INVESTMENTS (Tables)

6 Months Ended

Jun. 30, 2020

Investments, Debt and Equity Securities [Abstract]

Schedule of accumulated other comprehensive income (loss)

These amounts, included in shareholders' equity as of June 30, 2020 and December 31, 2019, were as follows (dollars in millions):

	June 30, 2020			December 31, 2019
Net unrealized appreciation (depreciation) on fixed maturity securities, available for sale, on which an other-than-temporary impairment loss has been recognized	$	—		$	1.1
Net unrealized gains on all other fixed maturity securities, available for sale	—			2,095.3
Net unrealized gains on investments having no allowance for credit losses	2,520.6			—
Unrealized losses on investments with an allowance for credit losses	(43.7		)	—
Adjustment to present value of future profits (a)	(11.3		)	(18.9		)
Adjustment to deferred acquisition costs	(335.8		)	(227.9		)
Adjustment to insurance liabilities	(189.0		)	(96.5		)
Deferred income tax liabilities	(420.6		)	(380.6		)
Accumulated other comprehensive income	$	1,520.2		$	1,372.5

________

(a)

The present value of future profits is the value assigned to the right to receive future cash flows from contracts existing at September 10, 2003, the date Conseco, Inc., an Indiana corporation, emerged from bankruptcy.

Schedule of fixed maturities for available for sale securities

At June 30, 2020, the amortized cost, gross unrealized gains, gross unrealized losses, allowance for credit losses and estimated fair value of fixed maturities, available for sale, were as follows (dollars in millions):

	Amortized cost		Gross unrealized gains		Gross unrealized losses			Allowance for credit losses			Estimated fair value
Corporate securities	$	11,651.2	$	2,034.4	$	(48.0	)	$	(10.0	)	$	13,627.6
United States Treasury securities and obligations of United States government corporations and agencies	151.3		79.0		—			—			230.3
States and political subdivisions	2,174.4		316.3		(6.8		)	(.5		)	2,483.4
Foreign governments	85.6		15.9		—			—			101.5
Asset-backed securities	1,172.4		27.2		(23.9		)	(.3		)	1,175.4
Agency residential mortgage-backed securities	67.8		7.6		—			—			75.4
Non-agency residential mortgage-backed securities	2,000.3		148.5		(10.6		)	—			2,138.2
Commercial mortgage-backed securities	1,881.0		59.5		(46.9		)	—			1,893.6
Collateralized loan obligations	457.6		—		(15.1		)	—			442.5
Total fixed maturities, available for sale	$	19,641.6	$	2,688.4	$	(151.3	)	$	(10.8	)	$	22,167.9

At December 31, 2019, the amortized cost, gross unrealized gains and losses, estimated fair value and other-than-temporary impairments in accumulated other comprehensive income of fixed maturities, available for sale, were as follows (dollars in millions):

	Amortized cost		Gross unrealized gains		Gross unrealized losses			Estimated fair value		Other-than-temporary impairments included in accumulated other comprehensive income
Corporate securities	$	11,403.5	$	1,544.1	$	(12.3	)	$	12,935.3	$	—
United States Treasury securities and obligations of United States government corporations and agencies	161.4		43.3		(.1		)	204.6		—
States and political subdivisions	2,002.1		246.1		(1.5		)	2,246.7		—
Foreign governments	82.6		13.0		—			95.6		—
Asset-backed securities	1,352.9		36.8		(1.8		)	1,387.9		—
Agency residential mortgage-backed securities	89.2		5.8		—			95.0		—
Non-agency residential mortgage-backed securities	1,871.0		172.3		(1.0		)	2,042.3		(.3		)
Commercial mortgage-backed securities	1,812.7		75.3		(1.0		)	1,887.0		—
Collateralized loan obligations	404.1		.1		(3.4		)	400.8		—
Total fixed maturities, available for sale	$	19,179.5	$	2,136.8	$	(21.1	)	$	21,295.2	$	(.3	)

Schedule of investments classified by contractual maturity date

The following table sets forth the amortized cost and estimated fair value of fixed maturities, available for sale, at June 30, 2020, by contractual maturity.  Actual maturities will differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without penalties.  Structured securities (such as asset-backed securities, collateralized loan obligations, commercial mortgage-backed securities, agency residential mortgage-backed securities and non-agency residential mortgage-backed securities, collectively referred to as "structured securities") frequently include provisions for periodic principal payments and permit periodic unscheduled payments.

	Amortized cost		Estimated fair value
	(Dollars in millions)
Due in one year or less	$	329.8	$	336.1
Due after one year through five years	1,086.6		1,133.9
Due after five years through ten years	1,456.3		1,561.1
Due after ten years	11,189.8		13,411.7
Subtotal	14,062.5		16,442.8
Structured securities	5,579.1		5,725.1
Total fixed maturities, available for sale	$	19,641.6	$	22,167.9

The following table sets forth the amortized cost and estimated fair value of fixed maturities, available for sale, at December 31, 2019, by contractual maturity.

	Amortized cost		Estimated fair value
	(Dollars in millions)
Due in one year or less	$	282.2	$	286.0
Due after one year through five years	1,082.2		1,130.8
Due after five years through ten years	1,376.6		1,481.7
Due after ten years	10,908.6		12,583.7
Subtotal	13,649.6		15,482.2
Structured securities	5,529.9		5,813.0
Total fixed maturities, available for sale	$	19,179.5	$	21,295.2

Schedule of unrealized loss on investments

The following table summarizes the gross unrealized losses and fair values of our investments with unrealized losses for which an allowance for credit losses has not been recorded, aggregated by investment category and length of time that such securities have been in a continuous unrealized loss position, at June 30, 2020 (dollars in millions):

	Less than 12 months					12 months or greater					Total
Description of securities	Fair value		Unrealized losses			Fair value		Unrealized losses			Fair value		Unrealized losses
Corporate securities	$	495.4	$	(23.1	)	$	1.6	$	(.3	)	$	497.0	$	(23.4	)
States and political subdivisions	57.0		(4.9		)	—		—			57.0		(4.9		)
Asset-backed securities	448.1		(20.9		)	41.9		(3.0		)	490.0		(23.9		)
Non-agency residential mortgage-backed securities	273.0		(9.6		)	39.3		(1.0		)	312.3		(10.6		)
Collateralized loan obligations	287.3		(9.4		)	155.2		(5.7		)	442.5		(15.1		)
Commercial mortgage-backed securities	748.5		(46.8		)	1.9		(.1		)	750.4		(46.9		)
Total fixed maturities, available for sale	$	2,309.3	$	(114.7	)	$	239.9	$	(10.1	)	$	2,549.2	$	(124.8	)

The following table summarizes the gross unrealized losses and fair values of our investments with unrealized losses that are not deemed to be other-than-temporarily impaired, aggregated by investment category and length of time that such securities have been in a continuous unrealized loss position, at December 31, 2019 (dollars in millions):

	Less than 12 months					12 months or greater					Total
Description of securities	Fair value		Unrealized losses			Fair value		Unrealized losses			Fair value		Unrealized losses
Corporate securities	$	305.5	$	(6.6	)	$	96.8	$	(5.7	)	$	402.3	$	(12.3	)
United States Treasury securities and obligations of United States government corporations and agencies	7.0		(.1		)	3.5		—			10.5		(.1		)
States and political subdivisions	110.1		(1.5		)	—		—			110.1		(1.5		)
Foreign governments	3.4		—			—		—			3.4		—
Asset-backed securities	75.7		(.4		)	45.5		(1.4		)	121.2		(1.8		)
Agency residential mortgage-backed securities	8.8		—			—		—			8.8		—
Non-agency residential mortgage-backed securities	137.4		(.7		)	67.2		(.3		)	204.6		(1.0		)
Collateralized loan obligations	220.7		(1.1		)	115.4		(2.3		)	336.1		(3.4		)
Commercial mortgage-backed securities	394.2		(1.0		)	12.8		—			407.0		(1.0		)
Total fixed maturities, available for sale	$	1,262.8	$	(11.4	)	$	341.2	$	(9.7	)	$	1,604.0	$	(21.1	)

Summary of changes in the allowance for current expected credit losses

The following table summarizes changes in the allowance for credit losses related to fixed maturities, available for sale, for the three months ended June 30, 2020 (dollars in millions):

	Corporate securities			States and political subdivisions			Foreign governments			Non-agency residential mortgage-backed securities			Asset-backed securities		Total
Allowance at March 31, 2020	$	18.2		$	.6		$	.1		$	1.0		$	—	$	19.9
Additions for securities for which credit losses were not previously recorded	4.2			—			—			—			.3		4.5
Additions for purchased securities with deteriorated credit	—			—			—			—			—		—
Additions (reductions) for securities where an allowance was previously recorded	(11.9		)	(.1		)	(.1		)	(1.0		)	—		(13.1		)
Reduction for securities sold during the period	(.5		)	—			—			—			—		(.5		)
Reduction for securities for which the Company made the decision to sell where an allowance was previously recorded	—			—			—			—			—		—
Write-offs	—			—			—			—			—		—
Recoveries of previously written-off amount	—			—			—			—			—		—
Allowance at June 30, 2020	$	10.0		$	.5		$	—		$	—		$	.3	$	10.8

The following table summarizes changes in the allowance for credit losses related to fixed maturities, available for sale, for the six months ended June 30, 2020 (dollars in millions):

	Corporate securities			States and political subdivisions			Foreign governments			Non-agency residential mortgage-backed securities			Asset-backed securities		Total
Allowance at January 1, 2020	$	2.1		$	—		$	—		$	—		$	—	$	2.1
Additions for securities for which credit losses were not previously recorded	21.7			.6			.1			1.0			.3		23.7
Additions for purchased securities with deteriorated credit	—			—			—			—			—		—
Additions (reductions) for securities where an allowance was previously recorded	(13.0		)	(.1		)	(.1		)	(1.0		)	—		(14.2		)
Reduction for securities sold during the period	(.8		)	—			—			—			—		(.8		)
Reduction for securities for which the Company made the decision to sell where an allowance was previously recorded	—			—			—			—			—		—
Write-offs	—			—			—			—			—		—
Recoveries of previously written-off amount	—			—			—			—			—		—
Allowance at June 30, 2020	$	10.0		$	.5		$	—		$	—		$	.3	$	10.8

The following table summarizes changes in the allowance for credit losses related to investments held by VIEs for the three months ended June 30, 2020 (dollars in millions):

	Corporate securities
Allowance at March 31, 2020	$	37.7
Additions for securities for which credit losses were not previously recorded	5.8
Additions for purchased securities with deteriorated credit	—
Additions (reductions) for securities where an allowance was previously recorded	(14.7		)
Reduction for securities sold during the period	(1.1		)
Reduction for securities for which the Company made the decision to sell where an allowance was previously recorded	—
Write-offs	—
Recoveries of previously written-off amount	—
Allowance at June 30, 2020	$	27.7

The following table summarizes changes in the allowance for credit losses related to investments held by VIEs for the six months ended June 30, 2020 (dollars in millions):

	Corporate securities
Allowance at January 1, 2020	$	9.9
Additions for securities for which credit losses were not previously recorded	24.9
Additions for purchased securities with deteriorated credit	—
Additions (reductions) for securities where an allowance was previously recorded	(4.8		)
Reduction for securities sold during the period	(2.3		)
Reduction for securities for which the Company made the decision to sell where an allowance was previously recorded	—
Write-offs	—
Recoveries of previously written-off amount	—
Allowance at June 30, 2020	$	27.7

Summary of carrying value and estimated fair value of outstanding commercial mortgage loans and underlying collateral

The following table provides the amortized cost by year of origination and estimated fair value of our outstanding commercial mortgage loans and the underlying collateral as of June 30, 2020 (dollars in millions):

															Estimated fair value
Loan-to-value ratio (a)	2020		2019		2018		2017		2016		Prior		Total amortized cost		Mortgage loans		Collateral
Less than 60%	$	23.0	$	111.2	$	132.5	$	103.1	$	56.9	$	636.2	$	1,062.9	$	1,079.2	$	2,953.0
60% to less than 70%	19.1		11.5		24.0		3.8		46.5		84.6		189.5		187.6		296.8
70% to less than 80%	—		12.3		—		—		—		73.0		85.3		83.9		114.1
80% to less than 90%	—		—		—		—		10.0		26.1		36.1		30.8		41.7
Total	$	42.1	$	135.0	$	156.5	$	106.9	$	113.4	$	819.9	$	1,373.8	$	1,381.5	$	3,405.6

________________

(a)

Loan-to-value ratios are calculated as the ratio of: (i) the amortized cost of the commercial mortgage loans; to (ii) the estimated fair value of the underlying collateral.

Summary of changes in the allowance for current expected credit losses related to mortgage loans

The following table summarizes changes in the allowance for credit losses related to mortgage loans for the three months ended June 30, 2020 (dollars in millions):

	Mortgage loans
Allowance for credit losses at March 31, 2020	$	8.3
Current period provision for expected credit losses	3.3
Initial allowance recognized for purchased financial assets with credit deterioration	—
Write-offs charged against the allowance	—
Recoveries of amounts previously written off	—
Allowance for credit losses at June 30, 2020	$	11.6

The following table summarizes changes in the allowance for credit losses related to mortgage loans for the six months ended June 30, 2020 (dollars in millions):

	Mortgage loans
Allowance for credit losses at January 1, 2020	$	6.7
Current period provision for expected credit losses	4.9
Initial allowance recognized for purchased financial assets with credit deterioration	—
Write-offs charged against the allowance	—
Recoveries of amounts previously written off	—
Allowance for credit losses at June 30, 2020	$	11.6

Schedule of realized gain (loss) on investments

The following table sets forth the net realized investment gains (losses) for the periods indicated (dollars in millions):

	Three months ended						Six months ended
	June 30,						June 30,
	2020			2019			2020			2019
Fixed maturity securities, available for sale:
Gross realized gains on sale	$	26.9		$	5.9		$	38.8		$	66.8
Gross realized losses on sale	(29.0		)	(.8		)	(50.4		)	(52.3		)
Change in allowance for credit losses and other-than-temporary impairment losses	9.2			—			(16.7		)	(2.2		)
Net realized investment gains (losses) from fixed maturities	7.1			5.1			(28.3		)	12.3
Equity securities, including change in fair value (a)	5.5			.1			(10.2		)	10.8
Change in allowance for credit losses of other investments (b)	6.7			—			(22.8		)	—
Loss on dissolution of variable interest entity	—			(5.1		)	—			(5.1		)
Other (c)	24.5			5.2			(10.4		)	3.4
Net realized investment gains (losses)	$	43.8		$	5.3		$	(71.7	)	$	21.4

_________________

(a) The change in the estimated fair value of equity securities still held at June 30, 2020 was $(7.6) million.

(b) The three and six months ended June 30, 2020, includes $9.9 million and $(17.9) million, respectively, related to the change in allowance for credit losses related to investments held by variable interest entities ("VIEs").

(c) The change in the estimated fair value of certain structured securities held at June 30, 2020 that we have elected the fair value option and classify as trading securities was $(6.6) million.

Summary of credit losses recognized in earnings on fixed maturity securities, available for sale, for which a portion of the other-than-temporary impairment was also recognized in accumulated other comprehensive income

The following table summarizes the amount of credit losses recognized in earnings on fixed maturity securities, available for sale, held at the beginning of the period, for which a portion of the other-than-temporary impairment was also recognized in accumulated other comprehensive income for the three months ended June 30, 2019 (dollars in millions):

	Three months ended			Six months ended
	June 30, 2019			June 30, 2019
Credit losses on fixed maturity securities, available for sale, beginning of period	$	(.2	)	$	(.2	)
Add: credit losses on other-than-temporary impairments not previously recognized	—			—
Less: credit losses on securities sold	—			—
Less: credit losses on securities impaired due to intent to sell (a)	—			—
Add: credit losses on previously impaired securities	—			—
Less: increases in cash flows expected on previously impaired securities	—			—
Credit losses on fixed maturity securities, available for sale, end of period	$	(.2	)	$	(.2	)

__________

(a)

Represents securities for which the amount previously recognized in accumulated other comprehensive income was recognized in earnings because we intend to sell the security or we more likely than not will be required to sell the security before recovery of its amortized cost basis.