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Investments (Tables)

3 Months Ended

Mar. 31, 2023

Investments

Available-for-Sale Securities (Table)

Gross

Allowance

Amortized

unrealized

for credit

cost (1)

gains

losses

loss

Fair value

(in millions)

March 31, 2023

Fixed maturities, available-for-sale:

U.S. government and agencies

2,041.5

1.5

213.1

—

1,829.9

Non-U.S. governments

584.3

20.9

56.0

—

549.2

States and political subdivisions

7,061.5

21.5

909.6

—

6,173.4

Corporate

40,630.6

542.6

3,872.6

4.0

37,296.6

Residential mortgage-backed pass-through securities

2,951.5

16.3

172.9

—

2,794.9

Commercial mortgage-backed securities

5,555.1

1.2

628.5

—

4,927.8

Collateralized debt obligations (2)

5,024.6

8.8

131.1

—

4,902.3

Other debt obligations

7,564.7

13.7

655.5

0.1

6,922.8

Total fixed maturities, available-for-sale

71,413.8

626.5

6,639.3

4.1

65,396.9


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

		(in millions)
December 31, 2022
Fixed maturities, available-for-sale:
U.S. government and agencies	$	1,990.9	$	0.1	$	251.2	$	—	$	1,739.8
Non-U.S. governments		611.2		20.9		64.8		—		567.3
States and political subdivisions		7,355.4		13.7		1,136.8		—		6,232.3
Corporate		40,370.4		461.0		4,640.5		7.7		36,183.2
Residential mortgage-backed pass-through securities		2,420.6		6.2		198.1		—		2,228.7
Commercial mortgage-backed securities		5,572.2		0.5		708.1		—		4,864.6
Collateralized debt obligations (2)		4,705.6		4.5		143.7		—		4,566.4
Other debt obligations		7,236.8		5.7		734.8		0.1		6,507.6
Total fixed maturities, available-for-sale	$	70,263.1	$	512.6	$	7,878.0	$	7.8	$	62,889.9

(1)	Amortized cost excludes accrued interest receivable of $632.6 million and $578.0 million as of March 31, 2023 and December 31, 2022, 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	$	1,603.7	$	1,593.3
Due after one year through five years		9,104.5		8,819.0
Due after five years through ten years		11,055.5		10,268.5
Due after ten years		28,554.2		25,168.3
Subtotal		50,317.9		45,849.1
Mortgage-backed and other asset-backed securities		21,095.9		19,547.8
Total	$	71,413.8	$	65,396.9

Net Realized Capital Gains and Losses (Table)


	For the three months ended
	March 31,
	2023		2022

	(in millions)
Fixed maturities, available-for-sale:
Gross gains	$	17.8	$	165.8
Gross losses		(28.0)		(120.7)
Net credit losses		(7.7)		(6.1)
Hedging, net (1)		(1.2)		(0.7)
Fixed maturities, trading (2)		(0.5)		(6.3)
Equity securities (3)		(15.6)		(105.2)
Mortgage loans		(2.7)		(19.6)
Derivatives (1)		(42.9)		8.4
Other		14.8		(52.2)
Net realized capital losses	$	(66.0)	$	(136.6)

(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 $(1.8) million and $(5.2) million for the three months ended March 31, 2023 and 2022, respectively. This excludes $1.8 million and $(7.9) million in unrealized gains (losses) for the three months ended March 31, 2023 and 2022, respectively, that were reported in market risk benefit remeasurement (gain) loss and $(2.8) million and $0.0 million of unrealized gains (losses) for the three months ended March 31, 2023 and 2022, respectively, that were reported in net realized capital gains (losses) on funds withheld assets.

(3)

Unrealized gains (losses) on equity securities still held at the reporting date were $(13.7) million and $(105.5) million for the three months ended March 31, 2023 and 2022, respectively. This excludes $(0.6) million and $(19.3) million of unrealized gains (losses) for the three months ended March 31, 2023 and 2022, respectively, that were reported in net investment income and $1.7 million and $0.0 million of unrealized gains (losses) for the three months ended March 31, 2023 and 2022, respectively, that were reported in net realized capital gains (losses) on funds withheld assets.

Allowance for credit loss (Tables)

For the three months ended March 31, 2023

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

—

7.7

—

0.1

7.8

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

—

(4.2)

—

(4.2)

Foreign currency translation adjustment

—

0.5

—

0.5

Ending balance

—

4.0

—

0.1

4.1


	For the three months ended March 31, 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		securities		(1)		obligations		Total

	(in millions)
Beginning balance	$	—	$	—	$	—	$	15.1	$	—	$	0.3	$	—	$	0.1	$	15.5
Additions for credit losses not previously recorded		—		—		—		1.0		—		—		—		—		1.0
Additional increases (decreases) for credit losses on securities with an allowance recorded in the previous period		—		—		—		3.0		—		—		—		—		3.0
Foreign currency translation adjustment		—		—		—		0.9		—		—		—		—		0.9
Ending balance	$	—	$	—	$	—	$	20.0	$	—	$	0.3	$	—	$	0.1	$	20.4

(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)

March 31, 2023

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

879.6

86.0

605.2

127.3

1,484.8

213.3

Non-U.S. governments

257.4

21.4

131.5

34.5

388.9

55.9

States and political subdivisions

3,191.6

372.3

2,251.2

537.3

5,442.8

909.6

Corporate

17,165.8

1,571.1

12,333.1

2,303.7

29,498.9

3,874.8

Residential mortgage-backed pass-through securities

616.0

16.4

1,159.9

156.5

1,775.9

172.9

Commercial mortgage-backed securities

996.4

78.4

3,749.0

548.6

4,745.4

627.0

Collateralized debt obligations (2)

1,738.4

33.5

2,484.8

97.5

4,223.2

131.0

Other debt obligations

2,413.2

116.9

3,382.9

538.5

5,796.1

655.4

Total fixed maturities, available-for-sale

27,258.4

2,296.0

26,097.6

4,343.9

53,356.0

6,639.9

(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, 2022
	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	$	1,528.3	$	209.4	$	181.5	$	41.8	$	1,709.8	$	251.2
Non-U.S. governments		407.5		57.7		19.9		7.1		427.4		64.8
States and political subdivisions		5,303.5		1,008.9		391.9		127.8		5,695.4		1,136.7
Corporate		27,309.5		3,944.6		2,944.1		698.0		30,253.6		4,642.6
Residential mortgage-backed pass-through securities		1,201.7		97.5		574.8		105.7		1,776.5		203.2
Commercial mortgage-backed securities		3,648.5		484.0		1,124.8		222.5		4,773.3		706.5
Collateralized debt obligations (2)		2,832.2		89.0		1,330.1		54.7		4,162.3		143.7
Other debt obligations		3,419.8		292.0		2,283.8		437.6		5,703.6		729.6
Total fixed maturities, available-for-sale	$	45,651.0	$	6,183.1	$	8,850.9	$	1,695.2	$	54,501.9	$	7,878.3

(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)


	March 31, 2023		December 31, 2022

	(in millions)
Net unrealized losses on fixed maturities, available-for-sale (1)	$	(6,072.3)	$	(7,445.7)
Net unrealized gains on derivative instruments		50.7		50.7
Adjustments for assumed changes in amortization patterns		(1.5)		(1.7)
Adjustments for assumed changes in policyholder liabilities		0.4		0.5
Net unrealized gains (losses) other investments and noncontrolling interest adjustments		(6.2)		7.9
Provision for deferred income tax benefits		1,288.8		1,570.1
Net unrealized losses on available-for-sale securities and derivative instruments	$	(4,740.1)	$	(5,818.2)

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

Financing Receivable Credit Quality Indicators (Table)

March 31, 2023

2023

2022

2021

2020

2019

Prior

Total

(in millions)

Commercial mortgage loans:

A- and above

71.0

1,039.4

2,302.1

1,779.6

2,206.7

6,595.5

13,994.3

BBB+ thru BBB-

14.9

454.2

444.2

185.4

390.9

827.2

2,316.8

BB+ thru BB-

31.8

116.4

18.2

3.2

—

136.9

306.5

B+ and below

—

49.5

Total

117.7

1,610.0

2,764.5

1,968.2

2,597.6

7,609.1

16,667.1

Direct financing leases:

A- and above

—

129.8

14.7

62.7

1.5

235.8

444.5

BBB+ thru BBB-

—

25.5

23.2

52.2

12.8

84.1

197.8

BB+ thru BB-

2.2

—

62.0

8.7

—

1.9

74.8

Total

2.2

155.3

99.9

123.6

14.3

321.8

717.1

Residential mortgage loans:

Performing

81.6

1,114.0

1,730.4

448.6

132.9

493.8

4,001.3

Non-performing

—

5.3

4.7

3.8

1.4

7.7

22.9

Total

81.6

1,119.3

1,735.1

452.4

134.3

501.5

4,024.2

Reinsurance recoverable and deposit receivable

20,884.0


	December 31, 2022
	2022		2021		2020		2019		2018		Prior		Total

	(in millions)
Commercial mortgage loans:
A- and above	$	1,036.4	$	2,277.9	$	1,807.3	$	2,210.2	$	2,187.9	$	4,624.9	$	14,144.6
BBB+ thru BBB-		385.6		439.6		156.8		418.7		238.9		691.7		2,331.3
BB+ thru BB-		104.0		16.8		3.0		—		8.9		71.7		204.4
B+ and below		—		—		—		—		8.3		41.7		50.0
Total	$	1,526.0	$	2,734.3	$	1,967.1	$	2,628.9	$	2,444.0	$	5,430.0	$	16,730.3

Direct financing leases:
A- and above	$	110.5	$	13.0	$	39.9	$	1.4	$	42.9	$	167.3	$	375.0
BBB+ thru BBB-		33.9		21.9		62.4		11.9		11.7		70.4		212.2
BB+ thru BB-		2.7		57.3		12.1		2.0		—		2.1		76.2
B+ and below		—		1.6		—		—		—		—		1.6
Total	$	147.1	$	93.8	$	114.4	$	15.3	$	54.6	$	239.8	$	665.0

Residential mortgage loans:
Performing	$	1,144.8	$	1,740.7	$	447.1	$	133.0	$	75.4	$	417.8	$	3,958.8
Non-performing		8.0		4.7		2.2		1.7		0.6		7.0		24.2
Total	$	1,152.8	$	1,745.4	$	449.3	$	134.7	$	76.0	$	424.8	$	3,983.0

Reinsurance recoverable and deposit receivable													$	21,156.7

Non-Accrual Financing Receivables (Table)


		March 31, 2023
					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	$	50.0	$	49.4	$	—
Residential mortgage loans		17.8		15.3		0.6
Total	$	67.8	$	64.7	$	0.6


	December 31, 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	$	50.0	$	—
Residential mortgage loans		4.0		17.8		0.6
Total	$	17.2	$	67.8	$	0.6

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


	For the three months ended
	March 31,
	2023		2022

	(in millions)
Commercial mortgage loans	$	—	$	0.3
Total	$	—	$	0.3

Financing Receivables Aging (Table)

March 31, 2023

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

24.4

—

14.5

38.9

16,628.2

16,667.1

1.1

Direct financing leases

6.3

44.9

4.4

55.6

661.5

717.1

4.4

Residential mortgage loans

69.8

16.7

15.6

102.1

3,922.1

4,024.2

7.6

Total

100.5

61.6

34.5

196.6

21,211.8

21,408.4

13.1


	December 31, 2022
													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	$	45.9	$	7.5	$	14.4	$	67.8	$	16,662.5	$	16,730.3	$	—
Direct financing leases		6.6		6.2		1.6		14.4		650.6		665.0		1.6
Residential mortgage loans		73.1		15.4		16.2		104.7		3,878.3		3,983.0		6.4
Total	$	125.6	$	29.1	$	32.2	$	186.9	$	21,191.4	$	21,378.3	$	8.0

(1)	As of both March 31, 2023 and December 31, 2022, no reinsurance recoverables or deposit receivables were considered past due.

Financing Receivables Valuation Allowance (Table)

For the three months ended March 31, 2023

Direct

Commercial

financing

Residential

Reinsurance

mortgage loans

leases

mortgage loans

recoverables

Total

(in millions)

Beginning balance

77.9

0.6

5.6

2.7

86.8

Provision

3.8

(0.1)

0.1

(0.2)

3.6

Charge-offs

—

(0.1)

—

(0.1)

Recoveries

—

0.2

—

0.2

Foreign currency translation adjustment

0.2

0.1

—

0.4

Ending balance

81.9

0.6

5.9

2.5

90.9


	For the three months ended March 31, 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		22.1		—		(0.5)		—		21.6
Charge-offs		—		—		(0.1)		—		(0.1)
Recoveries		—		—		0.4		—		0.4
Foreign currency translation adjustment		0.1		—		—		—		0.1
Ending balance	$	66.1	$	0.4	$	1.8	$	2.7	$	71.0

Mortgage Loans Purchased and Sold (Table)


	For the three months ended
	March 31,
	2023		2022

	(in millions)
Commercial mortgage loans:
Purchased	$	33.0	$	32.7
Residential mortgage loans:
Purchased (1)		69.1		534.3
Sold		4.2		7.1

(1)	Includes mortgage loans purchased by residential mortgage loan VIEs in 2022.

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


	March 31, 2023				December 31, 2022
	Amortized		Percent		Amortized		Percent
	cost		of total		cost		of total

	($ in millions)
Geographic distribution
New England	$	508.0	3.0	%	$	512.1	3.1	%
Middle Atlantic		4,510.8	27.1			4,505.6	26.9
East North Central		666.9	4.0			652.5	3.9
West North Central		369.4	2.2			370.9	2.2
South Atlantic		2,578.0	15.5			2,558.3	15.3
East South Central		349.0	2.1			339.8	2.0
West South Central		1,187.5	7.1			1,204.9	7.2
Mountain		954.9	5.7			938.7	5.6
Pacific		4,962.8	29.8			5,115.3	30.6
International		579.8	3.5			532.2	3.2
Total	$	16,667.1	100.0	%	$	16,730.3	100.0	%

Property type distribution
Office	$	4,103.0	24.6	%	$	4,322.0	25.9	%
Retail		1,513.8	9.1			1,499.4	9.0
Industrial		3,227.9	19.4			3,235.9	19.3
Apartments		6,931.2	41.6			6,827.1	40.8
Hotel		71.4	0.4			72.5	0.4
Mixed use/other		819.8	4.9			773.4	4.6
Total	$	16,667.1	100.0	%	$	16,730.3	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)
March 31, 2023
Derivative assets	$	386.7	$	(149.1)	$	(195.6)	$	42.0
Reverse repurchase agreements		140.0		—		(140.3)		(0.3)
Total	$	526.7	$	(149.1)	$	(335.9)	$	41.7
December 31, 2022
Derivative assets	$	321.0	$	(135.7)	$	(151.9)	$	33.4
Reverse repurchase agreements		124.4		—		(124.4)		—
Total	$	445.4	$	(135.7)	$	(276.3)	$	33.4

(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)

March 31, 2023

Derivative liabilities

507.3

(149.1)

(355.3)

2.9

December 31, 2022

Derivative liabilities

634.2

(135.7)

(485.1)

13.4

(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.