INVESTMENTS (Tables)

9 Months Ended

Sep. 30, 2022

Investments, Debt and Equity Securities [Abstract]

Schedule of Accumulated Other Comprehensive Income (Loss)

These amounts, included in shareholders' equity as of September 30, 2022 and December 31, 2021, were as follows (dollars in millions):

	September 30, 2022		December 31, 2021
Net unrealized gains (losses) on investments having no allowance for credit losses	$	(1,222.1)	$	2,963.3
Unrealized losses on investments with an allowance for credit losses	(1,929.9)		(23.1)
Adjustment to present value of future profits (a)	8.7		(8.3)
Adjustment to deferred acquisition costs	367.1		(420.2)
Adjustment to insurance liabilities	—		(25.5)
Deferred income tax assets (liabilities)	610.5		(539.1)
Accumulated other comprehensive income (loss)	$	(2,165.7)	$	1,947.1

________

(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 September 30, 2022, 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	$	13,942.2	$	22.2	$	(2,136.6)	$	(49.2)	$	11,778.6
United States Treasury securities and obligations of United States government corporations and agencies	169.5		—		(11.7)		—		157.8
States and political subdivisions	2,818.8		20.9		(437.8)		(1.7)		2,400.2
Foreign governments	84.5		—		(14.4)		(.8)		69.3
Asset-backed securities	1,402.0		.2		(131.8)		(.3)		1,270.1
Agency residential mortgage-backed securities	39.0		—		(.5)		—		38.5
Non-agency residential mortgage-backed securities	1,755.5		50.7		(167.3)		—		1,638.9
Collateralized loan obligations	778.3		—		(45.1)		—		733.2
Commercial mortgage-backed securities	2,452.7		—		(238.2)		—		2,214.5
Total fixed maturities, available for sale	$	23,442.5	$	94.0	$	(3,183.4)	$	(52.0)	$	20,301.1

At December 31, 2021, 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	$	13,195.4	$	2,284.5	$	(21.7)	$	(7.4)	$	15,450.8
United States Treasury securities and obligations of United States government corporations and agencies	166.2		54.3		(.9)		—		219.6
States and political subdivisions	2,649.0		356.7		(1.5)		—		3,004.2
Foreign governments	85.4		13.6		(.3)		(.2)		98.5
Asset-backed securities	1,129.0		37.0		(3.1)		—		1,162.9
Agency residential mortgage-backed securities	36.7		3.7		—		—		40.4
Non-agency residential mortgage-backed securities	1,870.4		156.5		(3.1)		—		2,023.8
Collateralized loan obligations	587.3		2.3		(1.3)		—		588.3
Commercial mortgage-backed securities	2,148.2		77.9		(9.2)		—		2,216.9
Total fixed maturities, available for sale	$	21,867.6	$	2,986.5	$	(41.1)	$	(7.6)	$	24,805.4

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 September 30, 2022, 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, agency residential mortgage-backed securities, non-agency residential mortgage-backed securities, collateralized loan obligations and commercial 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	$	123.4	$	122.6
Due after one year through five years	1,935.7		1,805.1
Due after five years through ten years	2,125.3		1,894.4
Due after ten years	12,830.6		10,583.8
Subtotal	17,015.0		14,405.9
Structured securities	6,427.5		5,895.2
Total fixed maturities, available for sale	$	23,442.5	$	20,301.1

The following table sets forth the amortized cost and estimated fair value of fixed maturities, available for sale, at December 31, 2021, by contractual maturity.

	Amortized cost		Estimated fair value
	(Dollars in millions)
Due in one year or less	$	80.3	$	80.5
Due after one year through five years	1,147.4		1,205.6
Due after five years through ten years	1,458.4		1,573.7
Due after ten years	13,409.9		15,913.3
Subtotal	16,096.0		18,773.1
Structured securities	5,771.6		6,032.3
Total fixed maturities, available for sale	$	21,867.6	$	24,805.4

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 September 30, 2022 (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	$	3,134.3	$	(495.7)	$	31.4	$	(11.4)	$	3,165.7	$	(507.1)
United States Treasury securities and obligations of United States government corporations and agencies	134.8		(8.0)		21.7		(3.6)		156.5		(11.6)
States and political subdivisions	827.3		(176.7)		4.2		(1.8)		831.5		(178.5)
Foreign governments	10.8		(.4)		—		—		10.8		(.4)
Asset-backed securities	1,122.5		(115.4)		82.5		(11.6)		1,205.0		(127.0)
Agency residential mortgage-backed securities	33.1		(.5)		—		—		33.1		(.5)
Non-agency residential mortgage-backed securities	1,053.8		(140.0)		93.4		(27.4)		1,147.2		(167.4)
Collateralized loan obligations	595.6		(36.6)		120.4		(8.5)		716.0		(45.1)
Commercial mortgage-backed securities	1,812.6		(181.4)		394.0		(56.7)		2,206.6		(238.1)
Total fixed maturities, available for sale	$	8,724.8	$	(1,154.7)	$	747.6	$	(121.0)	$	9,472.4	$	(1,275.7)

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 December 31, 2021 (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	$	87.8	$	(.4)	$	9.2	$	(.1)	$	97.0	$	(.5)
United States Treasury securities and obligations of United States government corporations and agencies	5.7		—		18.7		(.9)		24.4		(.9)
States and political subdivisions	47.3		(.4)		—		—		47.3		(.4)
Asset-backed securities	210.8		(2.4)		17.8		(.7)		228.6		(3.1)
Non-agency residential mortgage-backed securities	380.8		(3.1)		2.3		—		383.1		(3.1)
Collateralized loan obligations	271.5		(1.2)		32.8		(.1)		304.3		(1.3)
Commercial mortgage-backed securities	694.7		(7.6)		41.4		(1.6)		736.1		(9.2)
Total fixed maturities, available for sale	$	1,698.6	$	(15.1)	$	122.2	$	(3.4)	$	1,820.8	$	(18.5)

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 September 30, 2022 (dollars in millions):

	Corporate securities		States and political subdivisions		Foreign governments		Asset-backed securities		Total
Allowance at June 30, 2022	$	52.2	$	1.1	$	.7	$	.2	$	54.2
Additions for securities for which credit losses were not previously recorded	7.2		.2		.1		.1		7.6
Additions for purchased securities with deteriorated credit	—		—		—		—		—
Additions (reductions) for securities where an allowance was previously recorded	(6.9)		.5		—		—		(6.4)
Reduction for securities sold during the period	(3.3)		(.1)		—		—		(3.4)
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 September 30, 2022	$	49.2	$	1.7	$	.8	$	.3	$	52.0

The following table summarizes changes in the allowance for credit losses related to fixed maturities, available for sale, for the nine months ended September 30, 2022 (dollars in millions):

	Corporate securities		States and political subdivisions		Foreign governments		Asset-backed securities		Total
Allowance at December 31, 2021	$	7.4	$	—	$	.2	$	—	$	7.6
Additions for securities for which credit losses were not previously recorded	39.8		.7		.5		.2		41.2
Additions for purchased securities with deteriorated credit	—		—		—		—		—
Additions (reductions) for securities where an allowance was previously recorded	11.8		1.1		.1		.1		13.1
Reduction for securities sold during the period	(9.8)		(.1)		—		—		(9.9)
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 September 30, 2022	$	49.2	$	1.7	$	.8	$	.3	$	52.0

The following table summarizes changes in the allowance for credit losses related to fixed maturities, available for sale, for the three months ended September 30, 2021 (dollars in millions):

	Corporate securities		Foreign governments		Total
Allowance at June 30, 2021	$	2.3	$	—	$	2.3
Additions for securities for which credit losses were not previously recorded	2.4		.1		2.5
Additions for purchased securities with deteriorated credit	—		—		—
Additions (reductions) for securities where an allowance was previously recorded	.7		—		.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 September 30, 2021	$	5.3	$	.1	$	5.4

The following table summarizes changes in the allowance for credit losses related to fixed maturities, available for sale, for the nine months ended September 30, 2021 (dollars in millions):

	Corporate securities		States and political subdivisions		Foreign governments		Total
Allowance at December 31, 2020	$	1.9	$	.3	$	—	$	2.2
Additions for securities for which credit losses were not previously recorded	4.3		.1		.1		4.5
Additions for purchased securities with deteriorated credit	—		—		—		—
Additions (reductions) for securities where an allowance was previously recorded	(.3)		(.4)		—		(.7)
Reduction for securities sold during the period	(.6)		—		—		(.6)
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 September 30, 2021	$	5.3	$	—	$	.1	$	5.4

The following table summarizes changes in the allowance for credit losses related to corporate securities held by VIEs for the three months ended September 30, 2022 and 2021 (dollars in millions):

	Three months ended
	September 30,
	2022		2021
Allowance at the beginning of the period	$	12.2	$	3.2
Additions for securities for which credit losses were not previously recorded	.9		.1
Additions for purchased securities with deteriorated credit	—		—
Additions (reductions) for securities where an allowance was previously recorded	(5.7)		(.2)
Reduction for securities sold during the period	(.9)		(.6)
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 the end of the period	$	6.5	$	2.5

The following table summarizes changes in the allowance for credit losses related to corporate securities held by VIEs for the nine months ended September 30, 2022 and 2021 (dollars in millions):

	Nine months ended
	September 30,
	2022		2021
Allowance at the beginning of the period	$	3.7	$	15.1
Additions for securities for which credit losses were not previously recorded	7.2		.7
Additions for purchased securities with deteriorated credit	—		—
Additions (reductions) for securities where an allowance was previously recorded	(2.5)		(3.7)
Reduction for securities sold during the period	(1.9)		(9.6)
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 the end of the period	$	6.5	$	2.5

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 September 30, 2022 (dollars in millions):

															Estimated fair value
Loan-to-value ratio (a)	2022		2021		2020		2019		2018		Prior		Total amortized cost		Mortgage loans		Collateral
Less than 60%	$	149.3	$	127.6	$	43.9	$	75.8	$	67.1	$	470.2	$	933.9	$	824.5	$	3,790.3
60% to less than 70%	47.3		12.9		—		—		8.2		43.4		111.8		103.3		170.6
70% to less than 80%	33.0		22.4		—		—		—		15.1		70.5		60.8		93.7
80% to less than 90%	—		—		—		—		—		42.8		42.8		34.9		52.0
90% or greater	—		—		—		—		—		10.0		10.0		6.9		10.7
Total	$	229.6	$	162.9	$	43.9	$	75.8	$	75.3	$	581.5	$	1,169.0	$	1,030.4	$	4,117.3

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(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 September 30, 2022 and 2021 (dollars in millions):

	Three months ended
	September 30,
	2022		2021
Allowance at the beginning of the period	$	4.9	$	8.3
Current period provision for expected credit losses	.4		(1.0)
Initial allowance recognized for purchased financial assets with credit deterioration	—		—
Write-offs charged against the allowance	—		—
Recoveries of amounts previously written off	—		—
Allowance at the end of the period	$	5.3	$	7.3

The following table summarizes changes in the allowance for credit losses related to mortgage loans for the nine months ended September 30, 2022 and 2021 (dollars in millions):

	Nine months ended
	September 30,
	2022		2021
Allowance at the beginning of the period	$	5.6	$	11.8
Current period provision for expected credit losses	(.3)		(4.5)
Initial allowance recognized for purchased financial assets with credit deterioration	—		—
Write-offs charged against the allowance	—		—
Recoveries of amounts previously written off	—		—
Allowance at the end of the period	$	5.3	$	7.3

Schedule of Realized Gain (Loss) on Investments

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

	Three months ended				Nine months ended
	September 30,				September 30,
	2022		2021		2022		2021
Realized investment gains (losses):
Gross realized gains on sales of fixed maturities, available for sale	$	18.1	$	4.1	$	96.4	$	42.8
Gross realized losses on sales of fixed maturities, available for sale	(24.4)		(.2)		(81.3)		(18.4)
Equity securities, net	—		—		(8.3)		(2.8)
Other, net	(1.9)		(.2)		(3.2)		(6.8)
Total realized investment gains (losses)	(8.2)		3.7		3.6		14.8
Change in allowance for credit losses (a)	7.5		(1.4)		(46.9)		13.9
Change in fair value of equity securities (b)	(.7)		(3.0)		(2.4)		(.4)
Other changes in fair value (c)	(16.3)		(1.6)		(53.5)		(2.1)
Other investment gains (losses)	(9.5)		(6.0)		(102.8)		11.4
Total investment gains (losses)	$	(17.7)	$	(2.3)	$	(99.2)	$	26.2

_________________

(a)    Changes in the allowance for credit losses includes $5.7 million and $(2.8) million in the three and nine months ended September 30, 2022, respectively, and $0.7 million and $12.6 million in the three and nine months ended September 30, 2021, respectively, related to investments held by variable interest entities ("VIEs").

(b)    Changes in the estimated fair value of equity securities (that are still held as of the end of the respective periods) were $(6.9) million and $(2.6) million for the nine months ended September 30, 2022 and 2021, respectively.

(c)    Changes in the estimated fair value of trading securities that we have elected the fair value option (that are still held as of the end of the respective periods) were $(36.6) million and $(0.2) million in the nine months ended September 30, 2022 and 2021, respectively.