Investments (Tables)
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9 Months Ended |
Sep. 30, 2022 |
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| Investments [Abstract] |
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| Amortized Cost, Gross Unrealized Gains and Losses, Fair Value |
The following tables show the cost or amortized cost, allowance for credit losses, gross unrealized gains and losses, and fair value of the Company’s fixed maturity securities as of the dates indicated: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | September 30, 2022 | | | Cost or
Amortized
Cost | | Allowance for Credit Losses | | Gross
Unrealized
Gains | | Gross
Unrealized
Losses | | Fair Value | | Fixed maturity securities: | | | | | | | | | | | U.S. government and government agencies and authorities | $ | 102.0 | | | $ | — | | | $ | 0.3 | | | $ | (7.1) | | | $ | 95.2 | | | States, municipalities and political subdivisions | 160.8 | | | — | | | 0.9 | | | (16.6) | | | 145.1 | | | Foreign governments | 403.1 | | | — | | | 0.6 | | | (21.0) | | | 382.7 | | | Asset-backed | 670.1 | | | — | | | 3.0 | | | (46.9) | | | 626.2 | | | Commercial mortgage-backed | 461.7 | | | — | | | — | | | (50.5) | | | 411.2 | | | Residential mortgage-backed | 515.5 | | | — | | | 0.5 | | | (57.7) | | | 458.3 | | | U.S. corporate | 3,253.0 | | | — | | | 9.9 | | | (374.1) | | | 2,888.8 | | | Foreign corporate | 1,297.4 | | | — | | | 1.9 | | | (168.9) | | | 1,130.4 | | | Total fixed maturity securities | $ | 6,863.6 | | | $ | — | | | $ | 17.1 | | | $ | (742.8) | | | $ | 6,137.9 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | December 31, 2021 | | | Cost or
Amortized
Cost | | Allowance for Credit Losses | | Gross
Unrealized
Gains | | Gross
Unrealized
Losses | | Fair Value | | Fixed maturity securities: | | | | | | | | | | | U.S. government and government agencies and authorities | $ | 83.0 | | | $ | — | | | $ | 2.1 | | | $ | (0.1) | | | $ | 85.0 | | | States, municipalities and political subdivisions | 142.2 | | | — | | | 7.0 | | | (0.7) | | | 148.5 | | | Foreign governments | 436.0 | | | — | | | 5.9 | | | (4.2) | | | 437.7 | | | Asset-backed | 411.1 | | | — | | | 14.2 | | | (2.3) | | | 423.0 | | | Commercial mortgage-backed | 466.7 | | | — | | | 10.3 | | | (3.3) | | | 473.7 | | | Residential mortgage-backed | 578.4 | | | — | | | 25.2 | | | (1.7) | | | 601.9 | | | U.S. corporate | 3,581.2 | | | — | | | 235.9 | | | (14.0) | | | 3,803.1 | | | Foreign corporate | 1,205.3 | | | — | | | 46.0 | | | (8.9) | | | 1,242.4 | | | Total fixed maturity securities | $ | 6,903.9 | | | $ | — | | | $ | 346.6 | | | $ | (35.2) | | | $ | 7,215.3 | |
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| Amortized Cost and Fair Value of Fixed Maturity Securities by Contractual Maturity |
The cost or amortized cost and fair value of fixed maturity securities as of September 30, 2022 by contractual maturity are shown below. Actual maturities may differ from contractual maturities because issuers of the securities may have the right to call or prepay obligations with or without call or prepayment penalties. | | | | | | | | | | | | | Cost or
Amortized Cost | | Fair Value | | Due in one year or less | $ | 182.5 | | | $ | 181.6 | | | Due after one year through five years | 1,697.8 | | | 1,614.2 | | | Due after five years through ten years | 2,241.6 | | | 1,973.5 | | | Due after ten years | 1,094.4 | | | 872.9 | | | Total | 5,216.3 | | | 4,642.2 | | | Asset-backed | 670.1 | | | 626.2 | | | Commercial mortgage-backed | 461.7 | | | 411.2 | | | Residential mortgage-backed | 515.5 | | | 458.3 | | | Total | $ | 6,863.6 | | | $ | 6,137.9 | |
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| Net Realized Gains (Losses), Including Other-Than-Temporary Impairments |
The following table sets forth the net realized gains (losses) on investments and fair value changes to equity securities, including impairments, recognized in the consolidated statements of operations for the periods indicated: | | | | | | | | | | | | | | | | | | | | | | | | | | Three Months Ended September 30, | | Nine Months Ended September 30, | | | 2022 | | 2021 | | 2022 | | 2021 | | Net realized (losses) gains on investments related to sales and other and fair value changes to equity securities: | | | | | | | | | Fixed maturity securities | $ | (21.9) | | | $ | 16.1 | | | $ | (63.0) | | | $ | 19.3 | | | Equity securities (1) | (5.2) | | | 95.1 | | | (102.4) | | | 100.6 | | | Commercial mortgage loans on real estate | (0.2) | | | 0.5 | | | — | | | 0.7 | | | Other investments | (0.1) | | | 0.4 | | | 1.3 | | | 2.4 | | | Total net realized (losses) gains on investments related to sales and other and fair value changes to equity securities | (27.4) | | | 112.1 | | | (164.1) | | | 123.0 | | | Net realized (losses) gains related to impairments: | | | | | | | | | Fixed maturity securities | — | | | — | | | (1.6) | | | 1.2 | | | Other investments | — | | | — | | | (0.5) | | | (1.0) | | | Total net realized (losses) gains related to impairments | — | | | — | | | (2.1) | | | 0.2 | | | Total net realized (losses) gains on investments and fair value changes to equity securities | $ | (27.4) | | | $ | 112.1 | | | $ | (166.2) | | | $ | 123.2 | |
(1)Upward adjustments of $0.0 million, $19.5 million, $23.0 million and $25.1 million and impairments of $0.0 million, $0.0 million, $0.0 million and $1.0 million were realized on equity investments accounted for under the measurement alternative for the three and nine months ended September 30, 2022 and 2021, respectively.
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| Unrealized Gains on Equity Securities |
The following table sets forth the portion of fair value changes to equity securities held for the periods indicated: | | | | | | | | | | | | | | | | | | | | | | | | | Three Months Ended September 30, | | Nine Months Ended September 30, | | 2022 | | 2021 | | 2022 | | 2021 | | Net (losses) gains recognized on equity securities | $ | (5.2) | | | $ | 95.1 | | | $ | (102.4) | | | $ | 100.6 | | | Less: Net realized gains related to sales of equity securities | (0.2) | | | 1.1 | | | 20.0 | | | 2.1 | | | Total fair value changes to equity securities held (1) | $ | (5.0) | | | $ | 94.0 | | | $ | (122.4) | | | $ | 98.5 | |
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| Equity Securities without Readily Determinable Fair Value |
The following table summarizes information related to these investments: | | | | | | | | | | | | | September 30, 2022 | | December 31, 2021 | | Initial cost | $ | 86.0 | | | $ | 74.4 | | | Cumulative upward adjustments | 58.6 | | | 42.7 | | | Cumulative downward adjustments (including impairments) | (15.4) | | | (15.4) | | | Carrying value | $ | 129.2 | | | $ | 101.7 | |
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| Debt Securities, Available-for-sale, Unrealized Loss Position, Fair Value |
The investment category and duration of the Company’s gross unrealized losses on fixed maturity securities as of September 30, 2022 and December 31, 2021 were as follows: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | September 30, 2022 | | | Less than 12 months | | 12 Months or More | | Total | | Fair Value | | Unrealized
Losses | | Fair Value | | Unrealized
Losses | | Fair Value | | Unrealized
Losses | | Fixed maturity securities: | | | | | | | | | | | | | U.S. government and government agencies and authorities | $ | 87.8 | | | $ | (6.6) | | | $ | 4.1 | | | $ | (0.5) | | | $ | 91.9 | | | $ | (7.1) | | | States, municipalities and political subdivisions | 96.4 | | | (10.9) | | | 21.8 | | | (5.7) | | | 118.2 | | | (16.6) | | | Foreign governments | 306.9 | | | (17.9) | | | 26.8 | | | (3.1) | | | 333.7 | | | (21.0) | | | Asset-backed | 474.3 | | | (38.5) | | | 76.7 | | | (8.4) | | | 551.0 | | | (46.9) | | | Commercial mortgage-backed | 337.9 | | | (35.5) | | | 73.3 | | | (15.0) | | | 411.2 | | | (50.5) | | | Residential mortgage-backed | 413.2 | | | (45.2) | | | 32.3 | | | (12.5) | | | 445.5 | | | (57.7) | | | U.S. corporate | 2,460.4 | | | (295.9) | | | 225.8 | | | (78.2) | | | 2,686.2 | | | (374.1) | | | Foreign corporate | 942.8 | | | (117.5) | | | 157.8 | | | (51.4) | | | 1,100.6 | | | (168.9) | | | Total fixed maturity securities | $ | 5,119.7 | | | $ | (568.0) | | | $ | 618.6 | | | $ | (174.8) | | | $ | 5,738.3 | | | $ | (742.8) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | December 31, 2021 | | | Less than 12 months | | 12 Months or More | | Total | | | Fair Value | | Unrealized
Losses | | Fair Value | | Unrealized
Losses | | Fair Value | | Unrealized
Losses | | Fixed maturity securities: | | | | | | | | | | | | | U.S. government and government agencies and authorities | $ | 31.5 | | | $ | (0.1) | | | $ | — | | | $ | — | | | $ | 31.5 | | | $ | (0.1) | | | States, municipalities and political subdivisions | 48.1 | | | (0.7) | | | — | | | — | | | 48.1 | | | (0.7) | | | Foreign governments | 216.0 | | | (4.1) | | | 4.0 | | | (0.1) | | | 220.0 | | | (4.2) | | | Asset-backed | 257.7 | | | (2.1) | | | 9.8 | | | (0.2) | | | 267.5 | | | (2.3) | | | Commercial mortgage-backed | 274.8 | | | (2.9) | | | 2.0 | | | (0.4) | | | 276.8 | | | (3.3) | | | Residential mortgage-backed | 94.0 | | | (1.5) | | | 10.0 | | | (0.2) | | | 104.0 | | | (1.7) | | | U.S. corporate | 687.8 | | | (13.1) | | | 15.2 | | | (0.9) | | | 703.0 | | | (14.0) | | | Foreign corporate | 394.0 | | | (8.6) | | | 6.7 | | | (0.3) | | | 400.7 | | | (8.9) | | | Total fixed maturity securities | $ | 2,003.9 | | | $ | (33.1) | | | $ | 47.7 | | | $ | (2.1) | | | $ | 2,051.6 | | | $ | (35.2) | |
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| Credit Quality Indicators |
The following table presents the amortized cost basis of commercial mortgage loans, excluding the allowance for credit losses, by origination year for certain key credit quality indicators at September 30, 2022 and December 31, 2021. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | September 30, 2022 | | Origination Year | | 2022 | | 2021 | | 2020 | | 2019 | | 2018 | | Prior | | Total | | % of Total | Loan to value
ratios (1): | | | | | | | | | | | | | | | | | 70% and less | $ | 43.9 | | | $ | 68.8 | | | $ | — | | | $ | — | | | $ | — | | | $ | 85.9 | | | $ | 198.6 | | | 65.0 | % | | 71% to 80% | 30.9 | | | 44.8 | | | 2.7 | | | — | | | 4.6 | | | 1.0 | | | 84.0 | | | 27.5 | % | | 81% to 95% | — | | | 21.0 | | | — | | | — | | | — | | | — | | | 21.0 | | | 6.9 | % | | Greater than 95% | — | | | — | | | — | | | — | | | — | | | 1.9 | | | 1.9 | | | 0.6 | % | | Total | $ | 74.8 | | | $ | 134.6 | | | $ | 2.7 | | | $ | — | | | $ | 4.6 | | | $ | 88.8 | | | $ | 305.5 | | | 100.0 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | September 30, 2022 | | Origination Year | | 2022 | | 2021 | | 2020 | | 2019 | | 2018 | | Prior | | Total | | % of Total | | Debt-service coverage ratios (2): | | | | | | | | | | | | | | | | | Greater than 2.0 | $ | 24.0 | | | $ | 57.9 | | | $ | 2.7 | | | $ | — | | | $ | — | | | $ | 56.8 | | | $ | 141.4 | | | 46.3 | % | | 1.5 to 2.0 | 26.9 | | | 37.1 | | | — | | | — | | | 4.6 | | | 19.6 | | | 88.2 | | | 28.9 | % | | 1.0 to 1.5 | 23.9 | | | 39.6 | | | — | | | — | | | — | | | 7.1 | | | 70.6 | | | 23.1 | % | | Less than 1.0 | — | | | — | | | — | | | — | | | — | | | 5.3 | | | 5.3 | | | 1.7 | % | | Total | $ | 74.8 | | | $ | 134.6 | | | $ | 2.7 | | | $ | — | | | $ | 4.6 | | | $ | 88.8 | | | $ | 305.5 | | | 100.0 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | December 31, 2021 | | Origination Year | | 2021 | | 2020 | | 2019 | | 2018 | | 2017 | | Prior | | Total | | % of Total | Loan to value
ratios (1): | | | | | | | | | | | | | | | | | 70% and less | $ | 71.7 | | | $ | 5.6 | | | $ | — | | | $ | — | | | $ | 4.0 | | | $ | 99.8 | | | $ | 181.1 | | | 70.3 | % | | 71% to 80% | 61.8 | | | — | | | — | | | 4.7 | | | — | | | 1.0 | | | 67.5 | | | 26.2 | % | | 81% to 95% | — | | | — | | | — | | | — | | | — | | | 1.1 | | | 1.1 | | | 0.4 | % | | Greater than 95% | — | | | — | | | — | | | — | | | 5.8 | | | 2.1 | | | 7.9 | | | 3.1 | % | | Total | $ | 133.5 | | | $ | 5.6 | | | $ | — | | | $ | 4.7 | | | $ | 9.8 | | | $ | 104.0 | | | $ | 257.6 | | | 100.0 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | December 31, 2021 | | Origination Year | | 2021 | | 2020 | | 2019 | | 2018 | | 2017 | | Prior | | Total | | % of Total | | Debt-service coverage ratios (2): | | | | | | | | | | | | | | | | | Greater than 2.0 | $ | 59.3 | | | $ | 5.6 | | | $ | — | | | $ | — | | | $ | — | | | $ | 70.5 | | | $ | 135.4 | | | 52.6 | % | | 1.5 to 2.0 | 34.1 | | | — | | | — | | | 4.7 | | | 4.0 | | | 17.5 | | | 60.3 | | | 23.4 | % | | 1.0 to 1.5 | 40.1 | | | — | | | — | | | — | | | — | | | 9.9 | | | 50.0 | | | 19.4 | % | | Less than 1.0 | — | | | — | | | — | | | — | | | 5.8 | | | 6.1 | | | 11.9 | | | 4.6 | % | | Total | $ | 133.5 | | | $ | 5.6 | | | $ | — | | | $ | 4.7 | | | $ | 9.8 | | | $ | 104.0 | | | $ | 257.6 | | | 100.0 | % |
(1)Loan-to-value ratio derived from current loan balance divided by the fair value of the property. The fair value of the underlying commercial properties is updated at least annually. (2)Debt-service coverage ratio calculated using most recent reported operating results from property operators divided by annual debt service coverage.
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