XML 131 R21.htm IDEA: XBRL DOCUMENT v3.21.2
Investments (Tables)
 9 Months Ended
Sep. 30, 2021
Investments, Debt and Equity Securities [Abstract]  
Components of net investment income
The components of net investment income for the following periods were as follows:
($ in millions)Three Months Ended
September 30,		Nine Months Ended
September 30,
2021202020212020
Fixed maturity securities$59.8 $56.4 $177.2 $174.7 
Equity securities1.4 1.1 3.8 3.5 
Limited partnership interests16.8 11.1 51.1 4.9 
Short-term and other investments2.8 2.7 8.5 8.4 
Investment expenses(2.7)(2.1)(7.3)(7.2)
Net investment income - investment portfolio
78.1 69.2 233.3 184.3 
Investment income - deposit asset on reinsurance25.6 24.5 75.1 72.1 
Total net investment income
$103.7 $93.7 $308.4 $256.4 
Schedule of net investment gains (losses)
Net investment (losses) gains for the following periods were as follows:
($ in millions)Three Months Ended
September 30,		Nine Months Ended
September 30,
2021202020212020
Fixed maturity securities$(4.0)$2.7 $(7.9)$3.1 
Equity securities(1.0)4.0 0.7 (3.6)
Short-term investments and other(1.5)(4.2)(3.4)(12.3)
Net investment (losses) gains$(6.5)$2.5 $(10.6)$(12.8)
The following table reconciles net investment (losses) gains by transaction type:
($ in millions)Three Months Ended
September 30,		Nine Months Ended
September 30,
2021202020212020
Credit loss impairments(1)
$(6.6)$— $(7.7)$— 
Intent-to-sell impairments— (1.1)(2.1)(5.3)
Total impairments on investments recognized in net income(6.6)(1.1)(9.8)(5.3)
Sales and other, net2.7 3.7 2.2 8.6 
Change in fair value - equity securities(1.1)2.3 0.4 (5.6)
Change in fair value and losses realized
on settlements - derivatives
(1.5)(2.4)(3.4)(10.5)
Net investment (losses) gains$(6.5)$2.5 $(10.6)$(12.8)
(1)    For the nine months ended September 30, 2021, the Company recognized a valuation allowance of $7.7 million for credit loss impairments with respect to fixed maturity securities available for sale.
Schedule of allowance for credit loss impairments on fixed maturity securities
The following table presents changes in the allowance for credit loss impairments on fixed maturity securities classified as available for sale for the category of other asset-backed securities (no other categories of fixed maturity securities have an allowance for credit loss impairments):
($ in millions)Three Months Ended
September 30,		Nine Months Ended
September 30,
2021202020212020
Beginning balance$1.1 $— $— $— 
Credit losses on fixed maturity securities for which credit losses were not previously reported6.6 — 7.7 — 
Net (increases) decreases related to credit losses previously reported— — — — 
Reduction of credit allowances related to sales— — — — 
Write-offs— — — — 
Ending balance$7.7 $— $7.7 $— 
Unrealized gains and losses on fixed maturities and equity securities Amortized cost, net, gross unrealized investment gains (losses) and fair values of all fixed maturity securities in the portfolio were as follows:
($ in millions)Amortized
Cost, net		Gross Unrealized
Gains		Gross Unrealized
Losses		Fair
Value
September 30, 2021
Fixed maturity securities
U.S. Government and federally
sponsored agency obligations:(1)
Mortgage-backed securities
$636.2 $58.3 $1.0 $693.5 
Other, including U.S. Treasury securities
385.7 28.8 5.6 408.9 
Municipal bonds1,592.5 184.1 1.1 1,775.5 
Foreign government bonds40.2 3.8 — 44.0 
Corporate bonds2,268.8 189.4 6.6 2,451.6 
Other asset-backed securities1,122.2 21.1 4.8 1,138.5 
Totals$6,045.6 $485.5 $19.1 $6,512.0 
December 31, 2020
Fixed maturity securities
U.S. Government and federally
sponsored agency obligations:(1)
Mortgage-backed securities$605.5 $79.6 $0.3 $684.8 
Other, including U.S. Treasury securities395.0 39.2 1.0 433.2 
Municipal bonds1,612.3 215.7 0.5 1,827.5 
Foreign government bonds40.2 4.9 — 45.1 
Corporate bonds1,905.2 221.6 3.9 2,122.9 
Other asset-backed securities1,230.4 24.1 22.7 1,231.8 
Totals$5,788.6 $585.1 $28.4 $6,345.3 
(1)    Fair value includes securities issued by Federal National Mortgage Association (FNMA) of $394.9 million and $387.1 million; Federal Home Loan Mortgage Corporation (FHLMC) of $337.8 million and $344.3 million; and Government National Mortgage Association (GNMA) of $118.2 million and $132.3 million as of September 30, 2021 and December 31, 2020, respectively.
Summary of fair value and gross unrealized losses of fixed maturity securities and equity securities in an unrealized loss position
The following table presents the fair value and gross unrealized losses for fixed maturity securities in an unrealized loss position at September 30, 2021 and December 31, 2020, respectively. The Company views the decrease in fair value of all of the fixed maturity securities with unrealized losses at September 30, 2021 — which was driven largely by increasing interest rates, spread widening, financial market illiquidity and/or market volatility from the date of acquisition — as temporary. As of September 30, 2021, the Company has not made the decision to sell and it is not more likely than not the Company will be required to sell the fixed maturity securities with unrealized losses before an anticipated recovery in value. Therefore, it was determined that the unrealized losses on the fixed maturity securities presented in the table below were not indicative of any impairments as of September 30, 2021.
($ in millions)12 Months or LessMore than 12 MonthsTotal
Fair ValueGross
Unrealized
Losses		Fair ValueGross
Unrealized
Losses		Fair ValueGross
Unrealized
Losses
September 30, 2021
Fixed maturity securities
U.S. Government and federally
sponsored agency obligations:
Mortgage-backed securities$69.5 $0.9 $2.1 $0.1 $71.6 $1.0 
Other
106.1 4.4 15.0 1.2 121.1 5.6 
Municipal bonds52.2 1.0 1.4 0.1 53.6 1.1 
Foreign government bonds
— — — — — — 
Corporate bonds
214.1 5.3 36.1 1.3 250.2 6.6 
Other asset-backed securities
187.6 1.1 205.4 3.7 393.0 4.8 
Total
$629.5 $12.7 $260.0 $6.4 $889.5 $19.1 
Number of positions with a
   gross unrealized loss
401 129 530 
Fair value as a percentage of total fixed
   maturity securities at fair value
9.7 %4.0 %13.7 %
December 31, 2020
Fixed maturity securities
U.S. Government and federally
sponsored agency obligations:
Mortgage-backed securities$4.9 $0.1 $2.6 $0.2 $7.5 $0.3 
Other95.9 1.0 — — 95.9 1.0 
Municipal bonds18.1 0.5 — — 18.1 0.5 
Foreign government bonds— — — — — — 
Corporate bonds126.6 3.7 10.9 0.2 137.5 3.9 
Other asset-backed securities316.9 17.2 409.3 5.5 726.2 22.7 
Total
$562.4 $22.5 $422.8 $5.9 $985.2 $28.4 
Number of positions with a
   gross unrealized loss
308 123 431 
Fair value as a percentage of total fixed
   maturity securities at fair value
8.9 %6.7 %15.6 %
Distribution of the company's fixed maturity portfolio by estimated expected maturity
The following table presents the distribution of the Company’s fixed maturity securities portfolio by estimated expected maturity. Estimated expected maturities differ from contractual maturities, reflecting assumptions regarding borrowers' utilization of the right to call or prepay obligations with or without call or prepayment penalties. For structured securities, estimated expected maturities consider broker-dealer survey prepayment assumptions and are verified for consistency with the interest rate and economic environments.
($ in millions)Percent of Total Fair ValueSeptember 30, 2021
September 30, 2021December 31, 2020Fair
Value		Amortized
Cost, net
Estimated expected maturity:
Due in 1 year or less4.0 %4.0 %$260.5 $253.7 
Due after 1 year through 5 years26.2 %28.3 %1,703.6 1,620.1 
Due after 5 years through 10 years28.1 %28.0 %1,830.4 1,685.7 
Due after 10 years through 20 years23.9 %24.6 %1,559.5 1,411.2 
Due after 20 years17.8 %15.1 %1,158.0 1,074.9 
Total100.0 %100.0 %$6,512.0 $6,045.6 
Average option-adjusted duration, in years6.86.4
Proceeds received from sales of fixed maturities and equity securities
Proceeds received from sales of fixed maturity and equity securities, each determined using the specific identification method, and gross gains and gross losses realized as a result of those sales for each period were as follows:
($ in millions)Three Months Ended
September 30,		Nine Months Ended
September 30,
2021202020212020
Fixed maturity securities
Proceeds received
$155.4 $58.6 $319.2 $352.8 
Gross gains realized
3.2 3.7 6.2 14.0 
Gross losses realized
(0.7)— (4.3)(5.9)
Equity securities
Proceeds received
$0.3 $0.3 $1.0 $12.4 
Gross gains realized
0.1 0.1 0.3 2.1 
Gross losses realized
— — — (1.8)
Reconciliation of net unrealized investment gains (losses) on fixed maturity securities and equity securities
The following table reconciles net unrealized investment gains (losses) on fixed maturity securities, net of tax, included in accumulated other comprehensive income (AOCI), before the impact of DAC:
($ in millions)Three Months Ended
September 30,		Nine Months Ended
September 30,
2021202020212020
Net unrealized investment gains (losses)
   on fixed maturity securities, net of tax
Beginning of period$399.4 $329.9 $439.8 $264.4 
Change in net unrealized investment gains
   (losses) on fixed maturity securities		(34.9)56.9 (77.0)128.1 
Reclassification of net investment (gains) losses
   on fixed maturity securities to net income		3.9 5.2 5.6 (0.5)
End of period$368.4 $392.0 $368.4 $392.0 
Schedule of carrying amounts of equity method limited partnership interests The carrying amounts of equity method limited partnership interests were as follows:
($ in millions)
September 30, 2021December 31, 2020
Senior commercial mortgage loan funds$265.8 $149.6 
Infrastructure debt funds62.7 58.3 
Infrastructure equity funds59.1 52.1 
Hedge funds51.1 63.2 
Other funds(1)
176.7 125.8 
Total$615.4 $449.0 
(1)Other funds consist primarily of limited partnership interests in private equity, real estate equity and corporate mezzanine funds.
Offsetting assets and liability The following table presents instruments that were subject to a master netting arrangement for the Company.
($ in millions)Gross
Amounts
Offset in the
Consolidated
Balance
Sheets		Net Amounts
of Assets/
Liabilities
Presented
in the
Consolidated
Balance
Sheets		Gross Amounts Not Offset
in the Consolidated
Balance Sheets
Gross
Amounts		Financial
Instruments		Cash
Collateral
Received		Net
Amount
September 30, 2021
Asset derivatives:
Free-standing derivatives$10.6 $— $10.6 $9.8 $3.5 $(2.7)
December 31, 2020
Asset derivatives:
Free-standing derivatives$16.8 $— $16.8 $13.7 $2.6 $0.5