Investments (Tables)

9 Months Ended

Sep. 30, 2022

Investments, Debt and Equity Securities [Abstract]

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

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

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

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	%

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	$	—

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

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	%

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

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

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

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	$	—	$	—

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

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

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.

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.