XML 55 R38.htm IDEA: XBRL DOCUMENT v3.24.2.u1
Investments (Tables)
6 Months Ended 12 Months Ended
Jun. 30, 2024
Dec. 31, 2023
Investments    
Available-for-Sale Securities (Table)

Gross

Gross

Allowance

Amortized

unrealized

unrealized

for credit

    

cost (1)

    

gains

    

losses

    

loss

    

Fair value

  

(in millions)

June 30, 2024

Fixed maturities, available-for-sale:

U.S. government and agencies

$

1,975.1

$

6.4

$

274.6

$

$

1,706.9

Non-U.S. governments

 

550.7

 

13.8

 

74.8

 

 

489.7

States and political subdivisions

 

7,280.1

 

17.2

 

1,058.5

 

 

6,238.8

Corporate

 

35,732.7

 

286.1

 

3,723.8

 

0.3

 

32,294.7

Residential mortgage-backed pass-through securities

 

3,203.0

 

8.5

 

200.9

 

 

3,010.6

Commercial mortgage-backed securities

 

5,369.1

 

1.4

 

515.7

 

 

4,854.8

Collateralized debt obligations (2)

 

5,815.1

 

60.8

 

8.2

 

 

5,867.7

Other debt obligations

 

8,903.9

 

35.0

 

620.1

 

0.1

 

8,318.7

Total fixed maturities, available-for-sale

$

68,829.7

$

429.2

$

6,476.6

$

0.4

$

62,781.9

December 31, 2023

Fixed maturities, available-for-sale:

U.S. government and agencies

$

1,719.1

$

19.3

$

233.5

$

$

1,504.9

Non-U.S. governments

 

522.2

 

16.9

 

59.2

 

 

479.9

States and political subdivisions

 

7,493.9

 

45.4

 

926.0

 

 

6,613.3

Corporate

 

35,707.6

 

433.7

 

3,059.9

 

1.9

 

33,079.5

Residential mortgage-backed pass-through securities

 

2,959.8

 

25.7

 

160.6

 

 

2,824.9

Commercial mortgage-backed securities

 

5,391.6

 

1.6

 

649.8

 

 

4,743.4

Collateralized debt obligations (2)

 

5,379.6

 

45.0

 

26.8

 

 

5,397.8

Other debt obligations

 

8,447.2

 

42.2

 

602.8

 

0.1

 

7,886.5

Total fixed maturities, available-for-sale

$

67,621.0

$

629.8

$

5,718.6

$

2.0

$

62,530.2

(1)Amortized cost excludes accrued interest receivable of $636.4 million and $616.0 million as of June 30, 2024 and December 31, 2023, respectively.
(2)Primarily consists of collateralized loan obligations backed by secured corporate loans.

Gross

Gross

Allowance

Amortized

unrealized

unrealized

for credit

    

cost (1)

    

gains

    

losses

    

loss

    

Fair value

  

(in millions)

December 31, 2023

Fixed maturities, available-for-sale:

U.S. government and agencies

$

1,719.1

$

19.3

$

233.5

$

$

1,504.9

Non-U.S. governments

 

522.2

 

16.9

 

59.2

 

 

479.9

States and political subdivisions

 

7,493.9

 

45.4

 

926.0

 

 

6,613.3

Corporate

 

35,707.6

 

433.7

 

3,059.9

 

1.9

 

33,079.5

Residential mortgage-backed pass-through securities

 

2,959.8

 

25.7

 

160.6

 

 

2,824.9

Commercial mortgage-backed securities

 

5,391.6

 

1.6

 

649.8

 

 

4,743.4

Collateralized debt obligations (2)

 

5,379.6

 

45.0

 

26.8

 

 

5,397.8

Other debt obligations

 

8,447.2

 

42.2

 

602.8

 

0.1

 

7,886.5

Total fixed maturities, available-for-sale

$

67,621.0

$

629.8

$

5,718.6

$

2.0

$

62,530.2

December 31, 2022

Fixed maturities, available-for-sale:

U.S. government and agencies

$

1,964.6

$

0.1

$

248.8

$

$

1,715.9

Non-U.S. governments

 

565.3

 

18.9

 

63.8

 

 

520.4

States and political subdivisions

 

7,280.1

 

14.8

 

1,126.6

 

 

6,168.3

Corporate

 

37,495.4

 

219.5

 

4,530.1

 

 

33,184.8

Residential mortgage-backed pass-through securities

 

2,362.1

 

6.0

 

197.2

 

 

2,170.9

Commercial mortgage-backed securities

 

5,529.7

 

0.9

 

703.1

 

 

4,827.5

Collateralized debt obligations (2)

 

4,698.9

 

4.5

 

143.2

 

 

4,560.2

Other debt obligations

 

7,207.8

 

6.0

 

730.4

 

0.1

 

6,483.3

Total fixed maturities, available-for-sale

$

67,103.9

$

270.7

$

7,743.2

$

0.1

$

59,631.3

(1)Amortized cost excludes accrued interest receivable of $616.0 million and $575.8 million as of December 31, 2023 and 2022, respectively.
(2)Primarily consists of collateralized loan obligations backed by secured corporate loans.
Fixed Maturities Available-for-Sale by Contractual Maturity (Table)

    

Amortized cost

    

Fair value

  

(in millions)

Due in one year or less

$

1,363.2

$

1,348.2

Due after one year through five years

8,011.1

7,782.9

Due after five years through ten years

9,287.7

8,716.9

Due after ten years

26,876.6

22,882.1

Subtotal

45,538.6

40,730.1

Mortgage-backed and other asset-backed securities

23,291.1

22,051.8

Total

$

68,829.7

$

62,781.9

    

Amortized cost

    

Fair value

  

(in millions)

Due in one year or less

$

1,298.4

$

1,282.2

Due after one year through five years

8,486.2

8,285.1

Due after five years through ten years

9,209.3

8,675.0

Due after ten years

26,448.9

23,435.3

Subtotal

45,442.8

41,677.6

Mortgage-backed and other asset-backed securities

22,178.2

20,852.6

Total

$

67,621.0

$

62,530.2

Net Investment Income (Table)  

For the year ended December 31, 

    

2023

    

2022

    

2021

  

(in millions)

Fixed maturities, available-for-sale

$

2,230.0

$

1,734.4

$

2,483.8

Fixed maturities, trading

32.4

19.6

 

8.7

Equity securities

3.5

(35.4)

1.7

Mortgage loans

661.5

619.9

 

692.4

Real estate

177.2

276.2

 

194.4

Policy loans

39.1

34.4

 

36.2

Cash and cash equivalents

148.2

37.6

 

1.7

Derivatives

38.6

171.3

 

28.2

Other

231.6

194.8

 

362.0

Total

3,562.1

3,052.8

 

3,809.1

Investment expenses

(276.6)

(200.4)

 

(175.4)

Net investment income

$

3,285.5

$

2,852.4

$

3,633.7

Net Realized Capital Gains and Losses (Table)

For the six months ended

June 30, 

    

2024

    

2023

  

(in millions)

Fixed maturities, available-for-sale:

Gross gains

$

2.7

$

37.5

Gross losses

(34.7)

(70.1)

Net credit losses (1)

(3.8)

(24.4)

Hedging, net (2)

(5.7)

(0.6)

Fixed maturities, trading (3)

1.2

(0.7)

Equity securities (4)

3.1

(0.9)

Mortgage loans

(47.5)

(74.3)

Derivatives (2)

22.6

(56.5)

Other

(9.0)

1.2

Net realized capital losses

$

(71.1)

$

(188.8)

(1)Net credit losses include adjustments to the credit loss valuation allowance, write-offs and recoveries on available-for-sale securities.
(2)The change in fair value of fixed maturities, available-for-sale and the change in fair value of derivative hedging instruments in fair value hedging relationships are reported in net investment income with the earnings effect of fixed maturities, available-for-sale. Gains (losses) for fixed maturities, available-for-sale related to terminated cash flow hedges continue to be reflected in net realized capital gains (losses).
(3)Unrealized gains (losses) on fixed maturities, trading still held at the reporting date were $0.7 million and $(1.8) million for the six months ended June 30, 2024 and 2023, respectively. This excludes $0.8 million and $1.1 million in unrealized gains (losses) for the six months ended June 30, 2024 and 2023, respectively, that were reported in market risk benefit remeasurement (gain) loss. In addition, this excludes $(2.3) million and $(1.9) million for the six months ended June 30, 2024 and 2023, respectively, that were reported in net realized capital gains (losses) on funds withheld assets.
(4)Unrealized gains (losses) on equity securities still held at the reporting date were $3.1 million and $(0.9) million for the six months ended June 30, 2024 and 2023, respectively. This excludes $0.0 million and $1.7 million for the six months ended June 30, 2024 and 2023, respectively, that were reported in net realized capital gains (losses) on funds withheld assets.

For the year ended December 31, 

    

2023

    

2022

    

2021

  

(in millions)

Fixed maturities, available-for-sale:

Gross gains

$

46.8

$

38.9

$

50.4

Gross losses

(134.8)

(120.7)

 

(26.9)

Net credit losses (1)

(31.3)

(11.5)

 

(34.5)

Hedging, net

2.2

(0.7)

 

(9.5)

Fixed maturities, trading (2)

0.7

(8.6)

 

(6.6)

Equity securities (3)

0.7

(7.4)

(0.5)

Mortgage loans (4)

(133.8)

(74.1)

 

5.3

Derivatives

(5.3)

154.7

 

126.4

Other

100.1

112.7

 

8.0

Net realized capital gains (losses)

$

(154.7)

$

83.3

$

112.1

(1)Net credit losses include adjustments to the credit loss valuation allowance, write-offs and recoveries on available-for-sale securities.
(2)Unrealized losses on fixed maturities, trading still held at the reporting date were $(0.2) million, $(7.8) million and $(6.4) million for the years ended December 31, 2023, 2022 and 2021, respectively. This excludes $(2.9) million, $16.6 million and $0.0 million in unrealized gains (losses) for the years ended December 31, 2023, 2022 and 2021, respectively, that were reported in market risk benefit remeasurement (gain) loss and $6.8 million, $(1.4) million and $0.0 million of unrealized gains (losses) for the years ended December 31, 2023, 2022 and 2021, respectively, that were reported in net realized capital gains (losses) on funds withheld assets.
(3)Unrealized gains (losses) on equity securities still held at the reporting date were $0.7 million , $(7.1) million and $(0.1) million for the years ended December 31, 2023, 2022 and 2021, respectively. This excludes $1.7 million , $(1.7) million and $0.0 million unrealized gains (losses) for the years ended December 31, 2023, 2022 and 2021, respectively, that were reported in net realized capital gains (losses) on funds withheld assets.
(4)Net realized capital gains (losses) on mortgage loans include losses related to the deconsolidation of residential mortgage loan trusts in both 2023 and 2022.
Allowance for credit loss (Tables)

For the six months ended June 30, 2024

Residential

mortgage-

backed

Commercial

Collateralized

U.S.

States and

pass-

mortgage-

debt

Other

government

Non-U.S.

political

through

backed

obligations

debt

    

and agencies

    

governments

    

subdivisions

    

Corporate

    

securities

    

securities

    

(1)

    

obligations

    

Total

(in millions)

  

    

  

    

  

    

  

    

  

    

  

    

  

    

  

    

  

Beginning balance

$

$

$

$

1.9

$

$

$

$

0.1

$

2.0

Write-offs charged against allowance

(1.6)

(1.6)

Ending balance

$

$

$

$

0.3

$

$

$

$

0.1

$

0.4

For the six months ended June 30, 2023

Residential

mortgage-

backed

Commercial

Collateralized

U.S.

States and

pass-

mortgage-

debt

Other

government

Non-U.S.

political

through

backed

obligations

debt

    

and agencies

    

governments

    

subdivisions

    

Corporate

    

securities

    

securities

    

(1)

    

obligations

    

Total

(in millions)

Beginning balance

$

$

$

$

$

$

$

$

0.1

$

0.1

Additions for credit losses not previously recorded

3.8

3.8

Ending balance

$

$

$

$

3.8

$

$

$

$

0.1

$

3.9

(1)

Primarily consists of collateralized loan obligations backed by secured corporate loans.

For the year ended December 31, 2023

Residential

mortgage-

backed

Commercial

Collateralized

U.S.

States and

pass-

mortgage-

debt

Other

government

Non-U.S.

political

through

backed

obligations

debt

    

and agencies

    

governments

    

subdivisions

    

Corporate

    

securities

    

securities

    

(1)

    

obligations

    

Total

(in millions)

  

    

  

    

  

    

  

    

  

    

  

    

  

    

  

    

  

Beginning balance

$

$

$

$

$

$

$

$

0.1

$

0.1

Additions for credit losses not previously recorded

5.7

5.7

Write-offs charged against allowance

(3.8)

(3.8)

Ending balance

$

$

$

$

1.9

$

$

$

$

0.1

$

2.0

Accrued interest written off to net investment income

$

$

$

$

0.1

$

$

$

$

$

0.1

For the year ended December 31, 2022

Residential

mortgage-

backed

Commercial

Collateralized

U.S.

States and

pass-

mortgage-

debt

Other

government

Non-U.S.

political

through

backed

obligations

debt

    

and agencies

    

governments

    

subdivisions

    

Corporate

    

securities

    

securities

    

(1)

    

obligations

    

Total

(in millions)

Beginning balance

$

$

$

$

4.5

$

$

0.3

$

$

0.1

$

4.9

Reductions for securities sold during the period

(8.7)

(8.7)

Additional increases (decreases) for credit losses on securities with an allowance recorded in the previous period

4.2

4.2

Write-offs charged against allowance

(0.3)

(0.3)

Ending balance

$

$

$

$

$

$

$

$

0.1

$

0.1

For the year ended December 31, 2021

Residential

mortgage-

backed

Commercial

Collateralized

U.S.

States and

pass-

mortgage-

debt

Other

government

Non-U.S.

political

through

backed

obligations

debt

    

and agencies

    

governments

    

subdivisions

    

Corporate

    

securities

    

securities

    

(1)

    

obligations

    

Total

(in millions)

Beginning balance

$

$

$

$

$

$

4.3

$

2.2

$

$

6.5

Additions for credit losses not previously recorded

16.9

0.4

0.1

17.4

Reductions for securities sold during the period

(12.4)

(12.4)

Additional increases (decreases) for credit losses on securities with an allowance recorded in the previous period

2.4

0.4

2.8

Write-offs charged against allowance

(6.8)

(2.6)

(9.4)

Ending balance

$

$

$

$

4.5

$

$

0.3

$

$

0.1

$

4.9

Accrued interest written off to net investment income

$

$

$

$

0.2

$

$

$

$

$

0.2

(1)

Primarily consists of collateralized loan obligations backed by secured corporate loans.

Available-for-Sale Securities in Unrealized Loss Positions Without an Allowance for Credit Loss (Table)

June 30, 2024

Less than

Greater than or

 

twelve months

 

equal to twelve months

Total

    

Gross

    

Gross

    

Gross

Fair

unrealized

Fair

unrealized

Fair

unrealized

    

value

    

losses

    

value

    

losses

    

value

    

losses

(in millions)

Fixed maturities, available-for-sale (1):

U.S. government and agencies

$

198.4

$

5.5

$

1,052.0

$

269.1

$

1,250.4

$

274.6

Non-U.S. governments

 

41.2

 

3.1

 

305.0

 

71.7

 

346.2

 

74.8

States and political subdivisions

 

701.5

 

30.8

 

4,840.2

 

1,027.7

 

5,541.7

 

1,058.5

Corporate

 

3,924.6

 

167.3

 

20,686.1

 

3,556.5

 

24,610.7

 

3,723.8

Residential mortgage-backed pass- through securities

 

994.9

 

10.4

 

1,586.1

 

190.5

 

2,581.0

 

200.9

Commercial mortgage-backed securities

 

476.5

 

3.0

 

4,135.8

 

512.7

 

4,612.3

 

515.7

Collateralized debt obligations (2)

 

591.6

 

0.9

 

403.1

 

7.3

 

994.7

 

8.2

Other debt obligations

 

1,231.5

 

13.0

 

4,536.0

 

607.1

 

5,767.5

 

620.1

Total fixed maturities, available-for-sale

$

8,160.2

$

234.0

$

37,544.3

$

6,242.6

$

45,704.5

$

6,476.6

(1)

Fair value and gross unrealized losses are excluded for available-for-sale securities for which an allowance for credit loss has been recorded.

(2)

Primarily consists of collateralized loan obligations backed by secured corporate loans.

    

December 31, 2023

Less than

Greater than or

twelve months

equal to twelve months

Total

Gross

Gross

Gross

Fair

unrealized

Fair

unrealized

Fair

unrealized

value

    

losses

    

value

    

losses

    

value

    

losses

 

(in millions)

Fixed maturities, available-for-sale (1):

U.S. government and agencies

$

315.3

$

3.1

$

974.2

$

230.5

$

1,289.5

$

233.6

Non-U.S. governments

41.9

1.7

307.9

57.5

349.8

59.2

States and political subdivisions

596.6

19.0

5,011.7

906.9

5,608.3

925.9

Corporate

2,540.5

89.7

22,305.9

2,968.9

24,846.4

3,058.6

Residential mortgage-backed pass-through securities

472.9

2.9

1,275.6

157.7

1,748.5

160.6

Commercial mortgage-backed securities

280.3

4.1

4,160.3

645.6

4,440.6

649.7

Collateralized debt obligations (2)

404.8

1.5

2,296.3

25.3

2,701.1

26.8

Other debt obligations

1,183.7

18.5

4,386.0

584.2

5,569.7

602.7

Total fixed maturities, available-for-sale

$

5,836.0

$

140.5

$

40,717.9

$

5,576.6

$

46,553.9

$

5,717.1

(1)Fair value and gross unrealized losses are excluded for available-for-sale securities for which an allowance for credit loss has been recorded.
(2)Primarily consists of collateralized loan obligations backed by secured corporate loans.

December 31, 2023

Less than

Greater than or

 

twelve months

 

equal to twelve months

Total

    

Gross

    

Gross

    

Gross

Fair

unrealized

Fair

unrealized

Fair

unrealized

    

value

    

losses

    

value

    

losses

    

value

    

losses

(in millions)

Fixed maturities, available-for-sale (1):

U.S. government and agencies

$

315.3

$

3.1

$

974.2

$

230.5

$

1,289.5

$

233.6

Non-U.S. governments

 

41.9

 

1.7

 

307.9

 

57.5

 

349.8

 

59.2

States and political subdivisions

 

596.6

 

19.0

 

5,011.7

 

906.9

 

5,608.3

 

925.9

Corporate

 

2,540.5

 

89.7

 

22,305.9

 

2,968.9

 

24,846.4

 

3,058.6

Residential mortgage-backed pass- through securities

 

472.9

 

2.9

 

1,275.6

 

157.7

 

1,748.5

 

160.6

Commercial mortgage-backed securities

 

280.3

 

4.1

 

4,160.3

 

645.6

 

4,440.6

 

649.7

Collateralized debt obligations (2)

 

404.8

 

1.5

 

2,296.3

 

25.3

 

2,701.1

 

26.8

Other debt obligations

 

1,183.7

 

18.5

 

4,386.0

 

584.2

 

5,569.7

 

602.7

Total fixed maturities, available-for-sale

$

5,836.0

$

140.5

$

40,717.9

$

5,576.6

$

46,553.9

$

5,717.1

(1)

Fair value and gross unrealized losses are excluded for available-for-sale securities for which an allowance for credit loss has been recorded.

(2)

Primarily consists of collateralized loan obligations backed by secured corporate loans.

    

December 31, 2022

Less than

Greater than or

twelve months

equal to twelve months

Total

Gross

Gross

Gross

Fair

unrealized

Fair

unrealized

Fair

unrealized

value

    

losses

    

value

    

losses

    

value

    

losses

 

(in millions)

Fixed maturities, available-for-sale (1):

U.S. government and agencies

$

1,505.5

$

207.0

$

180.4

$

41.8

$

1,685.9

$

248.8

Non-U.S. governments

373.0

56.7

19.9

7.1

392.9

63.8

States and political subdivisions

5,243.6

999.7

387.8

126.9

5,631.4

1,126.6

Corporate

26,668.2

3,875.1

2,625.4

654.9

29,293.6

4,530.0

Residential mortgage-backed pass-through securities

1,201.7

97.6

574.8

104.7

1,776.5

202.3

Commercial mortgage-backed securities

3,622.3

480.7

1,113.9

220.9

4,736.2

701.6

Collateralized debt obligations (2)

2,830.1

88.8

1,327.2

54.4

4,157.3

143.2

Other debt obligations

3,412.6

290.7

2,266.7

434.4

5,679.3

725.1

Total fixed maturities, available-for-sale

$

44,857.0

$

6,096.3

$

8,496.1

$

1,645.1

$

53,353.1

$

7,741.4

(1)Fair value and gross unrealized losses are excluded for available-for-sale securities for which an allowance for credit loss has been recorded.
(2)Primarily consists of collateralized loan obligations backed by secured corporate loans.
Net Unrealized Gains and Losses on Available-for-Sale Securities and Derivative Instruments (Table)

    

June 30, 2024

    

December 31, 2023

 

(in millions)

Net unrealized losses on fixed maturities, available-for-sale (1)

$

(6,150.9)

$

(5,128.4)

Net unrealized gains (losses) on derivative instruments

51.1

(1.6)

Adjustments for assumed changes in amortization patterns

(0.7)

(5.2)

Adjustments for assumed changes in policyholder liabilities

12.1

1.4

Net unrealized gains on other investments and noncontrolling interest adjustments

2.9

2.9

Provision for deferred income tax benefits

1,296.9

1,099.6

Net unrealized losses on available-for-sale securities and derivative instruments

$

(4,788.6)

$

(4,031.3)

(1)Excludes net unrealized gains (losses) on fixed maturities, available-for-sale included in fair value hedging relationships.

    

December 31, 2023

    

December 31, 2022

 

(in millions)

Net unrealized losses on fixed maturities, available-for-sale (1)

$

(5,128.4)

$

(7,552.6)

Net unrealized gains (losses) on derivative instruments

(1.6)

50.7

Adjustments for assumed changes in amortization patterns

(5.2)

(1.8)

Adjustments for assumed changes in policyholder liabilities

1.4

0.5

Net unrealized gains on other investments and noncontrolling interest adjustments

2.9

2.9

Provision for deferred income tax benefits

1,099.6

1,601.5

Net unrealized losses on available-for-sale securities and derivative instruments

$

(4,031.3)

$

(5,898.8)

(1)Excludes net unrealized gains (losses) on fixed maturities, available-for-sale included in fair value hedging relationships.
Financing Receivable Credit Quality Indicators (Table)

    

June 30, 2024

    

2024

    

2023

    

2022

    

2021

    

2020

    

Prior

    

Total

(in millions)

Commercial mortgage loans:

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

A- and above

$

547.3

$

815.7

$

1,219.2

$

2,182.3

$

1,508.8

$

6,996.6

$

13,269.9

BBB+ thru BBB-

 

85.9

 

307.0

 

293.2

 

235.4

 

163.0

 

1,059.5

 

2,144.0

BB+ thru BB-

 

16.7

 

126.7

 

151.5

 

44.1

 

40.3

 

239.5

 

618.8

B+ and below

 

 

 

 

 

 

367.6

 

367.6

Total

$

649.9

$

1,249.4

$

1,663.9

$

2,461.8

$

1,712.1

$

8,663.2

$

16,400.3

Residential mortgage

 

  

 

  

 

  

 

  

 

  

 

  

 

  

loans:

 

  

 

  

 

  

 

  

 

  

 

  

 

  

Performing

$

88.4

$

400.9

$

980.3

$

1,227.9

$

138.9

$

311.0

$

3,147.4

Non-performing

 

 

1.2

 

4.6

 

3.9

 

1.2

 

3.9

 

14.8

Total

$

88.4

$

402.1

$

984.9

$

1,231.8

$

140.1

$

314.9

$

3,162.2

Other loans:

 

  

 

  

 

  

 

  

 

  

 

  

 

  

Performing

$

84.5

$

98.8

$

$

$

$

$

183.3

Non-performing

 

0.1

 

 

 

 

 

0.1

 

0.2

Total

$

84.6

$

98.8

$

$

$

$

0.1

$

183.5

Reinsurance recoverable and deposit receivable

 

  

 

  

 

  

 

  

 

  

$

23,375.0

December 31, 2023

2023

    

2022

    

2021

    

2020

    

2019

    

Prior

    

Total

(in millions)

Commercial mortgage loans:

A- and above

$

667.4

$

1,214.8

$

2,271.5

$

1,535.8

$

1,921.0

$

5,447.2

$

13,057.7

BBB+ thru BBB-

282.6

356.8

343.0

203.3

309.9

886.9

2,382.5

BB+ thru BB-

110.6

142.1

35.3

234.6

522.6

B+ and below

83.5

53.9

137.4

Total

$

1,060.6

$

1,713.7

$

2,614.5

$

1,739.1

$

2,349.7

$

6,622.6

$

16,100.2

Residential mortgage loans:

Performing

$

456.3

$

1,023.4

$

1,272.5

$

150.4

$

86.8

$

253.6

$

3,243.0

Non-performing

2.1

4.0

1.8

2.3

10.2

Total

$

456.3

$

1,025.5

$

1,276.5

$

150.4

$

88.6

$

255.9

$

3,253.2

Other loans:

Performing

$

168.5

$

$

$

$

$

$

168.5

Non-performing

0.1

0.1

Total

$

168.5

$

$

$

$

$

0.1

$

168.6

Reinsurance recoverable and deposit receivable

$

24,427.9

    

December 31, 2023

    

2023

    

2022

    

2021

    

2020

    

2019

    

Prior

    

Total

(in millions)

Commercial mortgage loans:

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

A- and above

$

667.4

$

1,214.8

$

2,271.5

$

1,535.8

$

1,921.0

$

5,447.2

$

13,057.7

BBB+ thru BBB-

 

282.6

 

356.8

 

343.0

 

203.3

 

309.9

 

886.9

 

2,382.5

BB+ thru BB-

 

110.6

 

142.1

 

 

 

35.3

 

234.6

 

522.6

B+ and below

 

 

 

 

 

83.5

 

53.9

 

137.4

Total

$

1,060.6

$

1,713.7

$

2,614.5

$

1,739.1

$

2,349.7

$

6,622.6

$

16,100.2

Residential mortgage

 

  

 

  

 

  

 

  

 

  

 

  

 

  

loans:

 

  

 

  

 

  

 

  

 

  

 

  

 

  

Performing

$

456.3

$

1,023.4

$

1,272.5

$

150.4

$

86.8

$

253.6

$

3,243.0

Non-performing

 

 

2.1

 

4.0

 

 

1.8

 

2.3

 

10.2

Total

$

456.3

$

1,025.5

$

1,276.5

$

150.4

$

88.6

$

255.9

$

3,253.2

Other loans:

 

  

 

  

 

  

 

  

 

  

 

  

 

  

Performing

$

168.5

$

$

$

$

$

$

168.5

Non-performing

 

 

 

 

 

 

0.1

 

0.1

Total

$

168.5

$

$

$

$

$

0.1

$

168.6

Reinsurance recoverable and deposit receivable

 

  

 

  

 

  

 

  

 

  

$

24,427.9

 December 31, 2022

2022

    

2021

    

2020

    

2019

    

2018

    

Prior

    

Total

(in millions)

Commercial mortgage loans:

A- and above

$

995.9

$

2,182.5

$

1,753.8

$

2,177.2

$

2,130.8

$

4,555.1

$

13,795.3

BBB+ thru BBB-

371.8

412.8

149.7

391.6

222.6

676.4

2,224.9

BB+ thru BB-

104.0

8.9

66.5

179.4

B+ and below

8.3

35.5

43.8

Total

$

1,471.7

$

2,595.3

$

1,903.5

$

2,568.8

$

2,370.6

$

5,333.5

$

16,243.4

Residential mortgage loans:

Performing

$

1,101.4

$

1,669.1

$

364.5

$

99.2

$

51.2

$

253.6

$

3,539.0

Non-performing

8.0

4.7

1.8

1.0

0.6

4.4

20.5

Total

$

1,109.4

$

1,673.8

$

366.3

$

100.2

$

51.8

$

258.0

$

3,559.5

Reinsurance recoverable and deposit receivable

$

21,445.0

Non-Accrual Financing Receivables (Table)

June 30, 2024

    

  

    

  

    

Amortized cost

Beginning

Ending

of nonaccrual

amortized cost

amortized cost

assets without

on nonaccrual

on nonaccrual

a valuation

status

status

allowance

 

(in millions)

Commercial mortgage loans

$

53.9

$

137.0

$

Residential mortgage loans

8.2

12.4

Total

$

62.1

$

149.4

$

December 31, 2023

    

  

    

  

    

Amortized cost

Beginning

Ending

of nonaccrual

amortized cost

amortized cost

assets without

on nonaccrual

on nonaccrual

a valuation

status

status

allowance

 

(in millions)

Commercial mortgage loans

$

43.8

$

53.9

$

Residential mortgage loans

16.0

8.2

0.5

Total

$

59.8

$

62.1

$

0.5

December 31, 2023

    

  

    

  

    

Amortized cost

Beginning

Ending

of nonaccrual

amortized cost

amortized cost

assets without

on nonaccrual

on nonaccrual

a valuation

status

status

allowance

 

(in millions)

Commercial mortgage loans

$

43.8

$

53.9

$

Residential mortgage loans

16.0

8.2

0.5

Total

$

59.8

$

62.1

$

0.5

December 31, 2022

    

  

    

  

    

Amortized cost

Beginning

Ending

of nonaccrual

amortized cost

amortized cost

assets without

on nonaccrual

on nonaccrual

a valuation

status

status

allowance

 

(in millions)

Commercial mortgage loans

$

8.7

$

43.8

$

Residential mortgage loans

3.4

16.0

0.6

Total

$

12.1

$

59.8

$

0.6

Schedule of Interest Income Recognized on Non-accrual Financing Receivables (Table)

For the six months ended June 30,

    

2024

2023

    

(in millions)

Commercial mortgage loans

$

(0.2)

$

Residential mortgage loans

0.1

Total

$

(0.1)

$

For the year ended December 31,

    

2023

2022

    

2021

    

(in millions)

Commercial mortgage loans

$

1.2

$

0.9

$

0.5

Total

$

1.2

$

0.9

$

0.5

Financing Receivables Aging (Table)

    

June 30, 2024

90 days or

90 days or

30-59 days

60-89 days

more past

Total

more and

    

past due

    

past due

    

due

    

past due

    

Current

    

Total (1)

    

accruing

  

(in millions)

Commercial mortgage loans

$

$

59.5

$

91.4

$

150.9

$

16,249.4

$

16,400.3

$

Residential mortgage loans

8.1

0.5

10.8

19.4

3,142.8

3,162.2

2.4

Other loans

2.0

1.6

1.7

5.3

178.2

183.5

1.5

Total

$

10.1

$

61.6

$

103.9

$

175.6

$

19,570.4

$

19,746.0

$

3.9

December 31, 2023

90 days or

90 days or

30-59 days

60-89 days

more past

Total

more and

    

past due

    

past due

    

due

    

past due

    

Current

    

Total (1)

    

accruing

  

(in millions)

Commercial mortgage loans

$

$

$

7.9

$

7.9

$

16,092.3

$

16,100.2

$

Residential mortgage loans

8.5

1.8

8.7

19.0

3,234.2

3,253.2

2.0

Other loans

1.0

0.5

0.7

2.2

166.4

168.6

0.6

Total

$

9.5

$

2.3

$

17.3

$

29.1

$

19,492.9

$

19,522.0

$

2.6

(1)As of both June 30, 2024 and December 31, 2023, no reinsurance recoverables or deposit receivables were considered past due.

    

December 31, 2023

90 days or

90 days or

30-59 days

60-89 days

more past

Total

more and

    

past due

    

past due

    

due

    

past due

    

Current

    

Total (1)

    

accruing

  

(in millions)

Commercial mortgage loans

$

$

$

7.9

$

7.9

$

16,092.3

$

16,100.2

$

Residential mortgage loans

8.5

1.8

8.7

19.0

3,234.2

3,253.2

2.0

Other loans

1.0

0.5

0.7

2.2

166.4

168.6

0.6

Total

$

9.5

$

2.3

$

17.3

$

29.1

$

19,492.9

$

19,522.0

$

2.6

December 31, 2022

90 days or

90 days or

30-59 days

60-89 days

more past

Total

more and

    

past due

    

past due

    

due

    

past due

    

Current

    

Total (1)

    

accruing

  

(in millions)

Commercial mortgage loans

$

$

$

8.3

$

8.3

$

16,235.1

$

16,243.4

$

Residential mortgage loans

35.9

2.4

12.4

50.7

3,508.8

3,559.5

4.4

Total

$

35.9

$

2.4

$

20.7

$

59.0

$

19,743.9

$

19,802.9

$

4.4

(1)As of both December 31, 2023 and 2022, no reinsurance recoverables or deposit receivables were considered past due.
Financing Receivables Valuation Allowance (Table)

For the six months ended June 30, 2024

Commercial

Residential

Reinsurance

    

mortgage loans

    

mortgage loans

    

recoverables

    

Total

 

(in millions)

Beginning balance

$

126.1

$

6.1

$

3.2

$

135.4

Provision

48.2

2.5

(0.1)

50.6

Charge-offs

(11.8)

(0.1)

(11.9)

Recoveries

0.4

0.4

Ending balance

$

162.5

$

8.9

$

3.1

$

174.5

For the six months ended June 30, 2023

Commercial

Residential

Reinsurance

    

mortgage loans

    

mortgage loans

    

recoverables

    

Total

 

(in millions)

Beginning balance

$

75.5

$

5.0

$

2.7

$

83.2

Provision

23.4

0.5

23.9

Charge-offs

(0.1)

(0.1)

Recoveries

0.7

0.7

Ending balance

$

98.9

$

6.1

$

2.7

$

107.7

For the year ended December 31, 2023

Commercial

Residential

Reinsurance

    

mortgage loans

    

mortgage loans

    

recoverables

    

Total

 

(in millions)

Beginning balance

$

75.5

$

5.0

$

2.7

$

83.2

Provision

50.6

0.5

51.1

Charge-offs

(0.4)

(0.4)

Recoveries

1.5

1.5

Ending balance

$

126.1

$

6.1

$

3.2

$

135.4

For the year ended December 31, 2022

Commercial

Residential

Reinsurance

    

mortgage loans

    

mortgage loans

    

recoverables

    

Total

 

(in millions)

Beginning balance

$

42.0

$

1.7

$

2.7

$

46.4

Provision

33.5

1.2

34.7

Charge-offs

(0.2)

(0.2)

Recoveries

2.3

2.3

Ending balance

$

75.5

$

5.0

$

2.7

$

83.2

For the year ended December 31, 2021

Commercial

Residential

Reinsurance

    

mortgage loans

    

mortgage loans

    

recoverables

    

Total

 

(in millions)

Beginning balance

$

40.5

$

5.7

$

2.7

$

48.9

Provision (1)

1.5

(7.2)

(5.7)

Charge-offs

(0.5)

(0.5)

Recoveries

3.7

3.7

Ending balance

$

42.0

$

1.7

$

2.7

$

46.4

(1)

During the year ended December 31, 2021, certain valuation allowances for residential mortgage loans were released. This release was a result of further adjustments to our current and forecasted environmental factors management believed to be relevant as global economic activity improved from previously adverse impacts due to COVID-19.

For the years ended December 31, 2023, 2022 and 2021, no allowance was recorded for other loans.

Mortgage Loans Purchased and Sold (Table)

For the six months ended June 30, 

    

2024

    

2023

(in millions)

Commercial mortgage loans:

  

  

Purchased

$

50.1

$

106.8

Residential mortgage loans:

 

  

 

  

Purchased (1)

 

74.2

 

394.0

Sold

 

 

13.2

(1)Includes mortgage loans purchased by residential mortgage loan VIEs in 2023.

For the year ended December 31,

    

2023

    

2022

    

2021

(in millions)

Commercial mortgage loans:

  

  

  

Purchased

$

108.1

$

261.3

$

Residential mortgage loans:

 

  

 

  

 

  

Purchased (1)

 

505.6

 

1,805.2

 

2,272.4

Sold

 

99.3

 

512.8

 

(1)Includes mortgage loans purchased by residential mortgage loan VIEs.
Commercial Mortgage Loans by Geographic Distribution and Property Type Distribution (Table)

June 30, 2024

December 31, 2023

 

Amortized

Percent

Amortized

Percent

 

    

cost

    

of total

    

cost

    

of total

 

($ in millions)

 

Geographic distribution

  

  

  

  

New England

$

353.3

 

2.2

%  

$

367.6

 

2.3

%

Middle Atlantic

 

4,587.2

 

27.9

 

4,525.0

 

28.1

East North Central

 

591.9

 

3.6

 

584.5

 

3.6

West North Central

 

352.9

 

2.2

 

336.9

 

2.1

South Atlantic

 

2,880.9

 

17.6

 

2,768.8

 

17.2

East South Central

 

475.3

 

2.9

 

430.3

 

2.7

West South Central

 

1,277.4

 

7.8

 

1,272.0

 

7.9

Mountain

 

874.1

 

5.3

 

825.9

 

5.1

Pacific

 

5,007.3

 

30.5

 

4,989.2

 

31.0

Total

$

16,400.3

 

100.0

%  

$

16,100.2

 

100.0

%

Property type distribution

 

 

 

 

Office

$

3,452.1

 

21.0

%  

$

3,651.5

 

22.7

%

Retail

 

1,431.0

 

8.7

 

1,457.4

 

9.1

Industrial

 

3,891.5

 

23.7

 

3,526.7

 

21.9

Apartments

 

7,260.9

 

44.4

 

7,148.5

 

44.4

Hotel

 

66.8

 

0.4

 

68.6

 

0.4

Mixed use/other

 

298.0

 

1.8

 

247.5

 

1.5

Total

$

16,400.3

 

100.0

%  

$

16,100.2

 

100.0

%

December 31, 2023

December 31, 2022

 

Amortized

Percent

Amortized

Percent

 

    

cost

    

of total

    

cost

    

of total

 

($ in millions)

 

Geographic distribution

  

  

  

  

New England

$

367.6

 

2.3

%  

$

513.3

 

3.2

%

Middle Atlantic

 

4,525.0

 

28.1

 

4,518.8

 

27.8

East North Central

 

584.5

 

3.6

 

653.9

 

4.0

West North Central

 

336.9

 

2.1

 

371.9

 

2.3

South Atlantic

 

2,768.8

 

17.2

 

2,565.5

 

15.8

East South Central

 

430.3

 

2.7

 

340.6

 

2.1

West South Central

 

1,272.0

 

7.9

 

1,208.8

 

7.4

Mountain

 

825.9

 

5.1

 

940.9

 

5.8

Pacific

 

4,989.2

 

31.0

 

5,129.7

 

31.6

Total

$

16,100.2

 

100.0

%  

$

16,243.4

 

100.0

%

Property type distribution

 

  

 

  

 

  

 

  

Office

$

3,651.5

 

22.7

%  

$

4,331.8

 

26.7

%

Retail

 

1,457.4

 

9.1

 

1,502.5

 

9.2

Industrial

 

3,526.7

 

21.9

 

3,246.4

 

20.0

Apartments

 

7,148.5

 

44.4

 

6,848.3

 

42.2

Hotel

 

68.6

 

0.4

 

72.5

 

0.4

Mixed use/other

 

247.5

 

1.5

 

241.9

 

1.5

Total

$

16,100.2

 

100.0

%  

$

16,243.4

 

100.0

%

Mortgage Loans Modified as a Troubled Debt Restructuring (Table)  

For the year ended December 31, 2022

    

TDRs

    

TDRs in payment default

    

Number of

    

Recorded

Number of

Recorded

    

contracts

    

investment

    

contracts

    

investment

(in millions)

 

(in millions)

Commercial mortgage loans

1

$

35.5

$

Total

1

$

35.5

$

Minority Interests in Unconsolidated Entities-Balance Sheet (Table)  

December 31, 

    

2023

    

2022

(in millions)

Total assets

$

119,329.9

$

128,765.7

Total liabilities

16,131.8

 

12,335.4

Total equity

$

103,198.1

$

116,430.3

Net investment in unconsolidated entities

$

1,869.9

$

1,275.5

Minority Interests in Unconsolidated Entities-Income Statement (Table)  

For the year ended

December 31, 

    

2023

    

2022

    

2021

(in millions)

Total revenues

$

2,555.9

$

36,915.1

$

17,674.2

Net income

(3,110.6)

33,194.6

 

14,083.1

Our share of net income of unconsolidated entities

151.0

119.5

 

229.6

Financial Assets Subject to Netting Agreements (Table)

Gross amounts not offset in the

consolidated statements

of financial position

 

Gross amount

 

    

    

 

    

of recognized

Financial

Collateral

    

assets (1)

    

instruments (2)

    

received

    

Net amount

   

(in millions)

June 30, 2024

Derivative assets

$

384.7

$

(180.6)

$

(184.4)

$

19.7

Reverse repurchase agreements

103.4

(103.4)

Total

$

488.1

$

(180.6)

$

(287.8)

$

19.7

December 31, 2023

Derivative assets

$

253.0

$

(166.0)

$

(81.0)

$

6.0

Reverse repurchase agreements

122.7

(122.7)

Total

$

375.7

$

(166.0)

$

(203.7)

$

6.0

(1)

The gross amount of recognized derivative and reverse repurchase agreement assets are reported with other investments and cash and cash equivalents, respectively, on the consolidated statements of financial position. The gross amounts of derivative and reverse repurchase agreement assets are not netted against offsetting liabilities for presentation on the consolidated statements of financial position.

(2)

Represents amount of offsetting derivative liabilities that are subject to an enforceable master netting agreement or similar agreement that are not netted against the gross derivative assets for presentation on the consolidated statements of financial position.

Gross amounts not offset in the

consolidated statements

of financial position

 

Gross amount

 

    

    

 

    

of recognized

Financial

Collateral

    

assets (1)

    

instruments (2)

    

received

    

Net amount

   

(in millions)

December 31, 2023

Derivative assets

$

253.0

$

(166.0)

$

(81.0)

$

6.0

Reverse repurchase agreements

122.7

(122.7)

Total

$

375.7

$

(166.0)

$

(203.7)

$

6.0

December 31, 2022

Derivative assets

$

256.6

$

(133.5)

$

(120.8)

$

2.3

Reverse repurchase agreements

112.9

(112.9)

Total

$

369.5

$

(133.5)

$

(233.7)

$

2.3

(1)

The gross amount of recognized derivative and reverse repurchase agreement assets are reported with other investments and cash and cash equivalents, respectively, on the consolidated statements of financial position. The gross amounts of derivative and reverse repurchase agreement assets are not netted against offsetting liabilities for presentation on the consolidated statements of financial position.

(2)

Represents amount of offsetting derivative liabilities that are subject to an enforceable master netting agreement or similar agreement that are not netted against the gross derivative assets for presentation on the consolidated statements of financial position.

Financial Liabilities Subject to Netting Agreements (Table)

Gross amounts not offset in the

consolidated statements

of financial position

    

Gross amount

    

 

    

    

of recognized

Financial

Collateral

    

liabilities (1)

    

instruments (2)

    

pledged

    

Net amount

  

(in millions)

June 30, 2024

Derivative liabilities

$

456.7

$

(180.6)

$

(253.5)

$

22.6

December 31, 2023

Derivative liabilities

$

473.4

$

(166.0)

$

(295.5)

$

11.9

(1)The gross amount of recognized derivative liabilities is reported with other liabilities on the consolidated statements of financial position. The above excludes derivative liabilities, which are primarily embedded derivatives that are not subject to master netting agreements or similar agreements. The gross amounts of derivative liabilities are not netted against offsetting assets for presentation on the consolidated statements of financial position.
(2)Represents amount of offsetting derivative assets that are subject to an enforceable master netting agreement or similar agreement that are not netted against the gross derivative liabilities for presentation on the consolidated statements of financial position.

Gross amounts not offset in the

consolidated statements

of financial position

    

Gross amount

    

 

    

    

of recognized

Financial

Collateral

    

liabilities (1)

    

instruments (2)

    

pledged

    

Net amount

  

(in millions)

December 31, 2023

Derivative liabilities

$

473.4

$

(166.0)

$

(295.5)

$

11.9

December 31, 2022

Derivative liabilities

$

612.2

$

(133.5)

$

(467.2)

$

11.5

(1)The gross amount of recognized derivative liabilities is reported with other liabilities on the consolidated statements of financial position. The above excludes derivative liabilities, which are primarily embedded derivatives that are not subject to master netting agreements or similar agreements. The gross amounts of derivative liabilities are not netted against offsetting assets for presentation on the consolidated statements of financial position.
(2)Represents amount of offsetting derivative assets that are subject to an enforceable master netting agreement or similar agreement that are not netted against the gross derivative liabilities for presentation on the consolidated statements of financial position.