		8.8		—		34.5		43.3
Total	$	2,587.3	$	2,033.6	$	2,706.9	$	2,523.5	$	1,739.3	$	4,804.1	$	16,394.7

Direct financing leases:
A- and above	$	11.7	$	41.8	$	1.4	$	39.4	$	16.6	$	235.6	$	346.5
BBB+ thru BBB-		30.2		57.9		22.0		17.9		15.5		50.2		193.7
BB+ thru BB-		50.8		13.4		1.9		—		—		2.1		68.2
B+ and below		1.5		—		—		—		—		—		1.5
Total	$	94.2	$	113.1	$	25.3	$	57.3	$	32.1	$	287.9	$	609.9

Residential mortgage loans:
Performing	$	2,039.1	$	510.1	$	155.6	$	91.2	$	102.4	$	415.6	$	3,314.0
Non-performing		—		1.8		0.6		—		0.8		2.7		5.9
Total	$	2,039.1	$	511.9	$	156.2	$	91.2	$	103.2	$	418.3	$	3,319.9

Reinsurance recoverable and deposit receivable													$	1,189.3

Non-Accrual Financing Receivables (Table)


		September 30, 2022
					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	$	13.2	$	50.2	$	—
Residential mortgage loans		4.0		8.8		0.7
Total	$	17.2	$	59.0	$	0.7


	December 31, 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	$	13.2	$	—
Residential mortgage loans		10.8		4.0		0.7
Total	$	21.5	$	17.2	$	0.7

Schedule of Interest Income Recognized on Non-accrual Financing Receivables (Table)

For the three months ended

For the nine months ended

September 30,

2022

2021

2022

2021

(in millions)

Commercial mortgage loans

—

0.8

—

Total

—

0.8

—

Financing Receivables Aging (Table)

September 30, 2022

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

8.8

0.8

15.9

25.5

16,531.8

16,557.3

0.7

Direct financing leases

11.7

1.8

1.3

14.8

568.8

583.6

1.3

Residential mortgage loans

42.0

11.7

13.8

67.5

4,045.9

4,113.4

6.8

Total

62.5

14.3

31.0

107.8

21,146.5

21,254.3

8.8


	December 31, 2021
													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	$	0.7	$	—	$	7.1	$	7.8	$	16,386.9	$	16,394.7	$	2.7
Direct financing leases		—		1.9		0.7		2.6		607.3		609.9		0.7
Residential mortgage loans		59.2		9.6		5.2		74.0		3,245.9		3,319.9		1.9
Total	$	59.9	$	11.5	$	13.0	$	84.4	$	20,240.1	$	20,324.5	$	5.3

(1)	As of both September 30, 2022 and December 31, 2021, no reinsurance recoverables or deposit receivables were considered past due.

Financing Receivables Valuation Allowance (Table)

For the three months ended September 30, 2022

Direct

Commercial

financing

Residential

Reinsurance

mortgage loans

leases

mortgage loans

recoverables

Total

(in millions)

Beginning balance

63.6

0.3

1.7

2.6

68.2

Provision

2.0

0.3

0.5

—

2.8

Recoveries

—

0.5

—

0.5

Foreign currency translation adjustment

(0.1)

—

(0.1)

—

(0.2)

Ending balance

65.5

0.6

2.6

71.3


	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 nine months ended September 30, 2022

Direct

Commercial

financing

Residential

Reinsurance

mortgage loans

leases

mortgage loans

recoverables

Total

(in millions)

Beginning balance

43.9

0.4

2.0

2.7

49.0

Provision

21.9

0.2

(1.1)

(0.1)

20.9

Charge-offs

—

(0.1)

—

(0.1)

Recoveries

—

1.9

—

1.9

Foreign currency translation adjustment

(0.3)

—

(0.1)

—

(0.4)

Ending balance

65.5

0.6

2.6

71.3


	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

(1)

During the three and nine months ended September 30, 2021, certain valuation allowances for 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.

Mortgage Loans Purchased and Sold (Table)

For the three months ended

For the nine months ended

September 30,

2022

2021

2022

2021

(in millions)

Commercial mortgage loans:

Purchased

98.2

1.5

144.4

106.3

Sold

0.1

—

0.1

66.3

Residential mortgage loans:

Purchased (1)

476.1

1,142.0

1,657.5

1,955.0

Sold

4.8

29.5

490.8

73.1

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

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


	September 30, 2022				December 31, 2021
	Amortized		Percent		Amortized		Percent
	cost		of total		cost		of total

	($ in millions)
Geographic distribution
New England	$	519.3	3.1	%	$	585.6	3.6	%
Middle Atlantic		4,594.6	27.7			4,536.5	27.7
East North Central		625.7	3.8			623.9	3.8
West North Central		366.5	2.2			338.6	2.1
South Atlantic		2,482.9	15.0			2,464.9	15.0
East South Central		330.3	2.0			378.9	2.3
West South Central		1,136.3	6.9			1,243.7	7.6
Mountain		927.0	5.6			925.6	5.6
Pacific		5,113.0	30.9			4,864.4	29.7
International		461.7	2.8			432.6	2.6
Total	$	16,557.3	100.0	%	$	16,394.7	100.0	%

Property type distribution
Office	$	4,309.4	26.0	%	$	4,789.8	29.3	%
Retail		1,553.2	9.4			1,622.1	9.9
Industrial		3,220.9	19.5			2,966.4	18.1
Apartments		6,696.2	40.4			6,234.3	38.0
Hotel		73.6	0.4			85.7	0.5
Mixed use/other		704.0	4.3			696.4	4.2
Total	$	16,557.3	100.0	%	$	16,394.7	100.0	%

Mortgage Loans Modified as a Troubled Debt Restructuring (Table)

The following table includes information about outstanding loans that were modified and met the criteria of a TDR during the periods indicated.


	For the nine months ended September 30,
	2022			2021
	Number of	Recorded		Number of	Recorded
	contracts	investment		contracts	investment
		(in millions)			(in millions)
Commercial mortgage loans	1	$	34.9	—	$	—
Total	1	$	34.9	—	$	—

We did not have any significant loans that were modified and met the criteria of a TDR for the three months ended September 30, 2022 and 2021.

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, 2022
Derivative assets	$	373.0	$	(133.5)	$	(224.6)	$	14.9
Reverse repurchase agreements		25.1		—		(25.1)		—
Total	$	398.1	$	(133.5)	$	(249.7)	$	14.9
December 31, 2021
Derivative assets	$	337.1	$	(100.1)	$	(229.7)	$	7.3
Reverse repurchase agreements		16.4		—		(16.4)		—
Total	$	353.5	$	(100.1)	$	(246.1)	$	7.3

(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, 2022

Derivative liabilities

716.2

(133.5)

(511.7)

71.0

December 31, 2021

Derivative liabilities

225.3

(100.1)

(115.2)

10.0

(1)

The gross amount of recognized derivative liabilities is reported with other liabilities on the consolidated statements of financial position. The above excludes derivative liabilities, 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.