
	December 31, 2023
	Amortized Cost, Gross of ACL1		ACL1		Gross Unrealized Gain		Gross Unrealized Loss		Fair Value
	(in millions of dollars)
United States Government and Government Agencies and Authorities	$	618.6	$	—	$	25.3	$	19.1	$	624.8
States, Municipalities, and Political Subdivisions	4,041.3		—		135.3		498.2		3,678.4
Foreign Governments	982.1		—		29.8		121.2		890.7
Public Utilities	5,398.2		—		217.1		293.7		5,321.6
Mortgage/Asset-Backed Securities	658.0		—		10.1		24.0		644.1
All Other Corporate Bonds	26,708.4		2.2		771.8		1,807.3		25,670.7
Redeemable Preferred Stocks	4.0		—		—		0.4		3.6
Total Fixed Maturity Securities	$	38,410.6	$	2.2	$	1,189.4	$	2,763.9	$	36,833.9


	December 31, 2022
	Amortized Cost, Gross of ACL1		ACL1		Gross Unrealized Gain		Gross Unrealized Loss		Fair Value
	(in millions of dollars)
United States Government and Government Agencies and Authorities	$	503.8	$	—	$	20.3	$	25.9	$	498.2
States, Municipalities, and Political Subdivisions	4,006.0		—		87.1		635.9		3,457.2
Foreign Governments	908.1		—		34.9		115.9		827.1
Public Utilities	5,170.9		—		141.0		355.0		4,956.9
Mortgage/Asset-Backed Securities	592.1		—		8.2		27.0		573.3
All Other Corporate Bonds	26,640.3		—		452.1		2,567.8		24,524.6
Redeemable Preferred Stocks	4.0		—		—		0.5		3.5
Total Fixed Maturity Securities	$	37,825.2	$	—	$	743.6	$	3,728.0	$	34,840.8


	December 31, 2023
	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	$	118.8	$	0.7	$	197.3	$	18.4
States, Municipalities, and Political Subdivisions	128.0		4.0		2,035.1		494.2
Foreign Governments	149.9		3.3		312.9		117.9
Public Utilities	373.7		10.4		1,720.6		283.3
Mortgage/Asset-Backed Securities	60.3		2.5		316.7		21.5
All Other Corporate Bonds	1,483.8		26.8		14,215.2		1,780.5
Redeemable Preferred Stocks	—		—		3.6		0.4
Total Fixed Maturity Securities	$	2,314.5	$	47.7	$	18,801.4	$	2,716.2


	December 31, 2022
	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	$	246.6	$	22.6	$	12.2	$	3.3
States, Municipalities, and Political Subdivisions	1,920.1		476.1		346.6		159.8
Foreign Governments	160.1		47.9		176.9		68.0
Public Utilities	2,242.2		252.0		255.2		103.0
Mortgage/Asset-Backed Securities	386.6		27.0		0.1		—
All Other Corporate Bonds	15,865.6		1,799.7		2,194.1		768.1
Redeemable Preferred Stocks	3.5		0.5		—		—
Total Fixed Maturity Securities	$	20,824.7	$	2,625.8	$	2,985.1	$	1,102.2


	December 31, 2023
	Amortized Cost, Net of ACL1		Unrealized Gain Position				Unrealized Loss Position
			Gross Gain		Fair Value		Gross Loss		Fair Value
	(in millions of dollars)
1 year or less	$	935.0	$	0.9	$	140.8	$	7.5	$	787.6
Over 1 year through 5 years	7,594.4		128.2		2,685.7		179.0		4,857.9
Over 5 years through 10 years	9,430.3		372.1		4,100.0		610.8		5,091.6
Over 10 years	19,790.7		678.1		8,524.4		1,942.6		10,001.8
	37,750.4		1,179.3		15,450.9		2,739.9		20,738.9
Mortgage/Asset-Backed Securities	658.0		10.1		267.1		24.0		377.0
Total Fixed Maturity Securities	$	38,408.4	$	1,189.4	$	15,718.0	$	2,763.9	$	21,115.9


	December 31, 2022
	Amortized Cost, Net of ACL1		Unrealized Gain Position				Unrealized Loss Position
			Gross Gain		Fair Value		Gross Loss		Fair Value
	(in millions of dollars)
1 year or less	$	1,133.5	$	2.9	$	339.1	$	5.7	$	791.6
Over 1 year through 5 years	7,090.8		86.7		1,953.2		238.4		4,985.9
Over 5 years through 10 years	10,096.7		294.8		3,538.9		863.8		5,988.8
Over 10 years	18,912.1		351.0		5,013.2		2,593.1		11,656.8
	37,233.1		735.4		10,844.4		3,701.0		23,423.1
Mortgage/Asset-Backed Securities	592.1		8.2		186.6		27.0		386.7
Total Fixed Maturity Securities	$	37,825.2	$	743.6	$	11,031.0	$	3,728.0	$	23,809.8


					Gross Unrealized Loss
	Fair Value		Gross Unrealized Gain		Amount		Percent of Total Gross Unrealized Loss
	(in millions of dollars)
Investment-Grade	$	35,344.9	$	1,169.1	$	2,660.3	96.3	%
Below-Investment-Grade	1,489.0		20.3		103.6		3.7
Total Fixed Maturity Securities	$	36,833.9	$	1,189.4	$	2,763.9	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 December 31, 2023, 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 a credit loss will recover in value. We have the ability and intent to continue to hold these securities to recovery of amortized cost less allowance for credit losses.

As of December 31, 2023, we held 832 individual investment-grade fixed maturity securities and 75 individual below-investment-grade fixed maturity securities that were in an unrealized loss position, of which 787 investment-grade fixed maturity securities and 70 below-investment-grade fixed maturity securities had been in an unrealized loss position continuously for over one year.

While determining whether a credit loss exists 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 investments and the recording of credit losses on a timely basis for investments determined to have a credit loss. We calculate the allowance for credit losses of fixed maturity securities based on the present value of our best estimate of cash flows expected to be collected, discounted using the effective interest rate implicit in the security at the date of acquisition. When estimating future cash flows, we analyze the strength of the issuer’s balance sheet, its debt obligations and near-term funding arrangements, cash flow and liquidity, the profitability of its core businesses, the availability of marketable assets which could be sold to increase liquidity, its industry fundamentals and regulatory environment, and its access to capital markets.

The following tables present a rollforward of the allowance for credit losses on available-for-sale fixed maturity securities, which were classified as "all other corporate bonds" during the year ended December 31, 2023 and "public utilities" during the year ended December 31, 2022, respectively.


	Year Ended December 31
	2023		2022
	(in millions of dollars)
Balance, beginning of period	$	—	$	—

Credit losses on securities for which credit losses were not previously recorded	2.2		4.6



Change in allowance on securities disposed during the period	—		(4.6)


Balance, end of period	$	2.2	$	—

In the fourth quarter of 2022, the issuer of a fixed maturity security previously classified as "public utilities" entered into a troubled debt restructuring agreement. In order to maximize recovery of the investment, the debt was restructured by way of principal reduction, interest forgiveness, and a debt to equity conversion. Principal owed was reduced by $4.8 million, semi-annual interest payments for the period beginning June 30, 2022 and ending June 30, 2024 were forgiven, and a portion of the remaining debt was converted to equity. As of December 31, 2022, we received $4.9 million of an equity stake in the restructured entity, and recorded receivables for $5.2 million and $2.8 million in cash. The full $8.0 million of the recorded

receivables was subsequently received in 2023. The amortized cost of the fixed maturity security prior to the restructuring was $17.7 million, and the restructuring resulted in a total loss of $4.8 million, which was recognized during 2022.

We invest in variable interests issued by variable interest entities. These investments, which are passive in nature, include minority ownership interests in private equity partnerships, tax credit partnerships, and special purpose entities. Our maximum exposure to loss is limited to the carrying value of these investments in private equity partnerships, tax credit 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 December 31, 2023, the carrying amount of our variable interest entity investments that are not consolidated in our financial statements was $1,326.5 million, comprised of $0.3 million of tax credit partnerships and $1,326.2 million of private equity partnerships. At December 31, 2022, the carrying amount of our variable interest entity investments that are not consolidated in our financial statements was $1,195.3 million, comprised of $1.0 million of tax credit partnerships and $1,194.3 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 income are as follows:

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 $0.2 million of unfunded unconditional commitments at December 31, 2023. See Note 2 for commitments to fund private equity partnerships.

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 based on internal valuation of the collateral 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.

We carry our mortgage loans at amortized cost less an allowance for expected credit losses. The amortized cost of our mortgage loans was $2,328.4 million and $2,444.7 million at December 31, 2023 and 2022, respectively. The allowance for expected credit losses was $10.2 million and $9.3 million at December 31, 2023 and 2022, respectively. Interest income is accrued on the principal amount of the loan based on the loan's contractual interest rate. We report accrued interest income for our mortgage loans as accrued investment income on our consolidated balance sheets, and the amount of the accrued income was $7.2 million and $7.7 million at December 31, 2023 and 2022, respectively.



	December 31
	2023				2022
	(in millions of dollars)
	Carrying		Percent of		Carrying		Percent of
	Amount		Total		Amount		Total
Property Type
Apartment	$	685.8	29.6	%	$	688.6	28.3	%
Industrial	706.0		30.5		745.3		30.6
Office	379.9		16.4		423.0		17.4
Retail	503.9		21.7		534.5		21.9
Other	42.6		1.8		44.0		1.8
Total	$	2,318.2	100.0	%	$	2,435.4	100.0	%


Region
New England	$	55.1	2.4	%	$	52.4	2.2	%
Mid-Atlantic	155.1		6.7		192.4		7.9
East North Central	314.4		13.6		313.0		12.9
West North Central	163.5		7.0		181.4		7.4
South Atlantic	553.0		23.8		539.3		22.1
East South Central	110.7		4.8		101.8		4.2
West South Central	200.9		8.7		212.6		8.7
Mountain	282.7		12.2		298.7		12.3
Pacific	482.8		20.8		543.8		22.3
Total	$	2,318.2	100.0	%	$	2,435.4	100.0	%

The risk in our mortgage loan portfolio is primarily related to vacancy rates. Events or developments, such as economic conditions that impact the ability of the borrowers to ensure occupancy of the property, may have a negative effect on our mortgage loan portfolio, particularly to the extent that our portfolio is concentrated in an affected region or property type. An increase in vacancies increases the probability of default, which would negatively affect our expected losses in our mortgage loan portfolio.

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


	December 31
	2023				2022
	(in millions of dollars)
	Carrying Amount		Percent of Total		Carrying Amount		Percent of Total
Internal Mortgage Rating
AA	$	85.2	3.7	%	$	92.3	3.8	%
A	942.5		40.6		843.9		34.6
BBB	1,249.5		53.9		1,458.0		59.9
BB	41.0		1.8		41.2		1.7

Total	$	2,318.2	100.0	%	$	2,435.4	100.0	%

There were no gross write-offs for the periods ending December 31, 2023 or 2022. The following tables present the amortized cost of our mortgage loans by year of origination and internal quality indicators for the years ended December 31, 2023 and 2022:


	Year Ended December 31, 2023
	Prior to 2019		2019		2020		2021		2022		2023		Total
	(in millions of dollars)
Internal Mortgage Rating
AA	$	74.3	$	11.0	$	—	$	—	$	—	$	—	$	85.3
A	589.0		100.3		94.1		100.1		23.2		38.0		944.7
BBB	618.4		224.8		71.4		248.0		64.4		29.2		1,256.2
BB	42.2		—		—		—		—		—		42.2

Total Amortized Cost	1,323.9		336.1		165.5		348.1		87.6		67.2		2,328.4
Allowance for credit losses	(6.3)		(1.3)		(0.6)		(1.0)		(0.6)		(0.4)		(10.2)
Carrying Amount	$	1,317.6	$	334.8	$	164.9	$	347.1	$	87.0	$	66.8	$	2,318.2

Loan-to-Value Ratio1
<=65%	$	908.3	$	197.7	$	116.4	$	145.2	$	16.2	$	30.0	$	1,413.8
>65<=75%	252.1		138.4		40.8		171.0		71.4		37.2		710.9
>75%<=85%	97.3		—		8.3		31.9		—		—		137.5
>85%	66.2		—		—		—		—		—		66.2
Total Amortized Cost	1,323.9		336.1		165.5		348.1		87.6		67.2		2,328.4
Allowance for credit losses	(6.3)		(1.3)		(0.6)		(1.0)		(0.6)		(0.4)		(10.2)
Carrying Amount	$	1,317.6	$	334.8	$	164.9	$	347.1	$	87.0	$	66.8	$	2,318.2


	Year Ended December 31, 2022
	Prior to 2018		2018		2019		2020		2021		2022		Total
	(in millions of dollars)
Internal Mortgage Rating
AA	$	53.8	$	27.5	$	11.1	$	—	$	—	$	—	$	92.4
A	485.0		123.3		96.8		35.9		80.6		24.0		845.6
BBB	534.0		219.8		236.9		134.0		275.8		64.6		1,465.1
BB	35.7		5.9		—		—		—		—		41.6

Total Amortized Cost	1,108.5		376.5		344.8		169.9		356.4		88.6		2,444.7
Allowance for credit losses	(4.3)		(1.8)		(1.3)		(0.6)		(0.8)		(0.5)		(9.3)
Carrying Amount	$	1,104.2	$	374.7	$	343.5	$	169.3	$	355.6	$	88.1	$	2,435.4

Loan-to-Value Ratio1
<=65%	$	782.6	$	189.0	$	193.9	$	81.3	$	128.9	$	16.9	$	1,392.6
>65<=75%	230.2		181.6		150.9		80.1		227.5		71.7		942.0
>75%<=85%	67.5		—		—		8.5		—		—		76.0
>85%	28.2		5.9		—		—		—		—		34.1
Total Amortized Cost	1,108.5		376.5		344.8		169.9		356.4		88.6		2,444.7
Allowance for credit losses	(4.3)		(1.8)		(1.3)		(0.6)		(0.8)		(0.5)		(9.3)
Carrying Amount	$	1,104.2	$	374.7	$	343.5	$	169.3	$	355.6	$	88.1	$	2,435.4


	Year Ended December 31, 2023
	Beginning of Period		Current Period Provisions		Write-Offs		Recoveries		End of Period
	(in millions of dollars)
Loan-to-Value Ratio1
<=65%	$	3.0	$	0.8	$	—	$	—	$	3.8
>65<=75%	4.7		(0.9)		—		—		3.8
>75%<=85%	1.1		0.1		—		—		1.2
>85%	0.5		0.9		—		—		1.4
Total	$	9.3	$	0.9	$	—	$	—	$	10.2


	Year Ended December 31, 2022
	Beginning of Period		Current Period Provisions		Write-Offs		Recoveries		End of Period
	(in millions of dollars)
Loan-to-Value Ratio1
<=65%	$	2.6	$	0.4	$	—	$	—	$	3.0
>65<=75%	4.7		—		—		—		4.7
>75%<=85%	0.7		0.4		—		—		1.1
>85%	0.3		0.2		—		—		0.5
Total	$	8.3	$	1.0	$	—	$	—	$	9.3

During the year ended December 31, 2023 we granted an other-than-insignificant payment delay for a commercial mortgage loan with an amortized cost of $14.2 million, which deferred the principal payment for 18 months. This modification represents less than one percent of the commercial mortgage loan portfolio balance. There were no troubled debt restructurings during 2022 or 2021.

Other than our allowance for expected credit losses, we had no specifically identified impaired mortgage loans for the years ended December 31, 2023, 2022, and 2021, nor did we recognize any interest income on mortgage loans subsequent to impairment.

For the year ended December 31, 2023 we had no commitments to fund certain commercial mortgage loans. For the year ended December 31, 2022 we had $5.0 million in commitments to fund certain commercial mortgage loans. Consistent with how we determine the estimate of current expected credit losses for our funded mortgage loans each period, we estimate expected credit losses for loans that have not been funded but we are committed to fund at the end of each period. For the year ended December 31, 2023, we had no expected credit losses related to unfunded commitments on our consolidated balance sheets. For the year ended December 31, 2022, we had a nominal amount of expected credit losses related to unfunded commitments on our consolidated balance sheets.

Our investment real estate balance was $64.4 million and $71.6 million at December 31, 2023 and 2022, respectively, and the associated accumulated depreciation was $127.2 million and $122.1 million at December 31, 2023 and 2022, respectively. For the year ended December 31, 2023, we recognized a $3.0 million impairment related to certain of our real estate held for investment. We did not recognize any impairments related to our real estate held for investment during 2022 or 2021.

During the first quarter of 2022, we reclassified one property previously held for the production of income to property held for sale. The carrying value of the property was $40.1 million at both December 31, 2023 and December 31, 2022, and is primarily recorded within our Corporate segment. The estimated fair value less costs to sell is above the carrying value of the property and we expect to close the sale of the property within the next twelve months.

During the third quarter of 2022, we reclassified one property previously held for the production of income to property held for sale. The property had a carrying value of $0.8 million as of December 31, 2023 and December 31, 2022, respectively, and is recorded within our Corporate segment. The estimated fair value less costs to sell is above the carrying value of the property and we expect to close the sale of the property within the next twelve months.

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 December 31, 2023, the carrying amount of fixed maturity securities loaned to third parties under our securities lending program was $72.0 million, for which we received collateral in the form of cash and securities of $63.1 million and $12.5 million, respectively. As of December 31, 2022, the carrying amount of fixed maturity securities loaned to third parties under our securities lending program was $152.4 million, for which we received collateral in the form of cash and securities of $88.5 million and $69.8 million, respectively. We had no outstanding repurchase agreements at December 31, 2023 or December 31, 2022.

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


					December 31
					2023		2022
					Overnight and Continuous
					(in millions of dollars)


Borrowings
United States Government and Government Agencies and Authorities					$	—	$	0.3

Public Utilities					1.8		6.3
All Other Corporate Bonds					61.3		81.9
Total Borrowings					$	63.1	$	88.5
Gross Amount of Recognized Liability for Securities Lending Transactions	63.1		88.5
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:


	December 31
	2023		2022
	(in millions of dollars)
Carrying Value of FHLB Common Stock	$	15.7	$	17.1
Advances from FHLB	64.5		99.1

Carrying Value of Collateral Posted to FHLB
Fixed Maturity Securities	$	589.0	$	527.1
Commercial Mortgage Loans	986.8		801.9
Total Carrying Value of Collateral Posted to FHLB	$	1,575.8	$	1,329.0

We enter into master netting agreements with each of our derivative's 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 4 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.


	December 31, 2023
	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	$	99.9	$	—	$	99.9	$	(91.9)	$	(6.4)	$	1.6
Securities Lending	72.0		—		72.0		(8.9)		(63.1)		—
Total	$	171.9	$	—	$	171.9	$	(100.8)	$	(69.5)	$	1.6

Financial Liabilities:
Derivatives	$	116.2	$	—	$	116.2	$	(109.4)	$	—	$	6.8
Securities Lending	63.1		—		63.1		(63.1)		—		—
Total	$	179.3	$	—	$	179.3	$	(172.5)	$	—	$	6.8


	December 31, 2022
	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	$	89.1	$	—	$	89.1	$	(38.0)	$	(49.4)	$	1.7
Securities Lending	152.4		—		152.4		(63.9)		(88.5)		—
Total	$	241.5	$	—	$	241.5	$	(101.9)	$	(137.9)	$	1.7

Financial Liabilities:
Derivatives	$	74.0	$	—	$	74.0	$	(73.2)	$	—	$	0.8
Securities Lending	88.5		—		88.5		(88.5)		—		—
Total	$	162.5	$	—	$	162.5	$	(161.7)	$	—	$	0.8

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


	Year Ended December 31
	2023		2022		2021
	(in millions of dollars)
Fixed Maturity Securities	$	1,853.7	$	1,849.8	$	1,888.2
Derivatives	45.1		57.8		68.6
Mortgage Loans	92.5		101.5		105.0
Policy Loans	20.8		20.0		19.7
Other Long-term Investments
Perpetual Preferred Securities1	2.5		5.0		6.9
Private Equity Partnerships2	78.1		110.1		165.4
Other	9.2		9.4		5.5
Short-term Investments	68.7		20.0		1.3
Gross Investment Income	2,170.6		2,173.6		2,260.6
Less Investment Expenses	61.8		39.4		35.1
Less Investment Income on Participation Fund Account Assets	12.1		12.0		12.3

Net Investment Income	$	2,096.7	$	2,122.2	$	2,213.2

1 The net unrealized gain (loss) recognized in net investment income for the year ended December 31, 2023 related to perpetual preferred securities still held at December 31, 2023 was nominal. The net unrealized gain (loss) recognized in net investment income for the years ended December 31, 2022 and 2021 related to perpetual preferred securities still held at year-end was $2.8 million and $4.4 million, respectively.

2 The net unrealized gain recognized in net investment income for the year ended December 31, 2023 related to private equity partnerships still held at December 31, 2023 was $102.9 million, reduced by net management fees and partnership expenses of $(24.8) million. For the years ended December 31, 2022 and 2021, the net unrealized gain recognized in net investment income related to private equity partnerships still held at year-end was $124.1 million and $177.7 million, respectively, reduced by net management fees and partnership expenses of $(14.0) million and $(12.3) million, respectively. See Note 2 for further discussion of private equity partnerships.

Investment gains and losses are as follows:


	Year Ended December 31
	2023		2022		2021
	(in millions of dollars)
Fixed Maturity Securities
Gross Gains on Sales1	$	4.4	$	2.3	$	76.2
Gross Losses on Sales	(53.1)		(28.8)		(11.5)
Credit Losses	(2.2)		(4.6)		(9.3)
Mortgage Loans and Other Invested Assets
Gross Gains on Sales	6.0		1.4		5.8
Gross Losses on Sales	(1.0)		—		—
Impairment Loss	(3.0)		—		—
Change in Allowance for Credit Losses	(0.9)		(1.0)		4.7
Embedded Derivative in Modified Coinsurance Arrangement	12.4		16.2		9.7
All Other Derivatives	(0.6)		2.6		3.1
Foreign Currency Transactions	2.0		(3.8)		(2.0)
Net Investment Gain (Loss)	$	(36.0)	$	(15.7)	$	76.7