Investments (Tables)
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12 Months Ended |
Dec. 31, 2022 |
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| Investments, Debt and Equity Securities [Abstract] |
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| Amortized Cost, Gross Unrealized Gains and Losses, Fair Value of Fixed Maturity Security |
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: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | December 31, 2022 | | | 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 | $ | 92.9 | | | $ | — | | | $ | 0.2 | | | $ | (6.7) | | | $ | 86.4 | | | States, municipalities and political subdivisions | 152.4 | | | — | | | 1.1 | | | (16.0) | | | 137.5 | | | Foreign governments | 416.2 | | | — | | | 0.6 | | | (20.5) | | | 396.3 | | | Asset-backed | 735.1 | | | — | | | 1.4 | | | (40.2) | | | 696.3 | | | Commercial mortgage-backed | 458.6 | | | — | | | 0.2 | | | (56.5) | | | 402.3 | | | Residential mortgage-backed | 492.7 | | | — | | | 0.4 | | | (55.1) | | | 438.0 | | | U.S. corporate | 3,265.1 | | | — | | | 13.9 | | | (317.9) | | | 2,961.1 | | | Foreign corporate | 1,307.8 | | | — | | | 3.4 | | | (145.4) | | | 1,165.8 | | | Total fixed maturity securities | $ | 6,920.8 | | | $ | — | | | $ | 21.2 | | | $ | (658.3) | | | $ | 6,283.7 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | December 31, 2021 | | | Cost or
Amortized
Cost | | Allowances for Credit Losses | | Gross
Unrealized
Gains | | Gross
Unrealized
Losses | | Fair Value | | Fixed maturity securities: | | | | | | | | | | | U.S. government and government agencies and authorities | $ | 83.0 | | | $ | — | | | $ | 2.1 | | | $ | (0.1) | | | $ | 85.0 | | | States, municipalities and political subdivisions | 142.2 | | | — | | | 7.0 | | | (0.7) | | | 148.5 | | | Foreign governments | 436.0 | | | — | | | 5.9 | | | (4.2) | | | 437.7 | | | Asset-backed | 411.1 | | | — | | | 14.2 | | | (2.3) | | | 423.0 | | | Commercial mortgage-backed | 466.7 | | | — | | | 10.3 | | | (3.3) | | | 473.7 | | | Residential mortgage-backed | 578.4 | | | — | | | 25.2 | | | (1.7) | | | 601.9 | | | U.S. corporate | 3,581.2 | | | — | | | 235.9 | | | (14.0) | | | 3,803.1 | | | Foreign corporate | 1,205.3 | | | — | | | 46.0 | | | (8.9) | | | 1,242.4 | | | Total fixed maturity securities | $ | 6,903.9 | | | $ | — | | | $ | 346.6 | | | $ | (35.2) | | | $ | 7,215.3 | |
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| 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 December 31, 2022 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. | | | | | | | | | | | | | December 31, 2022 | | Cost or
Amortized
Cost | | Fair Value | | Due in one year or less | $ | 164.8 | | | $ | 163.6 | | | Due after one year through five years | 1,771.7 | | | 1,697.8 | | | Due after five years through ten years | 2,243.0 | | | 2,016.8 | | | Due after ten years | 1,054.9 | | | 868.9 | | | Total | 5,234.4 | | | 4,747.1 | | | Asset-backed | 735.1 | | | 696.3 | | | Commercial mortgage-backed | 458.6 | | | 402.3 | | | Residential mortgage-backed | 492.7 | | | 438.0 | | | Total | $ | 6,920.8 | | | $ | 6,283.7 | |
The cost or amortized cost and fair value of available-for-sale fixed maturity securities in an unrealized loss position as of December 31, 2022, by contractual maturity, is shown below: | | | | | | | | | | | | | December 31, 2022 | | Cost or
Amortized
Cost, Net of Allowance | | Fair Value | | Due in one year or less | $ | 144.2 | | | $ | 142.9 | | | Due after one year through five years | 1,588.2 | | | 1,510.9 | | | Due after five years through ten years | 2,099.7 | | | 1,864.9 | | | Due after ten years | 963.2 | | | 770.1 | | | Total | 4,795.3 | | | 4,288.8 | | | Asset-backed | 636.9 | | | 596.7 | | | Commercial mortgage-backed | 456.5 | | | 400.0 | | | Residential mortgage-backed | 485.0 | | | 429.9 | | | Total | $ | 6,373.7 | | | $ | 5,715.4 | |
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| Categories of Net Investment Income |
The following table shows the major categories of net investment income for the periods indicated: | | | | | | | | | | | | | | | | | | | | Years Ended December 31, | | | 2022 | | 2021 | | 2020 | | Fixed maturity securities | $ | 270.0 | | | $ | 232.8 | | | $ | 228.4 | | | Equity securities | 15.0 | | | 14.9 | | | 14.5 | | | Commercial mortgage loans on real estate | 14.9 | | | 8.9 | | | 8.2 | | | Short-term investments | 4.7 | | | 2.1 | | | 5.7 | | | Other investments | 48.6 | | | 61.0 | | | 16.6 | | | Cash and cash equivalents | 25.7 | | | 8.5 | | | 13.3 | | | Revenues from consolidated investment entities (1) | — | | | — | | | 56.3 | | | Total investment income | 378.9 | | | 328.2 | | | 343.0 | | | Investment expenses | (14.8) | | | (13.8) | | | (20.5) | | | Expenses from consolidated investment entities (1) | — | | | — | | | (36.9) | | | Net investment income | $ | 364.1 | | | $ | 314.4 | | | $ | 285.6 | |
(1)The following table shows the revenues net of expenses from consolidated investment entities for the periods indicated.
| | | | | | | | | | | | | | | | | | | Years Ended December 31, | | 2022 | | 2021 | | 2020 | | Investment income (loss) from direct investments in: | | | | | | | Real estate funds (1) | $ | — | | | $ | — | | | $ | 8.3 | | | CLO entities | — | | | — | | | 8.0 | | | Investment management fees | — | | | — | | | 3.1 | | | Net investment income from consolidated investment entities | $ | — | | | $ | — | | | $ | 19.4 | |
(1)The investment income from the real estate funds includes income (loss) attributable to non-controlling interest of $1.1 million for the year ended December 31, 2020.
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| Gain (Loss) on Securities |
The following table summarizes the proceeds from sales of available-for-sale fixed maturity securities and the gross realized gains and gross realized losses that have been recognized in the statement of operations as a result of those sales for the periods indicated: | | | | | | | | | | | | | | | | | | | | Years Ended December 31, | | | 2022 | | 2021 | | 2020 | | Fixed maturity securities: | | | | | | | Proceeds from sales | $ | 2,468.8 | | | $ | 1,361.8 | | | $ | 515.4 | | | Gross realized gains | $ | 9.4 | | | $ | 31.9 | | | $ | 19.6 | | | Gross realized losses | (73.2) | | | (14.8) | | | (6.8) | | | Net realized gains (losses) on investments from sales of fixed maturity securities | $ | (63.8) | | | $ | 17.1 | | | $ | 12.8 | |
The following table sets forth the net realized gains (losses) on investments and fair value changes to equity securities, including impairments, recognized in the statement of operations for the periods indicated: | | | | | | | | | | | | | | | | | | | | Years Ended December 31, | | | 2022 | | 2021 | | 2020 | Net realized (losses) gains on investments and fair value changes to equity securities related to sales and other: | | | | | | | Fixed maturity securities | $ | (63.7) | | | $ | 17.2 | | | $ | 12.7 | | | Equity securities (1) (2) | (112.2) | | | 108.3 | | | 21.6 | | | Commercial mortgage loans on real estate | (0.7) | | | 0.5 | | | (1.2) | | | Other investments | 1.5 | | | 2.0 | | | 10.7 | | | Consolidated investment entities (3) | — | | | — | | | (32.3) | | | Total net realized (losses) gains on investments and fair value changes to equity securities related to sales and other | (175.1) | | | 128.0 | | | 11.5 | | | Net realized (losses) gains related to impairments: | | | | | | | Fixed maturity securities (4) | (1.6) | | | 1.2 | | | (2.6) | | | Other investments (1) | (3.0) | | | (1.0) | | | (17.1) | | | Total net realized (losses) gains related to impairments | (4.6) | | | 0.2 | | | (19.7) | | | Total net realized (losses) gains on investments and fair value changes to equity securities | $ | (179.7) | | | $ | 128.2 | | | $ | (8.2) | |
(1)Upward adjustments of $19.5 million, $24.3 million and $10.5 million and impairments of $3.0 million, $1.0 million, and $17.1 million were realized on equity investments accounted for under the measurement alternative for the years ended December 31, 2022, 2021 and 2020, respectively. (2)The years ended December 31, 2022 and 2021 included $92.5 million in realized and unrealized losses and $85.4 million of unrealized gains, respectively, from four equity positions that went public during 2021. The total fair value of these equity securities as of December 31, 2022 and 2021 was $9.6 million and $133.7 million, respectively, included in equity securities in the consolidated balance sheet. Prior to going public, these equity positions were accounted for under the equity measurement alternative guidance and reported within other investments in the consolidated balance sheet and the fair value was $48.1 million as of December 31, 2020. (3)Consists of net realized losses from the change in fair value of the Company’s direct investment in CLOs prior to sale of the CLO asset management platform in 2020. (4)Includes credit losses of $1.2 million 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 year ended December 31, 2021, resulting in the elimination of the $1.2 million allowance for credit losses.
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| Fair Value Changes to Equity Securities |
The following table sets forth the portion of fair value changes to equity securities held for the periods indicated: | | | | | | | | | | | | | | | | | | | Years Ended December 31, | | 2022 | | 2021 | | 2020 | | Net (losses) gains recognized on equity securities | $ | (112.2) | | | $ | 108.3 | | | $ | 21.6 | | | Less: Net realized gains (losses) related to sales of equity securities | 20.5 | | | (4.1) | | | 6.6 | | | Total fair value changes to equity securities held | $ | (132.7) | | | $ | 112.4 | | | $ | 15.0 | |
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| Equity Securities without Readily Determinable Fair Value |
The following table summarizes information related to these investments: | | | | | | | | | | | | | December 31, 2022 | | December 31, 2021 | | Initial cost | $ | 81.7 | | | $ | 74.4 | | | Cumulative upward adjustments | 50.8 | | | 42.7 | | | Cumulative downward adjustments (including impairments) | (5.0) | | | (15.4) | | | Carrying value | $ | 127.5 | | | $ | 101.7 | |
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| Duration of Gross Unrealized Losses on Fixed Maturity Securities and Equity Securities |
The investment category and duration of the Company’s gross unrealized losses on fixed maturity securities, as of December 31, 2022 and 2021 were as follows: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | December 31, 2022 | | | 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 | $ | 58.5 | | | $ | (2.9) | | | $ | 24.6 | | | $ | (3.8) | | | $ | 83.1 | | | $ | (6.7) | | | States, municipalities and political subdivisions | 77.4 | | | (7.8) | | | 34.5 | | | (8.2) | | | 111.9 | | | (16.0) | | | Foreign governments | 268.5 | | | (12.1) | | | 92.7 | | | (8.4) | | | 361.2 | | | (20.5) | | | Asset-backed | 378.2 | | | (22.0) | | | 218.5 | | | (18.2) | | | 596.7 | | | (40.2) | | | Commercial mortgage-backed | 290.7 | | | (33.2) | | | 109.3 | | | (23.3) | | | 400.0 | | | (56.5) | | | Residential mortgage-backed | 371.3 | | | (31.7) | | | 58.6 | | | (23.4) | | | 429.9 | | | (55.1) | | | U.S. corporate | 2,266.6 | | | (206.3) | | | 370.3 | | | (111.6) | | | 2,636.9 | | | (317.9) | | | Foreign corporate | 843.9 | | | (79.0) | | | 251.8 | | | (66.4) | | | 1,095.7 | | | (145.4) | | | Total fixed maturity securities | $ | 4,555.1 | | | $ | (395.0) | | | $ | 1,160.3 | | | $ | (263.3) | | | $ | 5,715.4 | | | $ | (658.3) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | December 31, 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 | $ | 31.5 | | | $ | (0.1) | | | $ | — | | | $ | — | | | $ | 31.5 | | | $ | (0.1) | | | States, municipalities and political subdivisions | 48.1 | | | (0.7) | | | — | | | — | | | 48.1 | | | (0.7) | | | Foreign governments | 216.0 | | | (4.1) | | | 4.0 | | | (0.1) | | | 220.0 | | | (4.2) | | | Asset-backed | 257.7 | | | (2.1) | | | 9.8 | | | (0.2) | | | 267.5 | | | (2.3) | | | Commercial mortgage-backed | 274.8 | | | (2.9) | | | 2.0 | | | (0.4) | | | 276.8 | | | (3.3) | | | Residential mortgage-backed | 94.0 | | | (1.5) | | | 10.0 | | | (0.2) | | | 104.0 | | | (1.7) | | | U.S. corporate | 687.8 | | | (13.1) | | | 15.2 | | | (0.9) | | | 703.0 | | | (14.0) | | | Foreign corporate | 394.0 | | | (8.6) | | | 6.7 | | | (0.3) | | | 400.7 | | | (8.9) | | | Total fixed maturity securities | $ | 2,003.9 | | | $ | (33.1) | | | $ | 47.7 | | | $ | (2.1) | | | $ | 2,051.6 | | | $ | (35.2) | |
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| Credit Quality Indicators for Commercial Mortgage Loans |
The following table presents the amortized cost basis of commercial mortgage loans, excluding allowance for credit losses, by origination year for certain key credit quality indicators at December 31, 2022 and 2021, respectively. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | December 31, 2022 | | Origination Year | | 2022 | | 2021 | | 2020 | | 2019 | | 2018 | | Prior | | Total | | % of Total | | Loan to value ratios (1): | | | | | | | | | | | | | | | | | 70% and less | $ | 44.0 | | | $ | 45.1 | | | $ | — | | | $ | — | | | $ | — | | | $ | 76.0 | | | $ | 165.1 | | | 55.5 | % | | 71% to 80% | 32.7 | | | 75.7 | | | 2.7 | | | — | | | 4.6 | | | — | | | 115.7 | | | 38.9 | % | | 81% to 95% | — | | | 14.7 | | | — | | | — | | | — | | | — | | | 14.7 | | | 5.0 | % | | Greater than 95% | — | | | — | | | — | | | — | | | — | | | 1.9 | | | 1.9 | | | 0.6 | % | | Total | $ | 76.7 | | | $ | 135.5 | | | $ | 2.7 | | | $ | — | | | $ | 4.6 | | | $ | 77.9 | | | $ | 297.4 | | | 100.0 | % | | | | | | | | | | | | | | | | | | December 31, 2022 | | Origination Year | | 2022 | | 2021 | | 2020 | | 2019 | | 2018 | | Prior | | Total | | % of Total | | Debt service coverage ratios (2): | | | | | | | | | | | | | | | | | Greater than 2.0 | $ | 24.2 | | | $ | 11.7 | | | $ | — | | | $ | — | | | $ | — | | | $ | 50.8 | | | $ | 86.7 | | | 29.2 | % | | 1.5 to 2.0 | 26.8 | | | 11.6 | | | — | | | — | | | 4.6 | | | 6.6 | | | 49.6 | | | 16.7 | % | | 1.0 to 1.5 | 25.7 | | | 63.0 | | | — | | | — | | | — | | | 13.7 | | | 102.4 | | | 34.4 | % | | Less than 1.0 | — | | | 49.2 | | | 2.7 | | | — | | | — | | | 6.8 | | | 58.7 | | | 19.7 | % | | Total | $ | 76.7 | | | $ | 135.5 | | | $ | 2.7 | | | $ | — | | | $ | 4.6 | | | $ | 77.9 | | | $ | 297.4 | | | 100.0 | % |
(1)LTV 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)DSC ratio calculated using most recent reported operating income results from property operators divided by annual debt service coverage. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | December 31, 2021 | | Origination Year | | 2021 | | 2020 | | 2019 | | 2018 | | 2017 | | Prior | | Total | | % of Total | | Loan to value ratios (1): | | | | | | | | | | | | | | | | | 70% and less | $ | 71.7 | | | $ | 5.6 | | | $ | — | | | $ | — | | | $ | 4.0 | | | $ | 99.8 | | | $ | 181.1 | | | 70.3 | % | | 71% to 80% | 61.8 | | | — | | | — | | | 4.7 | | | — | | | 1.0 | | | 67.5 | | | 26.2 | % | | 81% to 95% | — | | | — | | | — | | | — | | | — | | | 1.1 | | | 1.1 | | | 0.4 | % | | Greater than 95% | — | | | — | | | — | | | — | | | 5.8 | | | 2.1 | | | 7.9 | | | 3.1 | % | | Total | $ | 133.5 | | | $ | 5.6 | | | $ | — | | | $ | 4.7 | | | $ | 9.8 | | | $ | 104.0 | | | $ | 257.6 | | | 100.0 | % | | | | | | | | | | | | | | | | | | December 31, 2021 | | Origination Year | | 2021 | | 2020 | | 2019 | | 2018 | | 2017 | | Prior | | Total | | % of Total | | Debt service coverage ratios (2): | | | | | | | | | | | | | | | | | Greater than 2.0 | $ | 59.3 | | | $ | 5.6 | | | $ | — | | | $ | — | | | $ | — | | | $ | 70.5 | | | $ | 135.4 | | | 52.6 | % | | 1.5 to 2.0 | 34.1 | | | — | | | — | | | 4.7 | | | 4.0 | | | 17.5 | | | 60.3 | | | 23.4 | % | | 1.0 to 1.5 | 40.1 | | | — | | | — | | | — | | | — | | | 9.9 | | | 50.0 | | | 19.4 | % | | Less than 1.0 | — | | | — | | | — | | | — | | | 5.8 | | | 6.1 | | | 11.9 | | | 4.6 | % | | Total | $ | 133.5 | | | $ | 5.6 | | | $ | — | | | $ | 4.7 | | | $ | 9.8 | | | $ | 104.0 | | | $ | 257.6 | | | 100.0 | % |
(1)LTV 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)DSC ratio calculated using most recent reported operating income results from property operators divided by annual debt service coverage.
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