Investments (Tables)
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12 Months Ended |
Dec. 31, 2021 |
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| Investments, Debt and Equity Securities [Abstract] |
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| Components of net investment income |
The components of net investment income for the following periods were as follows: | | | | | | | | | | | | | | | | | | | | | | ($ in millions) | | Year Ended December 31, | | | 2021 | | 2020 | | 2019 | | Fixed maturity securities | | $ | 235.6 | | | $ | 232.9 | | | $ | 283.2 | | | Equity securities | | 5.3 | | | 4.7 | | | 4.9 | | | Limited partnership interests | | 79.0 | | | 20.9 | | | 25.7 | | | Short-term and other investments | | 11.6 | | | 11.4 | | | (10.1) | | | Investment expenses | | (10.1) | | | (9.6) | | | (9.4) | | | Net investment income - investment portfolio | | 321.4 | | | 260.3 | | | 294.3 | | | Investment income - deposit asset on reinsurance | | 101.1 | | | 97.3 | | | 70.8 | | | Total net investment income | | $ | 422.5 | | | $ | 357.6 | | | $ | 365.1 | |
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| Summary of realized investment gains (losses) |
Net investment gains (losses) for the following periods were as follows: | | | | | | | | | | | | | | | | | | | | | | ($ in millions) | | Year Ended December 31, | | | 2021 | | 2020 | | 2019 | Fixed maturity securities(1) | | $ | (7.7) | | | $ | 9.4 | | | $ | 141.4 | | | Equity securities | | (0.8) | | | 1.8 | | | 16.0 | | | Short-term investments and other | | (2.5) | | | (13.5) | | | (4.1) | | Net investment gains (losses) | | $ | (11.0) | | | $ | (2.3) | | | $ | 153.3 | |
(1) Net investment gains on fixed maturity securities include a $135.3 million realized investment gain associated with a transfer of investments to a reinsurer as consideration paid in connection with a reinsurance transaction of a $2.9 billion block of in force fixed and variable annuity business in 2019. See Notes 6 and 18 for further information. The following table reconciles net investment gains (losses) pretax by transaction type: | | | | | | | | | | | | | | | | | | | | | | ($ in millions) | | Year Ended December 31, | | | 2021 | | 2020 | | 2019 | Credit loss impairments(1) | | $ | (8.1) | | | $ | — | | | $ | (1.1) | | | Intent-to-sell impairments | | (2.3) | | | (5.3) | | | (0.3) | | | Total impairments on investments recognized in net income | | (10.4) | | | (5.3) | | | (1.4) | | | Sales and other, net | | 4.3 | | | 15.0 | | | 151.5 | | | Change in fair value - equity securities | | (2.3) | | | (0.2) | | | 7.3 | | Change in fair value and losses realized on settlements - derivatives | | (2.6) | | | (11.8) | | | (4.1) | | | Net investment (losses) gains | | $ | (11.0) | | | $ | (2.3) | | | $ | 153.3 | |
(1) Due to the adoption of the measurement of credit losses on financial instruments accounting standard in 2020, other-than-temporary write-downs reported in 2019 are now presented as credit losses,
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| 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) | | Year Ended December 31, | | | 2021 | | 2020 | | Beginning balance | | $ | — | | | $ | — | | Credit losses on fixed maturity securities for which credit losses were not previously reported(1) | | 8.1 | | | — | | | Net (increases) decreases related to credit losses previously reported | | — | | | — | | | Reduction of credit allowances related to sales | | — | | | — | | | Write-offs | | (0.4) | | | — | | | Ending balance | | $ | 7.7 | | | $ | — | |
(1) Because the standard for the measurement of credit losses on financial instruments became effective January 1, 2020, there are no allowances for credit loss impairments to report for the year ended December 31, 2019.
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| Unrealized gains and losses on fixed maturities and equity securities |
Amortized cost, net, 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 | | December 31, 2021 | | | | | | | | | Fixed maturity securities | | | | | | | | | U.S. Government and federally sponsored agency obligations:(1) | | | | | | | | | Mortgage-backed securities | | $ | 612.1 | | | $ | 51.9 | | | $ | 1.5 | | | $ | 662.5 | | Other, including U.S. Treasury securities | | 342.5 | | | 27.7 | | | 4.3 | | | 365.9 | | Municipal bonds | | 1,519.7 | | | 184.4 | | | 0.7 | | | 1,703.4 | | Foreign government bonds | | 40.2 | | | 3.4 | | | — | | | 43.6 | | Corporate bonds | | 2,217.7 | | | 176.2 | | | 5.2 | | | 2,388.7 | | | Other asset-backed securities | | 1,065.5 | | | 16.6 | | | 6.9 | | | 1,075.2 | | Totals | | $ | 5,797.7 | | | $ | 460.2 | | | $ | 18.6 | | | $ | 6,239.3 | | | | | | | | | | | | 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 securities | | 395.0 | | | 39.2 | | | 1.0 | | | 433.2 | | Municipal bonds | | 1,612.3 | | | 215.7 | | | 0.5 | | | 1,827.5 | | Foreign government bonds | | 40.2 | | | 4.9 | | | — | | | 45.1 | | Corporate bonds | | 1,905.2 | | | 221.6 | | | 3.9 | | | 2,122.9 | | | Other asset-backed securities | | 1,230.4 | | | 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 $376.7 million and $387.1 million; Federal Home Loan Mortgage Corporation (FHLMC) of $326.5 million and $344.3 million; and Government National Mortgage Association (GNMA) of $112.1 million and $132.3 million as of December 31, 2021 and 2020, respectively.
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| Summary of fair value and gross unrealized losses of fixed maturity securities and equity securities in an unrealized loss position |
Therefore, it was determined that the unrealized losses on the fixed maturity securities presented in the table below were not indicative of any impairments as of December 31, 2021. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | ($ in millions) | | 12 months or less | | More than 12 months | | Total | | | Fair Value | | Gross
Unrealized
Losses | | Fair Value | | Gross
Unrealized
Losses | | Fair Value | | Gross
Unrealized
Losses | | December 31, 2021 | | | | | | | | | | | | | | Fixed maturity securities | | | | | | | | | | | | | U.S. Government and federally sponsored agency obligations: | | | | | | | | | | | | | | Mortgage-backed securities | | $ | 67.4 | | | $ | 1.3 | | | $ | 3.9 | | | $ | 0.2 | | | $ | 71.3 | | | $ | 1.5 | | | Other | | 59.5 | | | 1.7 | | | 35.1 | | | 2.6 | | | 94.6 | | | 4.3 | | Municipal bonds | | 56.8 | | | 0.7 | | | 0.6 | | | — | | | 57.4 | | | 0.7 | | Foreign government bonds | | — | | | — | | | — | | | — | | | — | | | — | | Corporate bonds | | 220.7 | | | 3.8 | | | 44.1 | | | 1.4 | | | 264.8 | | | 5.2 | | | Other asset-backed securities | | 379.0 | | | 3.8 | | | 128.2 | | | 3.1 | | | 507.2 | | | 6.9 | | Total | | $ | 783.4 | | | $ | 11.3 | | | $ | 211.9 | | | $ | 7.3 | | | $ | 995.3 | | | $ | 18.6 | | | | | | | | | | | | | | | Number of positions with a gross unrealized loss | | 516 | | | | | 122 | | | | | 638 | | | | Fair value as a percentage of total fixed maturities securities fair value | | 12.6 | % | | | | 3.4 | % | | | | 16.0 | % | | | | | | | | | | | | | | | | | 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 | | | Other | | 95.9 | | | 1.0 | | | — | | | — | | | 95.9 | | | 1.0 | | Municipal bonds | | 18.1 | | | 0.5 | | | — | | | — | | | 18.1 | | | 0.5 | | Foreign government bonds | | — | | | — | | | — | | | — | | | — | | | — | | Corporate bonds | | 126.6 | | | 3.7 | | | 10.9 | | | 0.2 | | | 137.5 | | | 3.9 | | | Other asset-backed securities | | 316.9 | | | 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 maturities securities fair value | | 8.9 | % | | | | 6.7 | % | | | | 15.6 | % | | |
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| 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) | | December 31, 2021 | | | Amortized
Cost, net | | Fair
Value | | Percent of
Total Fair
Value | | Estimated expected maturity: | | | | | | | Due in 1 year or less | | $ | 245.4 | | | $ | 250.8 | | | 4.0 | % | Due after 1 year through 5 years | | 1,613.8 | | | 1,686.2 | | | 27.0 | % | Due after 5 years through 10 years | | 1,600.5 | | | 1,729.5 | | | 27.7 | % | Due after 10 years through 20 years | | 1,339.9 | | | 1,488.2 | | | 23.9 | % | Due after 20 years | | 998.1 | | | 1,084.6 | | | 17.4 | % | Total | | $ | 5,797.7 | | | $ | 6,239.3 | | | 100.0 | % | | | | | | | | | Average option-adjusted duration, in years | | 6.7 | | | | |
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| 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 year were as follows: | | | | | | | | | | | | | | | | | | | | | | ($ in millions) | | Year Ended December 31, | | | 2021 | | 2020 | | 2019(1) | | Fixed maturity securities | | | | | | | Proceeds received | | $ | 578.2 | | | $ | 472.9 | | | $ | 805.9 | | Gross gains realized | | 10.5 | | | 20.5 | | | 150.9 | | Gross losses realized | | (7.7) | | | (6.1) | | | (7.8) | | | | | | | | | | Equity securities | | | | | | | Proceeds received | | $ | 4.7 | | | $ | 12.7 | | | $ | 29.9 | | Gross gains realized | | 1.5 | | | 2.2 | | | 9.2 | | Gross losses realized | | (0.1) | | | (1.9) | | | (0.8) | |
(1) Gross gains realized presented above include a $135.3 million realized investment gain associated with a transfer of investments to a reinsurer as consideration paid during the second quarter of 2019 in connection with the reinsurance of a $2.9 billion block of in force fixed and variable annuity business. See Notes 6 and 18 for further information.
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| Reconciliation of net unrealized investment gains (losses) on fixed maturity securities and equity securities |
The following table reconciles the net unrealized investment gains (losses) on fixed maturity securities, net of tax, included in AOCI, before the impact on DAC: | | | | | | | | | | | | | | | | | | | | | | ($ in millions) | | Year Ended December 31, | | | 2021 | | 2020 | | 2019 | Net unrealized investment gains (losses) on fixed maturity securities, net of tax | | | | | | | Beginning of period | | $ | 439.8 | | | $ | 264.4 | | | $ | 111.7 | | Change in net unrealized investment (losses) gains on fixed maturity securities | | (97.6) | | | 184.2 | | | 277.1 | | Reclassification of net investment losses (gains) on fixed maturity securities to net income | | 6.7 | | | (8.8) | | | (124.4) | | End of period | | $ | 348.9 | | | $ | 439.8 | | | $ | 264.4 | |
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| Schedule of carrying amounts of equity method limited partnership interests |
| | | | | | | | | | | | | | | | ($ in millions) | | Year Ended December 31, | | | 2021 | | 2020 | | Commercial mortgage loan funds | | $ | 346.8 | | | $ | 149.6 | | | Private equity funds | | 74.0 | | | 39.6 | | | Infrastructure debt funds | | 62.4 | | | 58.3 | | | Infrastructure equity funds | | 58.3 | | | 52.1 | | Other funds(1) | | 171.3 | | | 149.4 | | | Total | | $ | 712.8 | | | $ | 449.0 | |
(1)Other funds consist primarily of limited partnership interests in hedge funds, real estate equity and corporate mezzanine funds.
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| Offsetting assets and liability |
The following table presents the 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 | | December 31, 2021 | | | | | | | | | | | | | | Asset derivatives | | | | | | | | | | | | | | Free-standing derivatives | | $ | 10.7 | | | $ | — | | | $ | 10.7 | | | $ | 4.5 | | | $ | 6.4 | | | $ | (0.2) | | | | | | | | | | | | | | | | December 31, 2020 | | | | | | | | | | | | | | Asset derivatives | | | | | | | | | | | | | | Free-standing derivatives | | $ | 16.8 | | | $ | — | | | $ | 16.8 | | | $ | 13.7 | | | $ | 2.6 | | | $ | 0.5 | |
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