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Investments (Tables)

9 Months Ended

Sep. 30, 2021

Amortized Cost, Gross Unrealized Gains and Losses, Fair Value and OTTI

The following tables show the cost or amortized cost, allowance for credit losses, gross unrealized gains and losses, and fair value of the Company’s fixed maturity securities as of the dates indicated:


	September 30, 2021
	Cost or Amortized Cost		Allowance for Credit Losses		Gross Unrealized Gains		Gross Unrealized Losses		Fair Value
Fixed maturity securities:
U.S. government and government agencies and authorities	$	88.3	$	—	$	2.6	$	(0.2)	$	90.7
States, municipalities and political subdivisions	138.3		—		7.6		(0.6)		145.3
Foreign governments	418.3		—		7.9		(2.3)		423.9
Asset-backed	541.3		—		14.6		(0.9)		555.0
Commercial mortgage-backed	468.2		—		13.7		(2.0)		479.9
Residential mortgage-backed	620.7		—		32.8		(0.8)		652.7
U.S. corporate	3,706.9		—		271.0		(12.5)		3,965.4
Foreign corporate	1,289.3		—		55.2		(7.1)		1,337.4
Total fixed maturity securities	$	7,271.3	$	—	$	405.4	$	(26.4)	$	7,650.3


	December 31, 2020
	Cost or Amortized Cost		Allowance for Credit Losses		Gross Unrealized Gains		Gross Unrealized Losses		Fair Value
Fixed maturity securities:
U.S. government and government agencies and authorities	$	90.4	$	—	$	3.7	$	—	$	94.1
States, municipalities and political subdivisions	164.4		—		11.0		(0.1)		175.3
Foreign governments	442.4		—		27.4		(0.1)		469.7
Asset-backed	251.9		—		9.4		(0.8)		260.5
Commercial mortgage-backed	266.3		—		16.5		(1.4)		281.4
Residential mortgage-backed	685.8		—		49.0		(0.2)		734.6
U.S. corporate	3,315.6		(1.2)		380.6		(4.4)		3,690.6
Foreign corporate	1,029.0		—		80.6		(0.3)		1,109.3
Total fixed maturity securities	$	6,245.8	$	(1.2)	$	578.2	$	(7.3)	$	6,815.5

Amortized Cost and Fair Value of Fixed Maturity Securities by Contractual Maturity

The cost or amortized cost and fair value of fixed maturity securities as of September 30, 2021 by contractual maturity are shown below. Actual maturities may differ from contractual maturities because issuers of the securities may have the right to call or prepay obligations with or without call or prepayment penalties.


	Cost or Amortized Cost		Fair Value
Due in one year or less	$	366.7	$	371.4
Due after one year through five years	2,423.0		2,533.9
Due after five years through ten years	1,877.8		1,998.1
Due after ten years	973.6		1,059.3
Total	5,641.1		5,962.7
Asset-backed	541.3		555.0
Commercial mortgage-backed	468.2		479.9
Residential mortgage-backed	620.7		652.7
Total	$	7,271.3	$	7,650.3

Net Realized Gains (Losses), Including Other-Than-Temporary Impairments

The following table sets forth the net realized gains (losses), including impairment, recognized in the consolidated statements of operations for the periods indicated:


	Three Months Ended September 30,				Nine Months Ended September 30,
	2021		2020		2021		2020
Net realized gains (losses) related to sales and other:
Fixed maturity securities	$	16.1	$	0.6	$	19.3	$	6.4
Equity securities (1) (2)	95.1		12.6		100.6		(6.6)
Commercial mortgage loans on real estate	0.5		(0.6)		0.7		(0.7)
Other investments	0.4		5.9		2.4		9.3
Consolidated investment entities (3)	—		—		—		(32.3)
Total net realized gains (losses) related to sales and other	112.1		18.5		123.0		(23.9)
Net realized gains (losses) related to impairments:
Fixed maturity securities (4)	—		(1.3)		1.2		(2.6)
Other investments (1)	—		—		(1.0)		(11.4)
Total net realized gains (losses) related to impairments	—		(1.3)		0.2		(14.0)
Total net realized gains (losses)	$	112.1	$	17.2	$	123.2	$	(37.9)

(1)Gross gains of $23.0 million and $25.1 million were realized on equity investments accounted for under the measurement alternative for the three and nine months ended September 30, 2021. Gross gains of $2.2 million were realized on equity investments accounted for under the measurement alternative for the nine months ended September 30, 2020. There were no gross gains realized on equity investments accounted for under the measurement alternative for the three months ended September 30, 2020. The carrying value of equity investments accounted for under the measurement alternative was $112.0 million and $96.5 million as of September 30, 2021 and 2020, respectively. For the nine months ended September 30, 2021 and 2020, there were impairments of $1.0 million and $11.4 million, respectively. There were no impairments for the three months ended September 30, 2021 and 2020. As of September 30, 2021 and 2020, the cumulative carry value fair value increases were $46.0 million and $26.8 million and the cumulative impairment losses were $19.6 million and $12.8 million, respectively. These investments are included within other investments on the consolidated balance sheets.

(2)Three and nine months ended September 30, 2021 included $74.6 million of unrealized gains from three equity positions that went public in Third Quarter 2021. The total fair value of these equity securities as of September 30, 2021 was $107.1 million and reported on the Equity Securities line on the consolidated balance sheet. Prior to going public these equity positions were reported within the Other Investments line on the consolidated balance sheet and the fair value as of December 31, 2020 was $31.6 million.

(3)Consists of net realized losses from the change in fair value of the Company’s direct investment in collateralized loan obligations (“CLOs”).

(4)The Company recorded a $1.2 million allowance for credit losses on fixed maturity securities available for sale for the year ended December 31, 2020. Specific securities, for which the reserve was established, were sold during the three month period ended June 30, 2021 resulting in the elimination of the $1.2 million allowance for credit losses.

Unrealized Gains on Equity Securities

The following table sets forth the portion of unrealized gains (losses) related to equity securities for the periods indicated:


	Three Months Ended September 30,				Nine Months Ended September 30,
	2021		2020		2021		2020
Net gains (losses) recognized on equity securities	$	95.1	$	12.6	$	100.6	$	(6.6)
Less: Net realized gains related to sales of equity securities	1.1		(0.1)		2.1		0.9
Total net unrealized gains (losses) on equity securities held	$	94.0	$	12.7	$	98.5	$	(7.5)

Debt Securities, Available-for-sale, Unrealized Loss Position, Fair Value

The investment category and duration of the Company’s gross unrealized losses on fixed maturity securities as of September 30, 2021 and December 31, 2020 were as follows:


	September 30, 2021
	Less than 12 months				12 Months or More				Total
	Fair Value		Unrealized Losses		Fair Value		Unrealized Losses		Fair Value		Unrealized Losses
Fixed maturity securities:
U.S. government and government agencies and authorities	$	17.8	$	(0.2)	$	—	$	—	$	17.8	$	(0.2)
States, municipalities and political subdivisions	38.5		(0.6)		—		—		38.5		(0.6)
Foreign governments	107.1		(2.3)		—		—		107.1		(2.3)
Asset-backed	228.9		(0.8)		8.1		(0.1)		237.0		(0.9)
Commercial mortgage-backed	156.0		(1.5)		1.8		(0.5)		157.8		(2.0)
Residential mortgage-backed	66.1		(0.7)		9.5		(0.1)		75.6		(0.8)
U.S. corporate	704.3		(11.3)		14.5		(1.2)		718.8		(12.5)
Foreign corporate	414.6		(7.0)		1.7		(0.1)		416.3		(7.1)
Total fixed maturity securities	$	1,733.3	$	(24.4)	$	35.6	$	(2.0)	$	1,768.9	$	(26.4)


	December 31, 2020
	Less than 12 months				12 Months or More				Total
	Fair Value		Unrealized Losses		Fair Value		Unrealized Losses		Fair Value		Unrealized Losses
Fixed maturity securities:

States, municipalities and political subdivisions	$	6.1	$	(0.1)	$	—	$	—	$	6.1	$	(0.1)
Foreign governments	28.3		(0.1)		—		—		28.3		(0.1)
Asset-backed	54.5		(0.2)		37.4		(0.6)		91.9		(0.8)
Commercial mortgage-backed	28.2		(0.7)		3.3		(0.7)		31.5		(1.4)
Residential mortgage-backed	23.9		(0.1)		1.5		(0.1)		25.4		(0.2)
U.S. corporate	71.9		(2.9)		13.8		(1.5)		85.7		(4.4)
Foreign corporate	30.1		(0.3)		—		—		30.1		(0.3)
Total fixed maturity securities	$	243.0	$	(4.4)	$	56.0	$	(2.9)	$	299.0	$	(7.3)

Credit Quality Indicators

The following table presents the amortized cost basis of commercial mortgage loans, excluding the allowance for credit losses, by origination year for certain key credit quality indicators at September 30, 2021 and December 31, 2020.


	September 30, 2021
	Origination Year
	2021		2020		2019		2018		2017		Prior		Total		% of Total
Loan to value ratios (1):
70% and less	$	40.6	$	2.9	$	—	$	—	$	4.0	$	109.3	$	156.8	68.7	%
71% to 80%	54.9		2.7		—		4.7		—		—		62.3		27.3	%
81% to 95%	—		—		—		—		—		3.2		3.2		1.4	%
Greater than 95%	—		—		—		—		5.9		—		5.9		2.6	%
Total	$	95.5	$	5.6	$	—	$	4.7	$	9.9	$	112.5	$	228.2	100.0	%


	September 30, 2021
	Origination Year
	2021		2020		2019		2018		2017		Prior		Total		% of Total
Debt-service coverage ratios (2):
Greater than 2.0	$	42.2	$	5.6	$	—	$	—	$	4.0	$	77.3	$	129.1	56.5	%
1.5 to 2.0	19.9		—		—		4.7		—		17.1		41.7		18.3	%
1.0 to 1.5	33.4		—		—		—		—		13.8		47.2		20.7	%
Less than 1.0	—		—		—		—		5.9		4.3		10.2		4.5	%
Total	$	95.5	$	5.6	$	—	$	4.7	$	9.9	$	112.5	$	228.2	100.0	%


	December 31, 2020
	Origination Year
	2020		2019		2018		2017		2016		Prior		Total		% of Total
Loan to value ratios (1):
70% and less	$	2.9	$	—	$	—	$	4.1	$	29.0	$	87.1	$	123.1	88.0	%
71% to 80%	2.6		—		4.8		—		—		—		7.4		5.3	%
81% to 95%	—		—		—		—		—		2.2		2.2		1.6	%
Greater than 95%	—		—		—		6.0		—		1.2		7.2		5.1	%
Total	$	5.5	$	—	$	4.8	$	10.1	$	29.0	$	90.5	$	139.9	100.0	%


	December 31, 2020
	Origination Year
	2020		2019		2018		2017		2016		Prior		Total		% of Total
Debt-service coverage ratios (2):
Greater than 2.0	$	5.5	$	—	$	—	$	4.1	$	26.4	$	53.3	$	89.3	63.9	%
1.5 to 2.0	—		—		4.8		—		2.6		17.5		24.9		17.8	%
1.0 to 1.5	—		—		—		—		—		15.0		15.0		10.7	%
Less than 1.0	—		—		—		6.0		—		4.7		10.7		7.6	%
Total	$	5.5	$	—	$	4.8	$	10.1	$	29.0	$	90.5	$	139.9	100.0	%

(1)Loan-to-value ratio derived from current loan balance divided by the fair value of the property. The fair value of the underlying commercial properties is updated at least annually.

(2)Debt-service coverage ratio calculated using most recent reported operating results from property operators divided by annual debt service coverage.