At September 30, 2019 and December 31, 2018, 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, 2019
	Amortized Cost		Gross Unrealized Gain		Gross Unrealized Loss		Fair Value
	(in millions of dollars)
United States Government and Government Agencies and Authorities	$	1,652.7	$	195.1	$	0.3	$	1,847.5
States, Municipalities, and Political Subdivisions	2,415.7		534.3		1.3		2,948.7
Foreign Governments	812.4		239.8		0.4		1,051.8
Public Utilities	6,424.8		1,396.6		5.7		7,815.7
Mortgage/Asset-Backed Securities	1,406.7		106.7		0.2		1,513.2
All Other Corporate Bonds	28,038.4		4,290.1		110.4		32,218.1
Redeemable Preferred Stocks	39.0		1.0		—		40.0
Total Fixed Maturity Securities	$	40,789.7	$	6,763.6	$	118.3	$	47,435.0



	December 31, 2018
	Amortized Cost		Gross Unrealized Gain		Gross Unrealized Loss		Fair Value
	(in millions of dollars)
United States Government and Government Agencies and Authorities	$	1,702.1	$	123.2	$	10.9	$	1,814.4
States, Municipalities, and Political Subdivisions	2,121.5		307.1		4.4		2,424.2
Foreign Governments	825.8		162.7		4.8		983.7
Public Utilities	6,626.2		850.0		63.4		7,412.8
Mortgage/Asset-Backed Securities	1,523.8		67.2		8.3		1,582.7
All Other Corporate Bonds	27,436.8		1,981.6		664.4		28,754.0
Redeemable Preferred Stocks	39.0		1.1		0.2		39.9
Total Fixed Maturity Securities	$	40,275.2	$	3,492.9	$	756.4	$	43,011.7



	September 30, 2019
	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	$	89.7	$	0.3	$	—	$	—
States, Municipalities, and Political Subdivisions	134.4		1.3		—		—
Foreign Governments	3.8		0.4		—		—
Public Utilities	120.8		2.9		12.9		2.8
Mortgage/Asset-Backed Securities	12.4		0.2		3.1		—
All Other Corporate Bonds	499.3		34.3		471.0		76.1
Total Fixed Maturity Securities	$	860.4	$	39.4	$	487.0	$	78.9



	December 31, 2018
	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	$	68.8	$	1.7	$	212.5	$	9.2
States, Municipalities, and Political Subdivisions	183.2		2.1		65.0		2.3
Foreign Governments	58.4		3.8		12.0		1.0
Public Utilities	740.1		31.3		325.7		32.1
Mortgage/Asset-Backed Securities	81.5		1.2		201.6		7.1
All Other Corporate Bonds	9,240.2		462.2		1,704.9		202.2
Redeemable Preferred Stocks	18.8		0.2		—		—
Total Fixed Maturity Securities	$	10,391.0	$	502.5	$	2,521.7	$	253.9



	September 30, 2019
	Total Amortized Cost		Unrealized Gain Position				Unrealized Loss Position
	Total Amortized Cost		Gross Gain		Fair Value		Gross Loss		Fair Value
	(in millions of dollars)
1 year or less	$	1,286.5	$	17.7	$	1,294.0	$	1.2	$	9.0
Over 1 year through 5 years	5,942.5		445.8		6,081.9		47.3		259.1
Over 5 years through 10 years	13,503.9		1,716.1		14,727.8		25.3		466.9
Over 10 years	18,650.1		4,477.3		22,486.2		44.3		596.9
	39,383.0		6,656.9		44,589.9		118.1		1,331.9
Mortgage/Asset-Backed Securities	1,406.7		106.7		1,497.7		0.2		15.5
Total Fixed Maturity Securities	$	40,789.7	$	6,763.6	$	46,087.6	$	118.3	$	1,347.4



	December 31, 2018
	Total Amortized Cost		Unrealized Gain Position				Unrealized Loss Position
	Total Amortized Cost		Gross Gain		Fair Value		Gross Loss		Fair Value
	(in millions of dollars)
1 year or less	$	1,073.3	$	14.5	$	1,020.1	$	8.4	$	59.3
Over 1 year through 5 years	6,267.5		300.6		5,186.9		80.2		1,301.0
Over 5 years through 10 years	12,573.4		795.0		6,812.7		303.9		6,251.8
Over 10 years	18,837.2		2,315.6		15,779.7		355.6		5,017.5
	38,751.4		3,425.7		28,799.4		748.1		12,629.6
Mortgage/Asset-Backed Securities	1,523.8		67.2		1,299.6		8.3		283.1
Total Fixed Maturity Securities	$	40,275.2	$	3,492.9	$	30,099.0	$	756.4	$	12,912.7



					Gross Unrealized Loss
	Fair Value		Gross Unrealized Gain		Amount		Percent of Total Gross Unrealized Loss
	(in millions of dollars)
Investment-Grade	$	44,372.4	$	6,609.3	$	17.7	15.0	%
Below-Investment-Grade	3,062.6		154.3		100.6		85.0
Total Fixed Maturity Securities	$	47,435.0	$	6,763.6	$	118.3	100.0	%

The unrealized losses on investment-grade fixed maturity securities principally relate to changes in interest rates or changes in market or sector credit spreads which occurred subsequent to the acquisition of the securities. Below-investment-grade fixed maturity securities are generally more likely to develop credit concerns than investment-grade securities. At September 30, 2019, the unrealized losses in our below-investment-grade fixed maturity securities were generally due to credit spreads in certain industries or sectors and, to a lesser extent, credit concerns related to specific securities. For each specific security in an unrealized loss position, we believe that there are positive factors which mitigate credit concerns and that the securities for which we have not recorded an other-than-temporary impairment will recover in value.

As of September 30, 2019, we held 79 individual investment-grade fixed maturity securities and 52 individual below-investment-grade fixed maturity securities that were in an unrealized loss position, of which 13 investment-grade fixed maturity securities and 33 below-investment-grade fixed maturity securities had been in an unrealized loss position continuously for over one year.

While determining other-than-temporary impairments is a judgmental area, we utilize a formal, well-defined, and disciplined process to monitor and evaluate our fixed income investment portfolio, supported by issuer specific research and documentation as of the end of each period. The process results in a thorough evaluation of problem investments and the recording of losses on a timely basis for investments determined to have an other-than-temporary impairment.

We held no fixed maturity securities as of September 30, 2019 or December 31, 2018 for which a portion of an other-than-temporary impairment was recognized in accumulated other comprehensive income.

We invest in variable interests issued by variable interest entities. These investments include tax credit partnerships, private equity partnerships, and special purpose entities. For those variable interests that are not consolidated in our financial statements, we are not the primary beneficiary because we have neither the power to direct the activities that are most significant to economic performance nor the responsibility to absorb a majority of the expected losses. The determination of whether we are the primary beneficiary is performed at the time of our initial investment and at the date of each subsequent reporting period.

As of September 30, 2019, the carrying amount of our variable interest entity investments that are not consolidated in our financial statements was $623.9 million, comprised of $66.5 million of tax credit partnerships and $557.4 million of private equity partnerships. At December 31, 2018, the carrying amount of our variable interest entity investments that are not consolidated in our financial statements was $575.3 million, comprised of $91.5 million of tax credit partnerships and $483.8 million of private equity partnerships. These variable interest entity investments are reported as other long-term investments in our consolidated balance sheets.

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 operations are as follows:



	Three Months Ended September 30						Nine Months Ended September 30
	2019			2018			2019			2018
	(in millions of dollars)
Income Tax Credits	$	9.5		$	10.4		$	28.3		$	31.1
Amortization, net of tax	(6.1		)	(7.1		)	(19.0		)	(21.1		)
Income Tax Benefit	$	3.4		$	3.3		$	9.3		$	10.0

Contractually, we are a limited partner in these tax credit partnerships, and our maximum exposure to loss is limited to the carrying value of our investment, which includes $2.0 million of unfunded unconditional commitments at September 30, 2019. See Note 3 for commitments to fund private equity partnerships.

We are the sole beneficiary of a special purpose entity which is consolidated in our financial statements. This entity is a securitized asset trust containing a highly rated bond for principal protection which we contributed into the trust at the time it was established. There are no restrictions on the asset held in this trust, and the trust is free to dispose of the asset at any time. The fair values of the bond were $159.9 million and $156.7 million as of September 30, 2019 and December 31, 2018, respectively. The bond is reported as a component of fixed maturity securities in our consolidated balance sheets.

Our mortgage loan portfolio is well diversified by both geographic region and property type to reduce risk of concentration. All of our mortgage loans are collateralized by commercial real estate. When issuing a new loan, our general policy is not to exceed a loan-to-value ratio, or the ratio of the loan balance to the estimated fair value of the underlying collateral, of 75 percent. We update the loan-to-value ratios at least every three years for each loan, and properties undergo a general inspection at least every two years. Our general policy for newly issued loans is to have a debt service coverage ratio greater than 1.25 times on a normalized 25 year amortization period. We update our debt service coverage ratios annually. Mortgage loans by property type and geographic region are presented below.



	September 30, 2019				December 31, 2018
	(in millions of dollars)
	Carrying		Percent of		Carrying		Percent of
	Amount		Total		Amount		Total
Property Type
Apartment	$	535.4	23.1	%	$	491.0	21.4	%
Industrial	608.1		26.2		635.6		27.7
Office	561.5		24.2		604.2		26.3
Retail	568.7		24.5		519.5		22.6
Other	48.0		2.0		44.7		2.0
Total	$	2,321.7	100.0	%	$	2,295.0	100.0	%



Region
New England	$	40.7	1.8	%	$	45.9	2.0	%
Mid-Atlantic	170.0		7.3		160.6		7.0
East North Central	290.1		12.5		354.4		15.4
West North Central	217.3		9.3		190.3		8.3
South Atlantic	527.2		22.7		485.2		21.1
East South Central	115.2		5.0		105.5		4.6
West South Central	222.3		9.6		240.6		10.5
Mountain	262.9		11.3		242.7		10.6
Pacific	476.0		20.5		469.8		20.5
Total	$	2,321.7	100.0	%	$	2,295.0	100.0	%

We evaluate each of our mortgage loans individually for impairment and assign an internal credit quality rating based on a comprehensive rating system used to evaluate the credit risk of the loan. The factors we use to derive our internal credit ratings may include the following:

Although all available and applicable factors are considered in our analysis, loan-to-value and debt service coverage ratios are the most critical factors in determining whether we will initially issue the loan and also in assigning values and determining impairment. We assign an overall rating to each loan using an internal rating scale of AA (highest quality) to B (lowest quality). We review and adjust, as needed, our internal credit quality ratings on an annual basis. This review process is performed more frequently for mortgage loans deemed to have a higher risk of delinquency.

There were no troubled debt restructurings during the three and nine months ended September 30, 2019. We had one mortgage loan which was modified in a troubled debt restructuring during the second quarter of 2018. The loan had a principal balance of $3.6 million prior to the restructuring, wherein the terms of the loan were modified to reduce monthly payments to interest-only at the current note rate and to permit a discounted payoff by September 2018. At time of restructuring, we recorded an allowance for credit losses on mortgage loans and recognized an impairment loss of $0.2 million in the second quarter of 2018. The payoff of the loan did not occur in September 2018 and the loan was considered impaired as of December 31, 2018. The loan was settled during the first quarter of 2019 resulting in an additional loss of $0.1 million. At September 30, 2019, we held no mortgage loans that were greater than 90 days past due regarding principal and/or interest payments.

Our average investment in impaired mortgage loans was zero and $0.8 million for the three and nine months ended September 30, 2019, respectively. Our average investment in impaired mortgage loans was $1.1 million for the three and nine months ended September 30, 2018. We did not recognize any interest income on mortgage loans subsequent to impairment during the three and nine months ended September 30, 2019 or 2018.

There have been no changes to our accounting policies or methodology from the prior period regarding estimating the allowance for credit losses on our mortgage loans. The activity in the allowance for credit losses is as follows:



	Three Months Ended September 30				Nine Months Ended September 30
	2019		2018		2019			2018
	(in millions of dollars)
Balance at Beginning of Period	$	—	$	—	$	0.2		$	—
Provision	—		0.2		0.1			0.2
Charge-offs, Net of Recoveries	—		—		(0.3		)	—
Balance at End of Period	$	—	$	0.2	$	—		$	0.2

To manage our cash position more efficiently, we may enter into repurchase agreements with unaffiliated financial institutions. We generally use repurchase agreements as a means to finance the purchase of invested assets or for short-term general business purposes until projected cash flows become available from our operations or existing investments. Our repurchase agreements are typically outstanding for less than 30 days. We post collateral through our repurchase agreement transactions whereby the counterparty commits to purchase securities with the agreement to resell them to us at a later, specified date. The fair value of collateral posted is generally 102 percent of the cash received.

Our investment policy also permits us to lend fixed maturity securities to unaffiliated financial institutions in short-term securities lending agreements. These agreements increase our investment income with minimal risk. Our securities lending policy requires that a minimum of 102 percent of the fair value of the securities loaned be maintained as collateral. We may receive cash and/or securities as collateral under these agreements. Cash received as collateral is typically reinvested in short-term investments. If securities are received as collateral, we are not permitted to sell or re-post them.

As of September 30, 2019, the carrying amount of fixed maturity securities loaned to third parties under our securities lending program was $153.6 million, for which we received collateral in the form of cash and securities of $1.8 million and $158.1 million, respectively. As of December 31, 2018, the carrying amount of fixed maturity securities loaned to third parties under our securities lending program was $164.1 million, for which we received collateral in the form of cash and securities of $0.1 million and $171.4 million, respectively. We had no outstanding repurchase agreements at September 30, 2019 or December 31, 2018.



	September 30, 2019		December 31, 2018
	Overnight and Continuous
	(in millions of dollars)
Public Utilities	$	0.1	$	—
All Other Corporate Bonds	1.7		0.1
Total Borrowings	1.8		0.1
Gross Amount of Recognized Liability for Securities Lending Transactions	1.8		0.1
Amounts Related to Agreements Not Included in Offsetting Disclosure Contained Herein	$	—	$	—

Certain of our U.S. insurance subsidiaries are members of regional FHLBs. Membership, which requires that we purchase a minimum amount of FHLB common stock on which we receive dividends, provides access to low-cost funding. Advances received from the FHLB are used for the purchase of fixed maturity securities. Additional common stock purchases may be required, based on the amount of funds we borrow from the FHLBs. The carrying value of common stock owned, collateral posted, and advances received are as follows:



	September 30, 2019		December 31, 2018
	(in millions of dollars)
Carrying Value of FHLB Common Stock	$	18.5	$	24.1
Advances from FHLB	$	—	$	104.0

Carrying Value of Collateral Posted to FHLB
Fixed Maturity Securities	$	185.5	$	219.8
Commercial Mortgage Loans	175.2		179.9
Total Carrying Value of Collateral Posted to FHLB	$	360.7	$	399.7

We enter into master netting agreements with each of our derivatives counterparties. These agreements provide for conditional rights of set-off upon the occurrence of an early termination event. An early termination event is considered a default, and it allows the non-defaulting party to offset its contracts in a loss position against any gain positions or payments due to the defaulting party. Under our agreements, default type events are defined as failure to pay or deliver as contractually agreed, misrepresentation, bankruptcy, or merger without assumption. See Note 5 for further discussion of collateral related to our derivative contracts.

We have securities lending agreements with unaffiliated financial institutions that post collateral to us in return for the use of our fixed maturity securities. A right of set-off exists that allows us to keep and apply collateral received in the event of default by the counterparty. Default within a securities lending agreement would typically occur if the counterparty failed to return the securities borrowed from us as contractually agreed. In addition, if we default by not returning collateral received, the counterparty has a right of set-off against our securities or any other amounts due to us.

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, 2019
	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	$	34.9	$	—	$	34.9	$	(6.1	)	$	(28.8	)	$	—
Securities Lending	153.6		—		153.6		(151.8		)	(1.8		)	—
Total	$	188.5	$	—	$	188.5	$	(157.9	)	$	(30.6	)	$	—

Financial Liabilities:
Derivatives	$	33.9	$	—	$	33.9	$	(32.4	)	$	—		$	1.5
Securities Lending	1.8		—		1.8		(1.8		)	—			—
Total	$	35.7	$	—	$	35.7	$	(34.2	)	$	—		$	1.5



	December 31, 2018
	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	$	30.9	$	—	$	30.9	$	(6.9	)	$	(24.0	)	$	—
Securities Lending	164.1		—		164.1		(164.0		)	(0.1		)	—
Total	$	195.0	$	—	$	195.0	$	(170.9	)	$	(24.1	)	$	—

Financial Liabilities:
Derivatives	$	38.0	$	—	$	38.0	$	(33.2	)	$	—		$	4.8
Securities Lending	0.1		—		0.1		(0.1		)	—			—
Total	$	38.1	$	—	$	38.1	$	(33.3	)	$	—		$	4.8



	Three Months Ended September 30				Nine Months Ended September 30
	2019		2018		2019		2018
	(in millions of dollars)
Fixed Maturity Securities	$	546.7	$	560.4	$	1,656.3	$	1,682.7
Derivatives	19.1		16.5		55.0		48.1
Mortgage Loans	25.4		27.9		77.0		84.3
Policy Loans	5.0		4.7		14.5		13.7
Other Long-term Investments
Equity Securities¹	0.1		1.7		4.8		2.0
Private Equity Partnerships²	4.7		10.5		19.5		28.8
Other	0.2		1.4		2.8		5.0
Short-term Investments	8.7		7.9		22.4		17.5
Gross Investment Income	609.9		631.0		1,852.3		1,882.1
Less Investment Expenses	7.3		8.4		23.6		26.8
Less Investment Income on Participation Fund Account Assets	3.2		3.4		9.7		10.2
Net Investment Income	$	599.4	$	619.2	$	1,819.0	$	1,845.1

¹ The net unrealized gain recognized in net investment income for the three and nine months ended September 30, 2019 related to equity securities still held at September 30, 2019 was $0.3 million and $3.3 million, respectively. The net unrealized gain recognized in net investment income for the three and nine months ended September 30, 2018 related to equity securities still held at September 30, 2018 was $0.3 million and $0.6 million, respectively.

² The net unrealized gain (loss) recognized in net investment income for the three and nine months ended September 30, 2019 related to private equity partnerships still held at September 30, 2019 was $(1.1) million and $2.6 million, respectively. The net unrealized gain recognized in net investment income for the three and nine months ended September 30, 2018 related to private equity partnerships still held at September 30, 2018 was $2.7 million and $8.2 million, respectively.



	Three Months Ended September 30						Nine Months Ended September 30
	2019			2018			2019			2018
	(in millions of dollars)
Fixed Maturity Securities
Gross Gains on Sales	$	11.3		$	4.8		$	22.5		$	9.4
Gross Losses on Sales	(5.7		)	(3.8		)	(30.5		)	(8.3		)
Other-Than-Temporary Impairment Loss	(20.8		)	—			(20.8		)	(1.0		)
Mortgage Loans and Other Invested Assets
Gross Gains on Sales	0.6			0.1			4.5			0.2
Gross Losses on Sales	—			—			(0.1		)	—
Impairment Loss	—			(0.6		)	—			(0.8		)
Embedded Derivative in Modified Coinsurance Arrangement	(11.1		)	6.1			(6.4		)	2.1
All Other Derivatives	(0.1		)	0.2			(0.7		)	0.9
Foreign Currency Transactions	(0.4		)	(0.1		)	(0.9		)	(0.6		)
Net Realized Investment Gain (Loss)	$	(26.2	)	$	6.7		$	(32.4	)	$	1.9