Investments (Tables)
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9 Months Ended |
Sep. 30, 2022 |
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| Investments, Debt and Equity Securities [Abstract] |
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| Amortized Cost and Fair Values of Securities by Security Type |
At September 30, 2022 and December 31, 2021, all fixed maturity securities were classified as available-for-sale. The amortized cost and fair values of securities by security type are shown as follows: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | September 30, 2022 | | | Amortized Cost, Gross of ACL(1) | | ACL(1) | | Gross
Unrealized
Gain | | Gross
Unrealized
Loss | | Fair
Value | | (in millions of dollars) | | United States Government and Government Agencies and Authorities | $ | 466.2 | | | $ | — | | | $ | 23.1 | | | $ | 23.0 | | | $ | 466.3 | | | States, Municipalities, and Political Subdivisions | 4,286.9 | | | — | | | 80.4 | | | 731.8 | | | 3,635.5 | | | Foreign Governments | 872.6 | | | — | | | 36.3 | | | 99.8 | | | 809.1 | | | Public Utilities | 5,175.4 | | | 4.6 | | | 126.7 | | | 386.6 | | | 4,910.9 | | | Mortgage/Asset-Backed Securities | 555.0 | | | — | | | 7.4 | | | 32.1 | | | 530.3 | | | All Other Corporate Bonds | 26,361.3 | | | — | | | 364.6 | | | 2,933.3 | | | 23,792.6 | | | Redeemable Preferred Stocks | 4.0 | | | — | | | — | | | 0.5 | | | 3.5 | | | Total Fixed Maturity Securities | $ | 37,721.4 | | | $ | 4.6 | | | $ | 638.5 | | | $ | 4,207.1 | | | $ | 34,148.2 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | December 31, 2021 | | | Amortized Cost, Gross of ACL(1) | | ACL(1) | | Gross
Unrealized
Gain | | Gross
Unrealized
Loss | | Fair
Value | | (in millions of dollars) | | United States Government and Government Agencies and Authorities | $ | 460.1 | | | $ | — | | | $ | 120.1 | | | $ | 0.1 | | | $ | 580.1 | | | States, Municipalities, and Political Subdivisions | 4,150.2 | | | — | | | 584.2 | | | 6.9 | | | 4,727.5 | | | Foreign Governments | 952.0 | | | — | | | 215.3 | | | 20.7 | | | 1,146.6 | | | Public Utilities | 5,266.4 | | | — | | | 1,159.4 | | | 9.8 | | | 6,416.0 | | | Mortgage/Asset-Backed Securities | 587.9 | | | — | | | 50.4 | | | — | | | 638.3 | | | All Other Corporate Bonds | 25,966.1 | | | — | | | 3,919.9 | | | 62.6 | | | 29,823.4 | | | Redeemable Preferred Stocks | 4.0 | | | — | | | 0.1 | | | — | | | 4.1 | | | Total Fixed Maturity Securities | $ | 37,386.7 | | | $ | — | | | $ | 6,049.4 | | | $ | 100.1 | | | $ | 43,336.0 | |
(1) Allowance for Credit Losses
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| Length of Time Fixed Maturity Securities had been in a Gross Unrealized Loss Position |
The following charts indicate the length of time our fixed maturity securities have been in a gross unrealized loss position.
| | | | | | | | | | | | | | | | | | | | | | | | | | September 30, 2022 | | | Less Than 12 Months | | 12 Months or Greater | | | Fair
Value | | Gross
Unrealized
Loss | | Fair
Value | | Gross
Unrealized
Loss | | (in millions of dollars) | | United States Government and Government Agencies and Authorities | $ | 204.7 | | | $ | 22.5 | | | $ | 4.5 | | | $ | 0.5 | | | States, Municipalities, and Political Subdivisions | 2,420.8 | | | 713.7 | | | 35.0 | | | 18.1 | | | Foreign Governments | 218.4 | | | 74.3 | | | 45.4 | | | 25.5 | | | Public Utilities | 2,640.6 | | | 340.6 | | | 104.0 | | | 46.0 | | | Mortgage/Asset-Backed Securities | 399.5 | | | 32.1 | | | 0.1 | | | — | | | All Other Corporate Bonds | 17,240.4 | | | 2,606.5 | | | 850.8 | | | 326.8 | | | Redeemable Preferred Stocks | 3.5 | | | 0.5 | | | — | | | — | | | Total Fixed Maturity Securities | $ | 23,127.9 | | | $ | 3,790.2 | | | $ | 1,039.8 | | | $ | 416.9 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | December 31, 2021 | | | Less Than 12 Months | | 12 Months or Greater | | | Fair
Value | | Gross
Unrealized
Loss | | Fair
Value | | Gross
Unrealized
Loss | | (in millions of dollars) | | United States Government and Government Agencies and Authorities | $ | 9.3 | | | $ | 0.1 | | | $ | — | | | $ | — | | | States, Municipalities, and Political Subdivisions | 326.4 | | | 6.9 | | | 0.4 | | | — | | | Foreign Governments | 234.4 | | | 18.9 | | | 10.7 | | | 1.8 | | | Public Utilities | 263.3 | | | 9.1 | | | 17.6 | | | 0.7 | | | Mortgage/Asset-Backed Securities | 29.2 | | | — | | | 0.1 | | | — | | | All Other Corporate Bonds | 2,146.3 | | | 51.6 | | | 199.4 | | | 11.0 | | | | | | | | | | | Total Fixed Maturity Securities | $ | 3,008.9 | | | $ | 86.6 | | | $ | 228.2 | | | $ | 13.5 | |
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| Distribution of the Maturity Dates for Fixed Maturity Securities |
The following is a distribution of the maturity dates for fixed maturity securities. The maturity dates have not been adjusted for possible calls or prepayments. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | September 30, 2022 | | | Amortized Cost, Net of ACL | | Unrealized Gain Position | | Unrealized Loss Position | | | | Gross Gain | | Fair Value | | Gross Loss | | Fair Value | | (in millions of dollars) | | 1 year or less | $ | 1,155.4 | | | $ | 3.8 | | | $ | 481.5 | | | $ | 9.2 | | | $ | 668.5 | | | Over 1 year through 5 years | 6,680.4 | | | 74.8 | | | 1,671.1 | | | 268.2 | | | 4,815.9 | | | Over 5 years through 10 years | 10,456.2 | | | 267.7 | | | 3,537.7 | | | 1,013.3 | | | 6,172.9 | | | Over 10 years | 18,869.8 | | | 284.8 | | | 4,159.5 | | | 2,884.3 | | | 12,110.8 | | | 37,161.8 | | | 631.1 | | | 9,849.8 | | | 4,175.0 | | | 23,768.1 | | | Mortgage/Asset-Backed Securities | 555.0 | | | 7.4 | | | 130.7 | | | 32.1 | | | 399.6 | | | Total Fixed Maturity Securities | $ | 37,716.8 | | | $ | 638.5 | | | $ | 9,980.5 | | | $ | 4,207.1 | | | $ | 24,167.7 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | December 31, 2021 | | | Amortized Cost, Net of ACL | | Unrealized Gain Position | | Unrealized Loss Position | | | | Gross Gain | | Fair Value | | Gross Loss | | Fair Value | | (in millions of dollars) | | 1 year or less | $ | 767.3 | | | $ | 17.6 | | | $ | 756.0 | | | $ | 0.1 | | | $ | 28.9 | | | Over 1 year through 5 years | 6,613.2 | | | 540.2 | | | 7,050.5 | | | 6.0 | | | 96.9 | | | Over 5 years through 10 years | 10,614.3 | | | 1,453.3 | | | 10,905.0 | | | 26.0 | | | 1,136.6 | | | Over 10 years | 18,804.0 | | | 3,987.9 | | | 20,778.4 | | | 68.0 | | | 1,945.4 | | | 36,798.8 | | | 5,999.0 | | | 39,489.9 | | | 100.1 | | | 3,207.8 | | | Mortgage/Asset-Backed Securities | 587.9 | | | 50.4 | | | 609.0 | | | — | | | 29.3 | | | Total Fixed Maturity Securities | $ | 37,386.7 | | | $ | 6,049.4 | | | $ | 40,098.9 | | | $ | 100.1 | | | $ | 3,237.1 | |
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| Distribution by External Credit Rating for Fixed Maturity Securities |
The following chart depicts an analysis of our fixed maturity security portfolio between investment-grade and below-investment-grade categories as of September 30, 2022: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Gross Unrealized Loss | | Fair Value | | Gross Unrealized Gain | | Amount | | Percent of Total Gross Unrealized Loss | | (in millions of dollars) | | | | Investment-Grade | $ | 32,134.9 | | | $ | 633.6 | | | $ | 3,973.5 | | | 94.4 | % | | Below-Investment-Grade | 2,013.3 | | | 4.9 | | | 233.6 | | | 5.6 | | | Total Fixed Maturity Securities | $ | 34,148.2 | | | $ | 638.5 | | | $ | 4,207.1 | | | 100.0 | % |
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| Debt Securities, Available-for-sale, Allowance for Credit Loss |
The following tables present a rollforward of the allowance for credit losses on available-for-sale fixed maturity securities, which were classified as "public utilities" during the three and nine months ended September 30, 2022 and "all other corporate bonds" during the nine months ended September 30, 2021, respectively. | | | | | | | | | | | | | Three Months Ended September 30 | | | | 2022 | | 2021 | | (in millions of dollars) | | Balance, beginning of period | $ | 4.1 | | | $ | — | | | | | | | | | | | | | | | Change in allowance on securities with allowance recorded in previous period | 0.5 | | | — | | | | | | | | | | | | | | | Balance, end of period | $ | 4.6 | | | $ | — | |
| | | | | | | | | | | | | Nine Months Ended September 30 | | 2022 | | 2021 | | (in millions of dollars) | | Balance, beginning of period | $ | — | | | $ | 6.8 | | | | | | | Credit losses on securities for which credit losses were not previously recorded | 4.6 | | | — | | | | | | | Change in allowance on securities with allowance recorded in previous period | — | | | 0.5 | | | Change in allowance on securities sold during the period | — | | | (7.3) | | | | | | | | | | | Balance, end of period | $ | 4.6 | | | $ | — | |
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| Low Income Housing Tax Credits |
The Company invests in tax credit partnerships primarily for the receipt of income tax credits and tax benefits derived from passive losses on the investments. Amounts recognized in the consolidated statements of income are as follows: | | | | | | | | | | | | | | | | | | | | | | | | | Three Months Ended September 30 | | Nine Months Ended September 30 | | 2022 | | 2021 | | 2022 | | 2021 | | (in millions of dollars) | | Income Tax Credits | $ | 1.9 | | | $ | 5.1 | | | $ | 6.0 | | | $ | 15.9 | | | Amortization, Net of Tax | (1.4) | | | (4.0) | | | (4.4) | | | (11.4) | | | Income Tax Benefit | $ | 0.5 | | | $ | 1.1 | | | $ | 1.6 | | | $ | 4.5 | |
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| Mortgage Loans by Property Type and Geographic Region |
The carrying amount of mortgage loans by property type and geographic region are presented below. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | September 30, 2022 | | December 31, 2021 | | | | | | (in millions of dollars) | | | | | | | | | | | | | | | | | | | | | | | | Carrying Amount | | Percent of Total | | Carrying Amount | | Percent of Total | | | | | | | | | | | | | | | | Property Type | | | | | | | | | | | | | | | | | | | | | | | Apartment | $ | 693.1 | | | 28.0 | % | | $ | 780.0 | | | 30.5 | % | | | | | | | | | | | | | | | | Industrial | 741.3 | | | 29.9 | | | 734.4 | | | 28.7 | | | | | | | | | | | | | | | | | Office | 450.0 | | | 18.2 | | | 467.2 | | | 18.2 | | | | | | | | | | | | | | | | | Retail | 547.7 | | | 22.1 | | | 533.3 | | | 20.8 | | | | | | | | | | | | | | | | | Other | 44.3 | | | 1.8 | | | 45.5 | | | 1.8 | | | | | | | | | | | | | | | | | Total | $ | 2,476.4 | | | 100.0 | % | | $ | 2,560.4 | | | 100.0 | % | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Region | | | | | | | | | | | | | | | | | | | | | | | New England | $ | 53.1 | | | 2.1 | % | | $ | 54.9 | | | 2.1 | % | | | | | | | | | | | | | | | | Mid-Atlantic | 194.5 | | | 7.9 | | | 214.7 | | | 8.4 | | | | | | | | | | | | | | | | | East North Central | 315.2 | | | 12.7 | | | 298.4 | | | 11.7 | | | | | | | | | | | | | | | | | West North Central | 183.1 | | | 7.4 | | | 193.1 | | | 7.5 | | | | | | | | | | | | | | | | | South Atlantic | 571.1 | | | 23.1 | | | 582.1 | | | 22.7 | | | | | | | | | | | | | | | | | East South Central | 102.7 | | | 4.1 | | | 120.7 | | | 4.7 | | | | | | | | | | | | | | | | | West South Central | 214.7 | | | 8.7 | | | 243.2 | | | 9.6 | | | | | | | | | | | | | | | | | Mountain | 294.7 | | | 11.9 | | | 290.6 | | | 11.3 | | | | | | | | | | | | | | | | | Pacific | 547.3 | | | 22.1 | | | 562.7 | | | 22.0 | | | | | | | | | | | | | | | | | Total | $ | 2,476.4 | | | 100.0 | % | | $ | 2,560.4 | | | 100.0 | % | | | | | | | | | | | | | | |
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| Schedule of Participating Mortgage Loans by Internal Credit Rating and Loan to Value |
The following tables present information about mortgage loans by the applicable internal quality indicators: | | | | | | | | | | | | | | | | | | | | | | | | | September 30, 2022 | | December 31, 2021 | | (in millions of dollars) | | Carrying Amount | | Percent of Total | | Carrying Amount | | Percent of Total | | Internal Mortgage Rating | | | | | | | | | AA | $ | 30.1 | | | 1.2 | % | | $ | 27.3 | | | 1.1 | % | | A | 695.5 | | | 28.1 | | | 709.6 | | | 27.7 | | | BBB | 1,730.6 | | | 69.9 | | | 1,802.6 | | | 70.4 | | | BB | 20.2 | | | 0.8 | | | 20.9 | | | 0.8 | | | | | | | | | | | Total | $ | 2,476.4 | | | 100.0 | % | | $ | 2,560.4 | | | 100.0 | % | | | | | | | | | Loan-to-Value Ratio(1) | | | | | | | | | <= 65% | $ | 1,317.6 | | | 53.3 | % | | $ | 1,346.1 | | | 52.6 | % | | > 65% <= 75% | 1,043.3 | | | 42.1 | | | 1,076.8 | | | 42.0 | | | > 75% <= 85% | 109.9 | | | 4.4 | | | 114.9 | | | 4.5 | | | > 85% | 5.6 | | | 0.2 | | | 22.6 | | | 0.9 | | | Total | $ | 2,476.4 | | | 100.0 | % | | $ | 2,560.4 | | | 100.0 | % |
(1)Loan-to Value Ratio utilizes the most recent internal appraisal of the property
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| Mortgage Loans by Credit Quality Indicators |
The following tables present the amortized cost of our mortgage loans by year of origination and internal quality indicators at September 30, 2022 and December 31, 2021, respectively: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | September 30, 2022 | | Prior to 2018 | | 2018 | | 2019 | | 2020 | | 2021 | | 2022 | | Total | | (in millions of dollars) | | Internal Mortgage Rating | | | | | | | | | | | | | | | AA | $ | 6.1 | | | $ | 24.0 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 30.1 | | | A | 453.3 | | | 78.0 | | | 43.2 | | | 17.3 | | | 80.8 | | | 24.2 | | | 696.8 | | | BBB | 676.6 | | | 270.7 | | | 303.6 | | | 153.6 | | | 277.4 | | | 55.7 | | | 1,737.6 | | | BB | 14.7 | | | 5.9 | | | — | | | — | | | — | | | — | | | 20.6 | | | | | | | | | | | | | | | | | Total Amortized Cost | 1,150.7 | | | 378.6 | | | 346.8 | | | 170.9 | | | 358.2 | | | 79.9 | | | 2,485.1 | | | Allowance for credit losses | (4.0) | | | (1.6) | | | (1.4) | | | (0.5) | | | (0.8) | | | (0.4) | | | (8.7) | | | Carrying Amount | $ | 1,146.7 | | | $ | 377.0 | | | $ | 345.4 | | | $ | 170.4 | | | $ | 357.4 | | | $ | 79.5 | | | $ | 2,476.4 | | | | | | | | | | | | | | | | Loan-to-Value Ratio(1) | | | | | | | | | | | | | | | <=65% | $ | 812.7 | | | $ | 190.0 | | | $ | 102.3 | | | $ | 68.4 | | | $ | 129.7 | | | $ | 17.0 | | | $ | 1,320.1 | | | >65<=75% | 227.4 | | | 182.7 | | | 244.5 | | | 102.5 | | | 228.5 | | | 62.9 | | | 1,048.5 | | | >75%<=85% | 110.6 | | | — | | | — | | | — | | | — | | | — | | | 110.6 | | | >85% | — | | | 5.9 | | | — | | | — | | | — | | | — | | | 5.9 | | | Total Amortized Cost | 1,150.7 | | | 378.6 | | | 346.8 | | | 170.9 | | | 358.2 | | | 79.9 | | | 2,485.1 | | | Allowance for credit losses | (4.0) | | | (1.6) | | | (1.4) | | | (0.5) | | | (0.8) | | | (0.4) | | | (8.7) | | | Carrying Amount | $ | 1,146.7 | | | $ | 377.0 | | | $ | 345.4 | | | $ | 170.4 | | | $ | 357.4 | | | $ | 79.5 | | | $ | 2,476.4 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
(1)Loan-to Value Ratio utilizes the most recent internal appraisal of the property | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | December 31, 2021 | | Prior to 2017 | | 2017 | | 2018 | | 2019 | | 2020 | | 2021 | | Total | | (in millions of dollars) | | Internal Mortgage Rating | | | | | | | | | | | | | | | AA | $ | 3.3 | | | $ | — | | | $ | 24.0 | | | $ | — | | | $ | — | | | $ | — | | | $ | 27.3 | | | A | 414.6 | | | 68.0 | | | 71.1 | | | 28.9 | | | 17.6 | | | 110.6 | | | 710.8 | | | BBB | 561.2 | | | 227.3 | | | 283.3 | | | 331.9 | | | 163.1 | | | 242.6 | | | 1,809.4 | | | BB | 5.0 | | | 10.2 | | | 6.0 | | | — | | | — | | | — | | | 21.2 | | | | | | | | | | | | | | | | | Total Amortized Cost | 984.1 | | | 305.5 | | | 384.4 | | | 360.8 | | | 180.7 | | | 353.2 | | | 2,568.7 | | | Allowance for credit losses | (2.6) | | | (1.4) | | | (1.4) | | | (1.4) | | | (0.7) | | | (0.8) | | | (8.3) | | | Carrying Amount | $ | 981.5 | | | $ | 304.1 | | | $ | 383.0 | | | $ | 359.4 | | | $ | 180.0 | | | $ | 352.4 | | | $ | 2,560.4 | | | | | | | | | | | | | | | | Loan-to-Value Ratio(1) | | | | | | | | | | | | | | | <=65% | $ | 779.1 | | | $ | 146.9 | | | $ | 163.0 | | | $ | 80.7 | | | $ | 54.3 | | | $ | 124.7 | | | $ | 1,348.7 | | | >65<=75% | 115.7 | | | 115.4 | | | 215.4 | | | 280.1 | | | 126.4 | | | 228.5 | | | 1,081.5 | | | >75%<=85% | 89.3 | | | 26.3 | | | — | | | — | | | — | | | — | | | 115.6 | | | >85% | — | | | 16.9 | | | 6.0 | | | — | | | — | | | — | | | 22.9 | | | Total Amortized Cost | 984.1 | | | 305.5 | | | 384.4 | | | 360.8 | | | 180.7 | | | 353.2 | | | 2,568.7 | | | Allowance for credit losses | (2.6) | | | (1.4) | | | (1.4) | | | (1.4) | | | (0.7) | | | (0.8) | | | (8.3) | | | Carrying Amount | $ | 981.5 | | | $ | 304.1 | | | $ | 383.0 | | | $ | 359.4 | | | $ | 180.0 | | | $ | 352.4 | | | $ | 2,560.4 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
(1)Loan-to Value Ratio utilizes the most recent internal appraisal of the property
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| Financing Receivable, Allowance for Credit Loss |
The following table presents a roll-forward of the allowance for expected credit losses by loan-to-value ratio for the three and nine months ended September 30, 2022 and 2021: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Three Months Ended September 30, 2022 | | Beginning of Period | | Current Period Provisions | | Write-Offs | | Recoveries | | End of Period | | (in millions of dollars) | Loan-to-Value Ratio(1) | | | | | | | | | | | <=65% | $ | 2.3 | | | $ | 0.2 | | | $ | — | | | $ | — | | | $ | 2.5 | | | >65<=75% | 4.8 | | | 0.4 | | | — | | | — | | | 5.2 | | | >75%<=85% | 0.9 | | | (0.2) | | | — | | | — | | | 0.7 | | | >85% | 0.4 | | | (0.1) | | | — | | | — | | | 0.3 | | | Total | $ | 8.4 | | | $ | 0.3 | | | $ | — | | | $ | — | | | $ | 8.7 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Three Months Ended September 30, 2021 | | Beginning of Period | | Current Period Provisions | | Write-Offs | | Recoveries | | End of Period | | (in millions of dollars) | Loan-to-Value Ratio(1) | | | | | | | | | | | <=65% | $ | 3.2 | | | $ | — | | | $ | — | | | $ | — | | | $ | 3.2 | | | >65<=75% | 6.2 | | | — | | | — | | | — | | | 6.2 | | | >75%<=85% | 1.5 | | | (0.1) | | | — | | | — | | | 1.4 | | | >85% | 0.5 | | | — | | | — | | | — | | | 0.5 | | | Total | $ | 11.4 | | | $ | (0.1) | | | $ | — | | | $ | — | | | $ | 11.3 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Nine Months Ended September 30, 2022 | | Beginning of Year | | Current Period Provisions | | Write-Offs | | Recoveries | | End of Period | | (in millions of dollars) | Loan-to-Value Ratio(1) | | | | | | | | | | | <=65% | $ | 2.6 | | | $ | (0.1) | | | $ | — | | | $ | — | | | $ | 2.5 | | | >65<=75% | 4.7 | | | 0.5 | | | — | | | — | | | 5.2 | | | >75%<=85% | 0.7 | | | — | | | — | | | — | | | 0.7 | | | >85% | 0.3 | | | — | | | — | | | — | | | 0.3 | | | Total | $ | 8.3 | | | $ | 0.4 | | | $ | — | | | $ | — | | | $ | 8.7 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Nine Months Ended September 30, 2021 | | Beginning of Year | | Current Period Provisions | | Write-Offs | | Recoveries | | End of Period | | (in millions of dollars) | Loan-to-Value Ratio(1) | | | | | | | | | | | <=65% | $ | 3.4 | | | $ | (0.2) | | | $ | — | | | $ | — | | | $ | 3.2 | | | >65<=75% | 7.3 | | | (1.1) | | | — | | | — | | | 6.2 | | | >75%<=85% | 1.3 | | | 0.1 | | | — | | | — | | | 1.4 | | | >85% | 1.1 | | | (0.6) | | | — | | | — | | | 0.5 | | | Total | $ | 13.1 | | | $ | (1.8) | | | $ | — | | | $ | — | | | $ | 11.3 | |
(1)Loan-to Value Ratio utilizes the most recent internal appraisal of the property
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| Remaining Contractual Maturity of Securities Lending Agreements |
The remaining contractual maturities of our securities lending agreements disaggregated by class of assets pledged are as follows: | | | | | | | | | | | | | September 30, 2022 | | December 31, 2021 | | Overnight and Continuous | | (in millions of dollars) | | Borrowings | | | | | United States Government and Government Agencies and Authorities | $ | — | | | $ | 0.1 | | | States, Municipalities, and Political Subdivisions | 3.4 | | | 0.1 | | | Public Utilities | 8.6 | | | 3.1 | | | All Other Corporate Bonds | 88.1 | | | 91.5 | | | Total Borrowings | $ | 100.1 | | | $ | 94.8 | | | Gross Amount of Recognized Liability for Securities Lending Transactions | 100.1 | | | 94.8 | | | Amounts Related to Agreements Not Included in Offsetting Disclosure Contained Herein | $ | — | | | $ | — | |
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| Federal Home Loan Bank Common Stock Carrying Amounts, Amounts Posted, and Advances Received |
The carrying value of common stock owned, collateral posted, and advances received are as follows: | | | | | | | | | | | | | | | | | September 30, 2022 | | December 31, 2021 | | | (in millions of dollars) | | Carrying Value of FHLB Common Stock | | $ | 17.3 | | | $ | 22.1 | | | Advances from FHLB | | 118.5 | | | 160.9 | | | | | | | | Carrying Value of Collateral Posted to FHLB | | | | | | Fixed Maturity Securities | | $ | 546.8 | | | $ | 786.1 | | | Commercial Mortgage Loans | | 808.4 | | | 930.0 | | | Total Carrying Value of Collateral Posted to FHLB | | $ | 1,355.2 | | | $ | 1,716.1 | |
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| Schedule of Financial Instrument and Derivative Offsetting |
Shown below are our financial instruments that either meet the accounting requirements that allow them to be offset in our balance sheets or that are subject to an enforceable master netting arrangement or similar agreement. Our accounting policy is to not offset these financial instruments in our balance sheets. Net amounts disclosed below have been reduced by the amount of collateral pledged to or received from our counterparties. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | September 30, 2022 | | | Gross Amount | | | | | | Gross Amount Not | | | | | of Recognized | | Gross Amount | | Net Amount | | Offset in Balance Sheet | | | | | Financial | | Offset in | | Presented in | | Financial | | Cash | | Net | | | Instruments | | Balance Sheet | | Balance Sheet | | Instruments | | Collateral | | Amount | | | (in millions of dollars) | | Financial Assets: | | | | Derivatives | | $ | 128.1 | | | $ | — | | | $ | 128.1 | | | $ | (45.5) | | | $ | (80.9) | | | $ | 1.7 | | | Securities Lending | | 231.0 | | | — | | | 231.0 | | | (130.9) | | | (100.1) | | | — | | | Total | | $ | 359.1 | | | $ | — | | | $ | 359.1 | | | $ | (176.4) | | | $ | (181.0) | | | $ | 1.7 | | | | | | Financial Liabilities: | | | | | | | | | | | | | | Derivatives | | $ | 56.4 | | | $ | — | | | $ | 56.4 | | | $ | (54.6) | | | $ | — | | | $ | 1.8 | | | Securities Lending | | 100.1 | | | — | | | 100.1 | | | (100.1) | | | — | | | — | | | Total | | $ | 156.5 | | | $ | — | | | $ | 156.5 | | | $ | (154.7) | | | $ | — | | | $ | 1.8 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | December 31, 2021 | | | Gross Amount | | | | | | Gross Amount Not | | | | | of Recognized | | Gross Amount | | Net Amount | | Offset in Balance Sheet | | | | | Financial | | Offset in | | Presented in | | Financial | | Cash | | Net | | | Instruments | | Balance Sheet | | Balance Sheet | | Instruments | | Collateral | | Amount | | | (in millions of dollars) | | Financial Assets: | | | | Derivatives | | $ | 39.5 | | | $ | — | | | $ | 39.5 | | | $ | (9.8) | | | $ | (28.4) | | | $ | 1.3 | | | Securities Lending | | 283.7 | | | — | | | 283.7 | | | (188.9) | | | (94.8) | | | — | | | Total | | $ | 323.2 | | | $ | — | | | $ | 323.2 | | | $ | (198.7) | | | $ | (123.2) | | | $ | 1.3 | | | | | | | | | | | | | | | | Financial Liabilities: | | | | | | | | | | | | | | Derivatives | | $ | 35.0 | | | $ | — | | | $ | 35.0 | | | $ | (34.0) | | | $ | — | | | $ | 1.0 | | | Securities Lending | | 94.8 | | | — | | | 94.8 | | | (94.8) | | | — | | | — | | | Total | | $ | 129.8 | | | $ | — | | | $ | 129.8 | | | $ | (128.8) | | | $ | — | | | $ | 1.0 | |
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| Net Investment Income |
Net Investment Income
Net investment income reported in our consolidated statements of income is presented below. | | | | | | | | | | | | | | | | | | | | | | | | | | Three Months Ended September 30 | | Nine Months Ended September 30 | | | 2022 | | 2021 | | 2022 | | 2021 | | | (in millions of dollars) | | Fixed Maturity Securities | $ | 456.7 | | | $ | 478.5 | | | $ | 1,379.9 | | | $ | 1,419.7 | | | Derivatives | 14.9 | | | 15.2 | | | 45.1 | | | 49.1 | | | Mortgage Loans | 24.7 | | | 26.5 | | | 77.6 | | | 77.5 | | | Policy Loans | 5.1 | | | 4.9 | | | 14.8 | | | 14.7 | | | Other Long-term Investments | | | | | | | | Perpetual Preferred Securities1 | 1.1 | | | 0.4 | | | 3.2 | | | 6.0 | | | Private Equity Partnerships | 12.6 | | | 38.3 | | | 98.6 | | | 126.1 | | | Other | 3.6 | | | 0.3 | | | 7.4 | | | 3.7 | | | Short-term Investments | 5.9 | | | 0.2 | | | 9.2 | | | 1.1 | | | Gross Investment Income | 524.6 | | | 564.3 | | | 1,635.8 | | | 1,697.9 | | | Less Investment Expenses | 10.0 | | | 10.8 | | | 29.1 | | | 26.1 | | | Less Investment Income on Participation Fund Account Assets | 3.0 | | | 3.3 | | | 8.9 | | | 9.4 | | | | | | | | | | | Net Investment Income | $ | 511.6 | | | $ | 550.2 | | | $ | 1,597.8 | | | $ | 1,662.4 | |
1 The net unrealized gain recognized in net investment income for the three and nine months ended September 30, 2022 related to perpetual preferred securities still held at September 30, 2022 was $0.5 million and $1.5 million, respectively. The net unrealized gain (loss) recognized in net investment income for the three and nine months ended September 30, 2021 related to perpetual preferred securities still held at September 30, 2021 was $(0.2) million and $4.0 million, respectively.
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| Investment Gains and Losses Reported in Consolidated Statements of Income |
Investment Gain and Loss
Investment gains and losses are as follows: | | | | | | | | | | | | | | | | | | | | | | | | | | Three Months Ended September 30 | | Nine Months Ended September 30 | | | 2022 | | 2021 | | 2022 | | 2021 | | | (in millions of dollars) | | Fixed Maturity Securities | | | | | | | | Gross Gains on Sales1 | $ | — | | | $ | 1.3 | | | $ | 0.8 | | | $ | 74.9 | | | Gross Losses on Sales | (13.4) | | | (5.4) | | | (26.4) | | | (9.0) | | | | | | | | | | | Credit Losses | (0.5) | | | — | | | (4.6) | | | (9.3) | | | Mortgage Loans and Other Invested Assets | | | | | | | | | Gross Gains on Sales | — | | | 1.5 | | | 1.4 | | | 5.0 | | | | | | | | | | | | | | | | | | | Change in Allowance for Credit Losses | (0.4) | | | — | | | (0.3) | | | 1.6 | | | Embedded Derivative in Modified Coinsurance Arrangement | 14.9 | | | 2.6 | | | 10.7 | | | 21.2 | | | All Other Derivatives | (0.9) | | | 0.7 | | | 4.6 | | | 2.3 | | | Foreign Currency Transactions | (4.1) | | | (0.8) | | | (8.5) | | | (1.3) | | | Net Investment Gain (Loss) | $ | (4.4) | | | $ | (0.1) | | | $ | (22.3) | | | $ | 85.4 | |
1Gross gains on sales of fixed maturity securities for the nine months ended September 30, 2021 includes gains of $67.6 million as a result of the second phase of the reinsurance transaction that we completed during the first quarter of 2021. See Note 12 for further discussion.
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