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INVESTMENTS

12 Months Ended

Dec. 31, 2022

Investments, Debt and Equity Securities [Abstract]

At December 31, 2022, the amortized cost, gross unrealized gains, gross unrealized losses, allowance for credit losses and estimated fair value of fixed maturities, available for sale, were as follows (dollars in millions):


	Amortized cost		Gross unrealized gains		Gross unrealized losses		Allowance for credit losses		Estimated fair value
Investment grade (a):
Corporate securities	$	13,043.6	$	28.9	$	(1,858.4)	$	(37.0)	$	11,177.1
United States Treasury securities and obligations of United States government corporations and agencies	171.7		—		(13.0)		—		158.7
States and political subdivisions	2,836.3		19.3		(476.0)		(.8)		2,378.8
Foreign governments	86.3		.1		(11.3)		(.4)		74.7
Asset-backed securities	1,312.5		1.0		(130.1)		(.3)		1,183.1
Agency residential mortgage-backed securities	174.3		1.4		(.7)		—		175.0
Non-agency residential mortgage-backed securities	1,122.6		6.0		(174.3)		—		954.3
Collateralized loan obligations	825.2		.3		(39.6)		—		785.9
Commercial mortgage-backed securities	2,401.3		.1		(254.1)		—		2,147.3
Total investment grade fixed maturities, available for sale	21,973.8		57.1		(2,957.5)		(38.5)		19,034.9
Below-investment grade (a) (b):
Corporate securities	605.5		1.0		(53.5)		(17.4)		535.6
States and political subdivisions	10.6		—		(.8)		(.1)		9.7

Asset-backed securities	123.2		—		(19.3)		—		103.9

Non-agency residential mortgage-backed securities	577.8		34.0		(17.6)		—		594.2

Commercial mortgage-backed securities	93.3		—		(18.2)		—		75.1
Total below-investment grade fixed maturities, available for sale	1,410.4		35.0		(109.4)		(17.5)		1,318.5
Total fixed maturities, available for sale	$	23,384.2	$	92.1	$	(3,066.9)	$	(56.0)	$	20,353.4

_______________

(a)Investment ratings are assigned the second lowest rating by Nationally Recognized Statistical Rating Organizations ("NRSROs") (Moody's Investor Services, Inc. ("Moody's"), S&P Global Ratings ("S&P") or Fitch Ratings ("Fitch")), or if not rated by such firms, the rating assigned by the National Association of Insurance Commissioners (the "NAIC"). NAIC designations of "1" or "2" include fixed maturities generally rated investment grade (rated "Baa3" or higher by Moody's or rated "BBB-" or higher by S&P and Fitch). NAIC designations of "3" through "6" are referred to as below-investment grade (which generally are rated "Ba1" or lower by Moody's or rated "BB+" or lower by S&P and Fitch). References to investment grade or below-investment grade throughout our consolidated financial statements are determined as described above.

(b)Certain structured securities rated below-investment grade by NRSROs may be assigned a NAIC 1 or NAIC 2 designation based on the cost basis of the security relative to estimated recoverable amounts as determined by the NAIC. Refer to the table below for a summary of our fixed maturity securities, available for sale, by NAIC designations.

The NAIC evaluates the fixed maturity investments of insurers for regulatory and capital assessment purposes and assigns securities to one of six credit quality categories called NAIC designations, which are used by insurers when preparing their annual statements based on statutory accounting principles. The NAIC designations are generally similar to the credit quality designations of the NRSROs for marketable fixed maturity securities, except for certain structured securities. However, certain structured securities rated below investment grade by the NRSROs can be assigned NAIC 1 or NAIC 2 designations depending on the cost basis of the holding relative to estimated recoverable amounts as determined by the NAIC. The following summarizes the NAIC designations and NRSRO equivalent ratings:


NAIC Designation						NRSRO Equivalent Rating
1						AAA/AA/A
2						BBB
3						BB
4						B
5						CCC and lower
6						In or near default

A summary of our fixed maturity securities, available for sale, by NAIC designations (or for fixed maturity securities held by non-regulated entities, based on NRSRO ratings) as of December 31, 2022 is as follows (dollars in millions):


NAIC designation	Amortized cost		Estimated fair value		Percentage of total estimated fair value
1	$	14,205.4	$	12,385.7	60.9	%
2	8,407.1		7,294.9		35.8
Total NAIC 1 and 2 (investment grade)	22,612.5		19,680.6		96.7
3	606.9		535.8		2.6
4	145.5		125.9		.6
5	18.3		11.1		.1
6	1.0		—		—
Total NAIC 3,4,5 and 6 (below-investment grade)	771.7		672.8		3.3
	$	23,384.2	$	20,353.4	100.0	%

At December 31, 2021, the amortized cost, gross unrealized gains, gross unrealized losses, allowance for credit losses and estimated fair value of fixed maturities, available for sale, were as follows (dollars in millions):


	Amortized cost		Gross unrealized gains		Gross unrealized losses		Allowance for credit losses		Estimated fair value
Investment grade:
Corporate securities	$	12,384.0	$	2,229.5	$	(20.2)	$	(4.3)	$	14,589.0
United States Treasury securities and obligations of United States government corporations and agencies	166.2		54.3		(.9)		—		219.6
States and political subdivisions	2,637.4		356.7		(1.5)		—		2,992.6
Foreign governments	85.4		13.6		(.3)		(.2)		98.5
Asset-backed securities	983.1		35.2		(1.9)		—		1,016.4
Agency residential mortgage-backed securities	36.7		3.7		—		—		40.4
Non-agency residential mortgage-backed securities	1,141.0		28.4		(2.9)		—		1,166.5
Collateralized loan obligations	574.2		2.3		(1.2)		—		575.3
Commercial mortgage-backed securities	2,064.6		76.3		(8.7)		—		2,132.2
Total investment grade fixed maturities, available for sale	20,072.6		2,800.0		(37.6)		(4.5)		22,830.5
Below-investment grade:
Corporate securities	811.4		55.0		(1.5)		(3.1)		861.8
States and political subdivisions	11.6		—		—		—		11.6

Asset-backed securities	145.9		1.8		(1.2)		—		146.5

Non-agency residential mortgage-backed securities	729.4		128.1		(.2)		—		857.3
Collateralized loan obligations	13.1		—		(.1)		—		13.0
Commercial mortgage-backed securities	83.6		1.6		(.5)		—		84.7
Total below-investment grade fixed maturities, available for sale	1,795.0		186.5		(3.5)		(3.1)		1,974.9
Total fixed maturities, available for sale	$	21,867.6	$	2,986.5	$	(41.1)	$	(7.6)	$	24,805.4

Accumulated other comprehensive income (loss) is primarily comprised of the net effect of unrealized appreciation (depreciation) on our investments. These amounts, included in shareholders' equity as of December 31, 2022 and 2021, were as follows (dollars in millions):


	2022		2021
Net unrealized gains (losses) on investments having no allowance for credit losses	$	(1,247.0)	$	2,963.3
Unrealized losses on investments with an allowance for credit losses	(1,780.7)		(23.1)
Adjustment to present value of future profits (a)	8.2		(8.3)
Adjustment to deferred acquisition costs	331.7		(420.2)
Adjustment to insurance liabilities	—		(25.5)

Deferred income tax assets (liabilities)	594.7		(539.1)
Accumulated other comprehensive income (loss)	$	(2,093.1)	$	1,947.1

________

(a)The present value of future profits is the value assigned to the right to receive future cash flows from contracts existing at September 10, 2003, the date our Predecessor emerged from bankruptcy.

At December 31, 2021, adjustments to the present value of future profits, deferred acquisition costs, insurance liabilities and deferred tax assets included $(7.3) million, $(132.2) million, $(25.5) million and $35.8 million, respectively, for premium deficiencies that would exist on certain blocks of business if unrealized gains on the assets backing such products had been realized and the proceeds from the sales of such assets were invested at then current yields. There were no such adjustments at December 31, 2022.

Below-Investment Grade Securities

At December 31, 2022, the amortized cost of the Company's below-investment grade fixed maturity securities, available for sale, was $1,410.4 million, or 6.0 percent of the Company's fixed maturity portfolio (or $771.7 million, or 3.3 percent, of the Company's fixed maturity portfolio measured based on credit quality ratings assigned by the NAIC). The estimated fair value of the below-investment grade portfolio was $1,318.5 million, or 93 percent of the amortized cost (or $672.8 million, or 87 percent of the amortized cost based on credit quality ratings assigned by the NAIC).

Below-investment grade corporate debt securities typically have different characteristics than investment grade corporate debt securities. Based on historical performance, probability of default by the borrower is significantly greater for below-investment grade corporate debt securities and in many cases severity of loss is relatively greater as such securities are generally unsecured and often subordinated to other indebtedness of the issuer. Also, issuers of below-investment grade corporate debt securities frequently have higher levels of debt relative to investment-grade issuers, hence, all other things being equal, are generally more sensitive to adverse economic conditions. The Company attempts to reduce the overall risk related to its investment in below-investment grade securities, as in all investments, through careful credit analysis, strict investment policy guidelines, and diversification by issuer and/or guarantor and by industry.

Contractual Maturity

The following table sets forth the amortized cost and estimated fair value of fixed maturities, available for sale, at December 31, 2022, by contractual maturity. Actual maturities will differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without penalties. Structured securities (such as asset-backed securities, agency residential mortgage-backed securities, non-agency residential mortgage-backed securities, collateralized loan obligations and commercial mortgage-backed securities, collectively referred to as "structured securities") frequently include provisions for periodic principal payments and permit periodic unscheduled payments.


	Amortized cost		Estimated fair value
	(Dollars in millions)
Due in one year or less	$	112.0	$	110.8
Due after one year through five years	1,913.7		1,790.2
Due after five years through ten years	2,098.9		1,910.4
Due after ten years	12,629.4		10,523.2
Subtotal	16,754.0		14,334.6
Structured securities	6,630.2		6,018.8
Total fixed maturities, available for sale	$	23,384.2	$	20,353.4

Net Investment Income

Net investment income consisted of the following (dollars in millions):


	2022		2021		2020
General account assets:
Fixed maturities	$	1,084.1	$	962.6	$	924.8
Equity securities	5.9		4.3		3.0
Mortgage loans	63.0		65.0		79.5
Policy loans	8.4		8.2		8.5
Other invested assets	38.0		124.8		84.0
Cash and cash equivalents	5.9		.3		2.6
Policyholder and other special-purpose portfolios:
Trading securities	7.7		7.2		28.1
Options related to fixed indexed products:
Option income (loss)	(6.3)		212.0		35.0
Change in value of options	(200.3)		8.9		4.5
Other special-purpose portfolios	35.8		52.4		75.9
Gross investment income	1,042.2		1,445.7		1,245.9
Less investment expenses	26.3		25.0		23.4
Net investment income	$	1,015.9	$	1,420.7	$	1,222.5

At December 31, 2022, the amortized cost and carrying value of fixed maturities that were non-income producing during 2022 totaled $1.0 million and nil, respectively.

Total Investment Gains (Losses)

The following table sets forth the total investment gains (losses) for the periods indicated (dollars in millions):


	2022		2021		2020
Realized investment gains (losses):
Gross realized gains on sales of fixed maturities, available for sale	$	99.8	$	51.6	$	48.6
Gross realized losses on sales of fixed maturities, available for sale	(104.0)		(20.4)		(53.7)
Equity securities, net	(8.3)		(2.9)		(3.3)
Other, net	(5.4)		(7.0)		(10.0)
Total realized investment gains (losses)	(17.9)		21.3		(18.4)
Change in allowance for credit losses and impairments of other investments (a)	(52.6)		12.2		(18.5)
Change in fair value of equity securities (b)	(2.9)		(7.3)		(1.8)



Other changes in fair value (c)	(62.0)		(7.1)		2.5
Other investment losses	(117.5)		(2.2)		(17.8)
Total investment gains (losses)	$	(135.4)	$	19.1	$	(36.2)

_________________

(a) Changes in the allowance for credit losses includes $(1.8) million, $11.4 million and $(5.2) million for the years ended December 31, 2022, 2021 and 2020, respectively, related to investments held by VIEs.

(b) Changes in the estimated fair value of equity securities (that are still held as of the end of the respective years) were $(7.3) million, $(7.8) million and $(1.7) million for the years ended December 31, 2022, 2021 and 2020, respectively.

(c) Changes in the estimated fair value of trading securities that we have elected the fair value option (that are still held as of the end of the respective years) were $(43.3) million, $(3.1) million and $0.4 million for the years ended December 31, 2022, 2021 and 2020, respectively.

During 2022, we recognized net investment losses of $135.4 million, which were comprised of: (i) $9.6 million of net losses from the sales of investments; (ii) $11.2 million of losses related to equity securities, including the change in fair value; (iii) the decrease in fair value of certain other invested assets and fixed maturity investments with embedded derivatives of $45.9 million; (iv) the decrease in fair value of embedded derivatives related to a modified coinsurance agreement of $16.1 million; and (v) an increase in the allowance for credit losses of $52.6 million.

During 2021, we recognized net investment gains of $19.1 million, which were comprised of: (i) $24.2 million of net gains from the sales of investments; (ii) $10.2 million of losses related to equity securities, including the change in fair value; (iii) the decrease in fair value of certain fixed maturity investments with embedded derivatives of $4.0 million; (iv) the decrease in fair value of embedded derivatives related to a modified coinsurance agreement of $3.1 million; and (v) a decrease in the allowance for credit losses of $12.2 million.

During 2020, we recognized net investment losses of $36.2 million, which were comprised of: (i) $15.1 million of net losses from the sales of investments; (ii) $5.1 million of losses related to equity securities, including the change in fair value; (iii) the decrease in fair value of certain fixed maturity investments with embedded derivatives of $0.1 million; (iv) the increase in fair value of embedded derivatives related to a modified coinsurance agreement of $2.6 million; and (v) an increase in the allowance for credit losses and other-than-temporary impairment losses of $18.5 million.

At December 31, 2022, there were no fixed maturity investments in default.

During 2022, the $104.0 million of realized losses on sales of $1,651.5 million of fixed maturity securities, available for sale, included: (i) $70.9 million related to various corporate securities; (ii) $16.5 million related to non-agency residential mortgage-backed securities; (iii) $7.5 million related to states and political subdivisions; and (iv) $9.1 million related to various other investments. Securities are generally sold at a loss following unforeseen issuer-specific events or conditions or shifts in perceived relative values. These reasons include but are not limited to: (i) changes in the investment environment; (ii) expectation that the market value could deteriorate; (iii) our desire to reduce our exposure to an asset class, an issuer or an industry; (iv) prospective or actual changes in credit quality; or (v) changes in expected portfolio cash flows.

During 2021, the $20.4 million of realized losses on sales of $493.5 million of fixed maturity securities, available for sale included: (i) $19.5 million related to various corporate securities; and (ii) $0.9 million related to various other investments.

During 2020, the $53.7 million of realized losses on sales of $507.1 million of fixed maturity securities, available for sale, included: (i) $16.2 million related to various corporate securities; (ii) $26.1 million related to commercial mortgage-backed securities; (iii) $9.6 million related to asset-backed securities; and (iv) $1.8 million related to various other investments.

Our fixed maturity investments are generally purchased in the context of various long-term strategies, including funding insurance liabilities, so we do not generally seek to generate short-term realized gains through the purchase and sale of such securities. In certain circumstances, including those in which securities are selling at prices which exceed our view of their underlying economic value, or when it is possible to reinvest the proceeds to better meet our long-term asset-liability objectives, we may sell certain securities.

The following summarizes the investments sold at a loss during 2022 which had been continuously in an unrealized loss position exceeding 20 percent of the amortized cost basis prior to the sale for the period indicated (dollars in millions):


		At date of sale
	Number of issuers	Amortized cost		Fair value
Less than 6 months prior to sale	21	$	85.6	$	51.8
Greater than or equal to 6 months and less than 12 months prior to sale	3	6.1		4.2

		$	91.7	$	56.0

Future events may occur, or additional information may become available, which may necessitate future realized losses in our portfolio. Significant losses could have a material adverse effect on our consolidated financial statements in future periods.

Investments with Unrealized Losses

The following table sets forth the amortized cost and estimated fair value of those fixed maturities, available for sale, with unrealized losses at December 31, 2022, by contractual maturity. Actual maturities will differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without penalties. Structured securities frequently include provisions for periodic principal payments and permit periodic unscheduled payments.


	Amortized cost		Estimated fair value
	(Dollars in millions)
Due in one year or less	$	91.2	$	89.8
Due after one year through five years	1,741.9		1,615.5
Due after five years through ten years	1,845.3		1,649.8
Due after ten years	11,631.2		9,485.8
Subtotal	15,309.6		12,840.9
Structured securities	6,040.1		5,385.9
Total	$	21,349.7	$	18,226.8

The following summarizes the investments in our portfolio rated below-investment grade not deemed to have credit losses which have been continuously in an unrealized loss position exceeding 20 percent of the cost basis for the period indicated as of December 31, 2022 (dollars in millions):


	Number of issuers	Cost basis		Unrealized loss		Estimated fair value
Less than 6 months	6	$	47.5	$	(11.1)	$	36.4
Greater than or equal to 6 months and less than 12 months	5	33.6		(10.3)		23.3

Total		$	81.1	$	(21.4)	$	59.7

The following table summarizes the gross unrealized losses and fair values of our investments with unrealized losses for which an allowance for credit losses has not been recorded, aggregated by investment category and length of time that such securities have been in a continuous unrealized loss position, at December 31, 2022 (dollars in millions):


	Less than 12 months				12 months or greater				Total
Description of securities	Fair value		Unrealized losses		Fair value		Unrealized losses		Fair value		Unrealized losses
Corporate securities	$	2,830.8	$	(329.4)	$	370.4	$	(129.3)	$	3,201.2	$	(458.7)
United States Treasury securities and obligations of United States government corporations and agencies	134.4		(9.6)		21.9		(3.4)		156.3		(13.0)
States and political subdivisions	667.0		(124.8)		132.1		(58.5)		799.1		(183.3)
Foreign governments	35.0		(3.5)		2.1		(.3)		37.1		(3.8)
Asset-backed securities	914.0		(90.1)		258.1		(53.4)		1,172.1		(143.5)
Agency residential mortgage-backed securities	59.7		(.7)		—		—		59.7		(.7)
Non-agency residential mortgage-backed securities	861.6		(89.7)		335.4		(102.2)		1,197.0		(191.9)
Collateralized loan obligations	553.0		(27.4)		184.2		(12.2)		737.2		(39.6)
Commercial mortgage-backed securities	1,581.4		(160.0)		593.3		(112.3)		2,174.7		(272.3)
Total fixed maturities, available for sale	$	7,636.9	$	(835.2)	$	1,897.5	$	(471.6)	$	9,534.4	$	(1,306.8)


	Less than 12 months				12 months or greater				Total
Description of securities	Fair value		Unrealized losses		Fair value		Unrealized losses		Fair value		Unrealized losses
Corporate securities	$	87.8	$	(.4)	$	9.2	$	(.1)	$	97.0	$	(.5)
United States Treasury securities and obligations of United States government corporations and agencies	5.7		—		18.7		(.9)		24.4		(.9)
States and political subdivisions	47.3		(.4)		—		—		47.3		(.4)

Asset-backed securities	210.8		(2.4)		17.8		(.7)		228.6		(3.1)

Non-agency residential mortgage-backed securities	380.8		(3.1)		2.3		—		383.1		(3.1)
Collateralized loan obligations	271.5		(1.2)		32.8		(.1)		304.3		(1.3)
Commercial mortgage-backed securities	694.7		(7.6)		41.4		(1.6)		736.1		(9.2)
Total fixed maturities, available for sale	$	1,698.6	$	(15.1)	$	122.2	$	(3.4)	$	1,820.8	$	(18.5)

Based on management's current assessment of investments with unrealized losses at December 31, 2022, the Company believes the issuers of the securities will continue to meet their obligations. While we do not have the intent to sell securities with unrealized losses and it is not more likely than not that we will be required to sell securities with unrealized losses prior to their anticipated recovery, our intent on an individual security may change, based upon market or other unforeseen developments. In such instances, if a loss is recognized from a sale subsequent to a balance sheet date due to these unexpected developments, the loss is recognized in the period in which we had the intent to sell the security before its anticipated recovery.

The following table summarizes changes in the allowance for credit losses related to fixed maturities, available for sale, for the three years ended December 31, 2022 (dollars in millions):


	Corporate securities		States and political subdivisions		Foreign governments		Asset-backed securities		Non-agency residential mortgage-backed securities		Total
Allowance at January 1, 2020	$	2.1	$	—	$	—	$	—	$	—	$	2.1
Additions for securities for which credit losses were not previously recorded	23.6		.7		.1		.3		1.0		25.7
Additions for purchased securities with deteriorated credit	—		—		—		—		—		—
Additions (reductions) for securities where an allowance was previously recorded	(22.3)		(.4)		(.1)		(.3)		(1.0)		(24.1)
Reduction for securities sold during the period	(1.5)		—		—		—		—		(1.5)
Reduction for securities for which the Company made the decision to sell where an allowance was previously recorded	—		—		—		—		—		—
Write-offs	—		—		—		—		—		—
Recoveries of previously written-off amount	—		—		—		—		—		—
Allowance at December 31, 2020	1.9		.3		—		—		—		2.2
Additions for securities for which credit losses were not previously recorded	6.1		.1		.1		—		—		6.3
Additions for purchased securities with deteriorated credit	—		—		—		—		—		—
Additions (reductions) for securities where an allowance was previously recorded	.2		(.4)		.2		—		—		—
Reduction for securities sold during the period	(.8)		—		(.1)		—		—		(.9)
Reduction for securities for which the Company made the decision to sell where an allowance was previously recorded	—		—		—		—		—		—
Write-offs	—		—		—		—		—		—
Recoveries of previously written-off amount	—		—		—		—		—		—
Allowance at December 31, 2021	7.4		—		.2		—		—		7.6
Additions for securities for which credit losses were not previously recorded	48.9		.7		.5		.3		—		50.4
Additions for purchased securities with deteriorated credit	—		—		—		—		—		—
Additions (reductions) for securities where an allowance was previously recorded	10.3		.3		(.3)		—		—		10.3
Reduction for securities sold during the period	(12.2)		(.1)		—		—		—		(12.3)
Reduction for securities for which the Company made the decision to sell where an allowance was previously recorded	—		—		—		—		—		—
Write-offs	—		—		—		—		—		—
Recoveries of previously written-off amount	—		—		—		—		—		—
Allowance at December 31, 2022	$	54.4	$	.9	$	.4	$	.3	$	—	$	56.0

Structured Securities

At December 31, 2022, fixed maturity investments included structured securities with an estimated fair value of $6.0 billion (or 29.6 percent of all fixed maturity securities). The yield characteristics of structured securities generally differ in some respects from those of traditional corporate fixed-income securities or government securities. For example, interest and principal payments on structured securities may occur more frequently, often monthly. In many instances, we are subject to variability in the amount and timing of principal and interest payments. For example, in many cases, partial prepayments may occur at the option of the issuer and prepayment rates are influenced by a number of factors that cannot be predicted with certainty, including: the relative sensitivity of prepayments on the underlying assets backing the security to changes in interest rates and asset values; the availability of alternative financing; a variety of economic, geographic and other factors; the timing, pace and proceeds of liquidations of defaulted collateral; and various security-specific structural considerations (for example, the repayment priority of a given security in a securitization structure). In addition, the total amount of payments for non-agency structured securities may be affected by changes to cumulative default rates or loss severities of the related collateral.

Historically, the rate of prepayments on structured securities has tended to increase when prevailing interest rates have declined significantly in absolute terms and also relative to the interest rates on the underlying collateral. The yields recognized on structured securities purchased at a discount to par will generally increase (relative to the stated rate) when the underlying collateral prepays faster than expected. The yields recognized on structured securities purchased at a premium will decrease (relative to the stated rate) when the underlying collateral prepays faster than expected. When interest rates decline, the proceeds from prepayments may be reinvested at lower rates than we were earning on the prepaid securities. When interest rates increase, prepayments may decrease below expected levels. When this occurs, the average maturity and duration of structured securities increases, decreasing the yield on structured securities purchased at discounts and increasing the yield on those purchased at a premium because of a decrease in the annual amortization of premium.

For structured securities included in fixed maturities, available for sale, that were purchased at a discount or premium, we recognize investment income using an effective yield based on anticipated future prepayments and the estimated final maturity of the securities. Actual prepayment experience is periodically reviewed and effective yields are recalculated when differences arise between the prepayments originally anticipated and the actual prepayments received and currently anticipated. For credit sensitive mortgage-backed and asset-backed securities, and for securities that can be prepaid or settled in a way that we would not recover substantially all of our investment, the effective yield is recalculated on a prospective basis. Under this method, the amortized cost basis in the security is not immediately adjusted and a new yield is applied prospectively. For all other structured and asset-backed securities, the effective yield is recalculated when changes in assumptions are made, and reflected in our income on a retrospective basis. Under this method, the amortized cost basis of the investment in the securities is adjusted to the amount that would have existed had the new effective yield been applied since the acquisition of the securities. Such adjustments were not significant in 2022.

For purchased credit impaired securities, at acquisition, the difference between the undiscounted expected future cash flows and the recorded investment in the securities represents the initial accretable yield, which is accreted into net investment income over the securities’ remaining lives on a level-yield basis. Subsequently, effective yields recognized on purchased credit impaired securities are recalculated and adjusted prospectively to reflect changes in the contractual benchmark interest rates on variable rate securities and any significant increases in undiscounted expected future cash flows arising due to reasons other than interest rate changes. Significant decreases in expected cash flows arising from credit events would result in impairment if such security's fair value is below amortized cost.

The amortized cost and estimated fair value of structured securities at December 31, 2022, summarized by type of security, were as follows (dollars in millions):


			Estimated fair value
Type	Amortized cost		Amount		Percent of fixed maturities
Asset-backed securities	$	1,435.7	$	1,287.0	6.3	%
Agency residential mortgage-backed securities	174.3		175.0		.9
Non-agency residential mortgage-backed securities	1,700.4		1,548.5		7.6
Collateralized loan obligations	825.2		785.9		3.9
Commercial mortgage-backed securities	2,494.6		2,222.4		10.9

Total structured securities	$	6,630.2	$	6,018.8	29.6	%

Residential mortgage-backed securities ("RMBS") include transactions collateralized by agency-guaranteed and non-agency mortgage obligations. Non-agency RMBS investments are primarily categorized by underlying borrower credit quality: Prime, Alt-A, Non-Qualified Mortgage ("Non-QM"), and Subprime. Prime borrowers typically default with the lowest frequency, Alt-A and Non-QM default at higher rates, and Subprime borrowers default with the highest frequency. In addition to borrower credit categories, RMBS investments include Re-Performing Loan ("RPL") and Credit Risk Transfer ("CRT") transactions. RPL transactions include borrowers with prior difficulty meeting the original mortgage terms and were subsequently modified, resulting in a sustainable payback arrangement. CRT securities are collateralized by Government-Sponsored Enterprise ("GSE") conforming mortgages and Prime borrowers, but without an agency guarantee against default losses.

Commercial mortgage-backed securities ("CMBS") are secured by commercial real estate mortgages, generally income producing properties that are managed for profit. Property types include, but are not limited to, multi-family dwellings including apartments, retail centers, hotels, restaurants, hospitals, nursing homes, warehouses, and office buildings. While most CMBS have call protection features whereby underlying borrowers may not prepay their mortgages for stated periods of time without incurring prepayment penalties, recoveries on defaulted collateral may result in involuntary prepayments.

Mortgage Loans

Mortgage loans are carried at amortized unpaid balance, net of allowance for estimated credit losses. Interest income is accrued on the principal amount of the loan based on the loan's contractual interest rate. Payment terms specified for mortgage loans may include a prepayment penalty for unscheduled payoff of the investment. Prepayment penalties are recognized as investment income when received.

The allowance for estimated credit losses is measured using a loss-rate method on an individual asset basis. Inputs used include asset-specific characteristics, current economic conditions, historical loss information and reasonable and supportable forecasts about future economic conditions.

At December 31, 2022, the mortgage loan balance was primarily comprised of commercial mortgage loans. Approximately 16 percent, 10 percent, 7 percent and 7 percent of the commercial mortgage loan balance were on properties located in California, Maryland, Wisconsin and Georgia, respectively. No other state comprised greater than six percent of the commercial mortgage loan balance. At December 31, 2022, there were no commercial mortgage loans in process of foreclosure.

At December 31, 2022, we held residential mortgage loan investments with a carrying value of $187.7 million and a fair value of $190.7 million. At December 31, 2022, there were three residential mortgage loans that were noncurrent with a carrying value of $0.6 million (of which, two loans with a carrying value of $0.5 million were in foreclosure).

The following table provides the amortized cost by year of origination and estimated fair value of our outstanding commercial mortgage loans and the underlying collateral as of December 31, 2022 (dollars in millions):


															Estimated fair value
Loan-to-value ratio (a)	2022		2021		2020		2019		2018		Prior		Total amortized cost		Mortgage loans		Collateral
Less than 60%	$	234.1	$	114.7	$	43.5	$	75.4	$	66.5	$	476.3	$	1,010.5	$	889.8	$	4,027.6
60% to less than 70%	47.2		13.2		—		—		8.2		45.0		113.6		104.7		170.7
70% to less than 80%	33.0		22.6		—		—		—		—		55.6		47.2		72.3
80% to less than 90%	—		—		—		—		—		42.5		42.5		34.5		52.0
90% or greater	—		—		—		—		—		10.0		10.0		6.7		10.7
Total	$	314.3	$	150.5	$	43.5	$	75.4	$	74.7	$	573.8	$	1,232.2	$	1,082.9	$	4,333.3

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(a)Loan-to-value ratios are calculated as the ratio of: (i) the amortized cost of the commercial mortgage loans; to (ii) the estimated fair value of the underlying collateral.

The following table summarizes changes in the allowance for credit losses related to mortgage loans for the three years ended December 31, 2022 (dollars in millions):


	Mortgage loans
Allowance for credit losses at January 1, 2020	$	6.7
Current period provision for expected credit losses	5.1
Initial allowance recognized for purchased financial assets with credit deterioration	—
Write-offs charged against the allowance	—
Recoveries of amounts previously written off	—
Allowance for credit losses at December 31, 2020	11.8
Current period provision for expected credit losses	(6.2)
Initial allowance recognized for purchased financial assets with credit deterioration	—
Write-offs charged against the allowance	—
Recoveries of amounts previously written off	—
Allowance for credit losses at December 31, 2021	5.6
Current period provision for expected credit losses	2.4
Initial allowance recognized for purchased financial assets with credit deterioration	—
Write-offs charged against the allowance	—
Recoveries of amounts previously written off	—
Allowance for credit losses at December 31, 2022	$	8.0

Other Investment Disclosures

Life insurance companies are required to maintain certain investments on deposit with state regulatory authorities. Such assets had an aggregate fair value of $37.2 million and $38.8 million at December 31, 2022 and 2021, respectively.

The Company had no fixed maturity investments that were in excess of 10 percent of shareholders' equity at December 31, 2022 and 2021.