Investments (Tables)

3 Months Ended

Mar. 31, 2021

Investments, Debt and Equity Securities [Abstract]

Amortized Cost and Fair Values of Securities by Security Type

At March 31, 2021 and December 31, 2020, 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:

	March 31, 2021
	Amortized Cost		ACL(1)		Gross Unrealized Gain		Gross Unrealized Loss		Fair Value
	(in millions of dollars)
United States Government and Government Agencies and Authorities	$	464.6	$	—	$	112.1	$	0.1	$	576.6
States, Municipalities, and Political Subdivisions	3,735.9		—		506.7		38.7		4,203.9
Foreign Governments	899.0		—		224.3		2.7		1,120.6
Public Utilities	5,390.6		—		1,080.0		26.1		6,444.5
Mortgage/Asset-Backed Securities	851.6		—		73.6		0.1		925.1
All Other Corporate Bonds	25,220.2		7.3		3,698.3		110.0		28,801.2
Redeemable Preferred Stocks	4.0		—		0.1		—		4.1
Total Fixed Maturity Securities	$	36,565.9	$	7.3	$	5,695.1	$	177.7	$	42,076.0

	December 31, 2020
	Amortized Cost		ACL(1)		Gross Unrealized Gain		Gross Unrealized Loss		Fair Value
	(in millions of dollars)
United States Government and Government Agencies and Authorities	$	559.0	$	—	$	150.8	$	—	$	709.8
States, Municipalities, and Political Subdivisions	3,609.9		—		652.8		1.5		4,261.2
Foreign Governments	902.9		—		266.5		1.2		1,168.2
Public Utilities	5,486.4		—		1,481.9		6.0		6,962.3
Mortgage/Asset-Backed Securities	1,019.9		—		88.0		0.2		1,107.7
All Other Corporate Bonds	24,958.8		6.8		5,013.5		46.9		29,918.6
Redeemable Preferred Stocks	9.6		—		—		0.1		9.5
Total Fixed Maturity Securities	$	36,546.5	$	6.8	$	7,653.5	$	55.9	$	44,137.3

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.

	March 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	$	5.9	$	0.1	$	—	$	—
States, Municipalities, and Political Subdivisions	888.1		38.7		0.6		—
Foreign Governments	61.8		2.7		—		—
Public Utilities	321.4		22.8		38.6		3.3
Mortgage/Asset-Backed Securities	0.6		0.1		3.1		—
All Other Corporate Bonds	1,883.4		84.0		246.0		26.0
Total Fixed Maturity Securities	$	3,161.2	$	148.4	$	288.3	$	29.3

	December 31, 2020
	Less Than 12 Months				12 Months or Greater
	Fair Value		Gross Unrealized Loss		Fair Value		Gross Unrealized Loss
	(in millions of dollars)
States, Municipalities, and Political Subdivisions	$	133.4	$	1.5	$	0.1	$	—
Foreign Governments	20.3		1.2		—		—
Public Utilities	76.3		3.7		25.4		2.3
Mortgage/Asset-Backed Securities	3.0		0.1		3.1		0.1
All Other Corporate Bonds	520.4		22.4		113.5		24.5
Redeemable Preferred Stocks	9.5		0.1		—		—
Total Fixed Maturity Securities	$	762.9	$	29.0	$	142.1	$	26.9

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.

	March 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	$	777.5	$	16.7	$	731.2	$	1.6	$	61.4
Over 1 year through 5 years	6,304.4		581.8		6,672.8		16.2		197.2
Over 5 years through 10 years	10,695.5		1,531.9		11,529.8		23.1		674.5
Over 10 years	17,929.6		3,491.1		18,771.3		136.7		2,512.7
	35,707.0		5,621.5		37,705.1		177.6		3,445.8
Mortgage/Asset-Backed Securities	851.6		73.6		921.4		0.1		3.7
Total Fixed Maturity Securities	$	36,558.6	$	5,695.1	$	38,626.5	$	177.7	$	3,449.5

	December 31, 2020
	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	$	881.8	$	19.5	$	836.4	$	2.9	$	62.0
Over 1 year through 5 years	6,162.6		589.9		6,545.7		22.9		183.9
Over 5 years through 10 years	10,886.9		1,914.8		12,659.4		10.7		131.6
Over 10 years	17,588.5		5,041.3		22,089.2		19.2		521.4
	35,519.8		7,565.5		42,130.7		55.7		898.9
Mortgage/Asset-Backed Securities	1,019.9		88.0		1,101.6		0.2		6.1
Total Fixed Maturity Securities	$	36,539.7	$	7,653.5	$	43,232.3	$	55.9	$	905.0

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 March 31, 2021:

					Gross Unrealized Loss
	Fair Value		Gross Unrealized Gain		Amount		Percent of Total Gross Unrealized Loss
	(in millions of dollars)
Investment-Grade	$	38,846.3	$	5,451.1	$	149.9	84.4	%
Below-Investment-Grade	3,229.7		244.0		27.8		15.6
Total Fixed Maturity Securities	$	42,076.0	$	5,695.1	$	177.7	100.0	%

Debt Securities, Available-for-sale, Allowance for Credit Loss

The following table presents a rollforward of the allowance for credit losses on available-for-sale fixed maturity securities, all of which are classified as "all other corporate bonds" in the preceding tables, at March 31, 2021:

	Three Months Ended March 31
	2021		2020
	(in millions of dollars)
Balance, beginning of period	$	6.8	$	—
Credit losses on securities for which credit losses were not previously recorded	—		48.0
Change in allowance on securities with allowance recorded in previous period	0.5		—
Balance, end of period	$	7.3	$	48.0

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 March 31
	2021		2020
	(in millions of dollars)
Income Tax Credits	$	5.4	$	8.3
Amortization, Net of Tax	(3.7)		(5.5)
Income Tax Benefit	$	1.7	$	2.8

Mortgage Loans by Property Type and Geographic Region

The carrying amount of mortgage loans by property type and geographic region are presented below.

	March 31, 2021				December 31, 2020
	(in millions of dollars)
	Carrying Amount		Percent of Total		Carrying Amount		Percent of Total
Property Type
Apartment	$	648.2	27.0	%	$	638.0	26.2	%
Industrial	650.6		27.1		654.0		26.9
Office	490.8		20.4		517.8		21.3
Retail	566.1		23.6		575.6		23.7
Other	46.5		1.9		46.7		1.9
Total	$	2,402.2	100.0	%	$	2,432.1	100.0	%
Region
New England	$	35.1	1.5	%	$	40.0	1.6	%
Mid-Atlantic	200.6		8.4		202.5		8.2
East North Central	310.4		12.9		330.4		13.6
West North Central	194.3		8.1		196.1		8.1
South Atlantic	510.4		21.2		512.0		21.1
East South Central	109.1		4.5		110.0		4.5
West South Central	255.3		10.6		257.4		10.6
Mountain	276.3		11.5		268.8		11.1
Pacific	510.7		21.3		514.9		21.2
Total	$	2,402.2	100.0	%	$	2,432.1	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 credit quality indicators:

	March 31, 2021				December 31, 2020
	(in millions of dollars)
	Carrying Amount		Percent of Total		Carrying Amount		Percent of Total
Internal Rating
AA	$	3.4	0.1	%	$	3.5	0.1	%
A	533.7		22.2		510.0		21.0
BBB	1,810.0		75.3		1,863.0		76.6
BB	39.1		1.6		39.4		1.6
B	16.0		0.8		16.2		0.7
Total	$	2,402.2	100.0	%	$	2,432.1	100.0	%
Loan-to-Value Ratio
<= 65%	$	1,180.4	49.1	%	$	1,189.4	48.9	%
> 65% <= 75%	986.5		41.1		1,000.3		41.1
> 75% <= 85%	156.1		6.5		155.8		6.4
> 85%	79.2		3.3		86.6		3.6
Total	$	2,402.2	100.0	%	$	2,432.1	100.0	%

Mortgage Loans by Credit Quality Indicators

The following table presents the amortized cost of our mortgage loans by year of origination and credit quality indicators at March 31, 2021:

	Prior to 2017		2017		2018		2019		2020		2021		Total
	(in millions of dollars)
Internal Rating
AA	$	3.4	$	—	$	—	$	—	$	—	$	—	$	3.4
A	376.2		60.3		63.8		16.7		17.9		—		534.9
BBB	705.0		241.0		326.3		350.2		165.7		31.6		1,819.8
BB	29.2		10.4		—		—		—		—		39.6
B	16.0		—		—		—		—		—		16.0
Total Amortized Cost	1,129.8		311.7		390.1		366.9		183.6		31.6		2,413.7
Allowance for credit losses	(3.9)		(1.6)		(2.1)		(2.4)		(1.4)		(0.1)		(11.5)
Carrying Amount	$	1,125.9	$	310.1	$	388.0	$	364.5	$	182.2	$	31.5	$	2,402.2
Loan-to-Value Ratio
<=65%	$	821.9	$	131.2	$	90.6	$	82.3	$	37.2	$	20.2	$	1,183.4
>65<=75%	161.1		109.2		280.1		284.6		146.4		11.4		992.8
>75%<=85%	106.4		37.6		13.3		—		—		—		157.3
>85%	40.4		33.7		6.1		—		—		—		80.2
Total Amortized Cost	1,129.8		311.7		390.1		366.9		183.6		31.6		2,413.7
Allowance for credit losses	(3.9)		(1.6)		(2.1)		(2.4)		(1.4)		(0.1)		(11.5)
Carrying Amount	$	1,125.9	$	310.1	$	388.0	$	364.5	$	182.2	$	31.5	$	2,402.2

Financing Receivable, Allowance for Credit Loss

The following table presents a roll-forward of allowance for expected credit losses by loan-to-value ratio:

	Three Months Ended March 31, 2021
	Beginning of Year		Current Period Provisions		Write-Offs		Recoveries		End of Period
	(in millions of dollars)
Loan-to-Value Ratio
<=65%	$	3.4	$	(0.4)	$	—	$	—	$	3.0
>65<=75%	7.3		(1.0)		—		—		6.3
>75%<=85%	1.3		(0.1)		—		—		1.2
>85%	1.1		(0.1)		—		—		1.0
Total	$	13.1	$	(1.6)	$	—	$	—	$	11.5

	Three Months Ended March 31, 2020
	Beginning of Year		Current Period Provisions		Write-Offs		Recoveries		End of Period
	(in millions of dollars)
Loan-to-Value Ratio
<=65%	$	2.8	$	0.7	$	—	$	—	$	3.5
>65<=75%	4.6		1.9		—		—		6.5
>75%<=85%	0.5		(0.1)		—		—		0.4
>85%	0.4		0.3		—		—		0.7
Total	$	8.3	$	2.8	$	—	$	—	$	11.1

Remaining Contractual Maturity of Securities Lending Agreements

The remaining contractual maturities of our securities lending agreements disaggregated by class of collateral pledged are as

follows:

	March 31, 2021		December 31, 2020
	Overnight and Continuous
	(in millions of dollars)
Borrowings
United States Government and Government Agencies and Authorities	$	0.1	$	0.1
State, Municipalities, and Political Subdivisions	0.4		0.4
Public Utilities	0.5		0.3
All Other Corporate Bonds	42.5		16.8
Total Borrowings	$	43.5	$	17.6
Gross Amount of Recognized Liability for Securities Lending Transactions	43.5		17.6
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:

	March 31, 2021		December 31, 2020
	(in millions of dollars)
Carrying Value of FHLB Common Stock	$	26.9	$	28.2
Advances from FHLB	$	302.2	$	312.2
Carrying Value of Collateral Posted to FHLB
Fixed Maturity Securities	$	857.9	$	944.0
Commercial Mortgage Loans	982.1		1,072.5
Total Carrying Value of Collateral Posted to FHLB	$	1,840.0	$	2,016.5

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.

	March 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	$	17.6	$	—	$	17.6	$	(9.9)	$	(7.7)	$	—
Securities Lending	220.0		—		220.0		(176.5)		(43.5)		—
Total	$	237.6	$	—	$	237.6	$	(186.4)	$	(51.2)	$	—
Financial Liabilities:
Derivatives	$	54.9	$	—	$	54.9	$	(54.6)	$	—	$	0.3
Securities Lending	43.5		—		43.5		(43.5)		—		—
Total	$	98.4	$	—	$	98.4	$	(98.1)	$	—	$	0.3

	December 31, 2020
	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	$	19.8	$	—	$	19.8	$	(10.1)	$	(8.7)	$	1.0
Securities Lending	96.6		—		96.6		(79.0)		(17.6)		—
Total	$	116.4	$	—	$	116.4	$	(89.1)	$	(26.3)	$	1.0
Financial Liabilities:
Derivatives	$	59.7	$	—	$	59.7	$	(59.0)	$	—	$	0.7
Securities Lending	17.6		—		17.6		(17.6)		—		—
Total	$	77.3	$	—	$	77.3	$	(76.6)	$	—	$	0.7

Net Investment Income

Net Investment Income

Net investment income reported in our consolidated statements of income is presented below.

	Three Months Ended March 31
	2021		2020
	(in millions of dollars)
Fixed Maturity Securities	$	469.8	$	539.8
Derivatives	16.2		20.2
Mortgage Loans	26.3		29.0
Policy Loans	4.8		4.8
Other Long-term Investments
Perpetual Preferred Securities1	3.6		(17.1)
Private Equity Partnerships2	35.9		10.4
Other	2.1		3.2
Short-term Investments	0.6		6.4
Gross Investment Income	559.3		596.7
Less Investment Expenses	7.5		8.5
Less Investment Income on Participation Fund Account Assets	3.1		3.2
Net Investment Income	$	548.7	$	585.0

1 The net unrealized gain (loss) recognized in net investment income for the three months ended March 31, 2021 related to perpetual preferred securities still held at March 31, 2021 was $2.7 million. The net unrealized loss recognized in net investment income for the three months ended March 31, 2020 related to perpetual preferred securities still held at March 31, 2020 was $17.9 million.

2 The net unrealized gain recognized in net investment income for the three months ended March 31, 2021 related to private equity partnerships still held at March 31, 2021 was $27.0 million. The net unrealized gain recognized in net investment income for the three months ended March 31, 2020 related to private equity partnerships still held at March 31, 2020 was $5.4 million. See Note 3 for further discussion of private equity partnerships.

Realized Investment Gains and Losses Reported in Consolidated Statements of Income

Realized Investment Gain and Loss

Realized investment gains and losses are as follows:

	Three Months Ended March 31
	2021		2020
	(in millions of dollars)
Fixed Maturity Securities
Gross Gains on Sales1	$	71.3	$	1.4
Gross Losses on Sales	(1.1)		(0.7)
Credit Losses	(8.3)		(53.9)
Mortgage Loans and Other Invested Assets
Gross Gains on Sales	2.5		0.3
Gross Losses on Sales	—		(0.2)
Credit Losses	1.7		(2.6)
Embedded Derivative in Modified Coinsurance Arrangement	16.9		(86.9)
All Other Derivatives	1.7		(0.7)
Foreign Currency Transactions	(0.1)		(0.7)
Net Realized Investment Gain (Loss)	$	84.6	$	(144.0)

1Gross gains on sales of fixed maturity securities 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.