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v3.22.2.2

Fair Value Measurements (Tables) | 9 Months Ended
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Sep. 30, 2022
Fair Value Measurements |
Fair Value (Table) | ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | September 30, 2022
​ | ​ | Assets/ | ​ | Amount | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | (liabilities) | ​ | measured at | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | measured at | ​ | net asset | ​ | Fair value hierarchy level
​ |  | fair value |  | value (4) |  | Level 1 |  | Level 2 |  | Level 3
​ | ​ | (in millions)
Assets | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Fixed maturities, available-for-sale: | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
U.S. government and agencies | ​ | $ | 2,045.5 | ​ | $ | — | ​ | $ | 1,671.3 | ​ | $ | 374.2 | ​ | $ | —
Non-U.S. governments | ​ | ​ | 575.5 | ​ | ​ | — | ​ | ​ | 1.9 | ​ | ​ | 573.6 | ​ | ​ | —
States and political subdivisions | ​ | ​ | 6,416.7 | ​ | ​ | — | ​ | ​ | — | ​ | ​ | 6,345.1 | ​ | ​ | 71.6
Corporate | ​ | ​ | 36,610.1 | ​ | ​ | — | ​ | ​ | 28.8 | ​ | ​ | 35,101.8 | ​ | ​ | 1,479.5
Residential mortgage-backed pass-through securities | ​ | ​ | 1,737.8 | ​ | ​ | — | ​ | ​ | — | ​ | ​ | 1,737.8 | ​ | ​ | —
Commercial mortgage-backed securities | ​ | ​ | 4,988.3 | ​ | ​ | — | ​ | ​ | — | ​ | ​ | 4,984.9 | ​ | ​ | 3.4
Collateralized debt obligations (1) | ​ | ​ | 3,994.7 | ​ | ​ | — | ​ | ​ | — | ​ | ​ | 3,952.0 | ​ | ​ | 42.7
Other debt obligations | ​ | ​ | 6,040.5 | ​ | ​ | — | ​ | ​ | — | ​ | ​ | 5,793.1 | ​ | ​ | 247.4
Total fixed maturities, available-for-sale | ​ | ​ | 62,409.1 | ​ | ​ | — | ​ | ​ | 1,702.0 | ​ | ​ | 58,862.5 | ​ | ​ | 1,844.6
Fixed maturities, trading | ​ | ​ | 702.7 | ​ | ​ | — | ​ | ​ | 78.5 | ​ | ​ | 500.3 | ​ | ​ | 123.9
Equity securities | ​ | ​ | 1,616.2 | ​ | ​ | — | ​ | ​ | 487.7 | ​ | ​ | 1,128.5 | ​ | ​ | —
Derivative assets (2) | ​ | ​ | 373.0 | ​ | ​ | — | ​ | ​ | — | ​ | ​ | 373.0 | ​ | ​ | —
Other investments | ​ | ​ | 686.5 | ​ | ​ | 90.0 | ​ | ​ | 223.4 | ​ | ​ | 371.7 | ​ | ​ | 1.4
Cash equivalents | ​ | ​ | 2,798.9 | ​ | ​ | — | ​ | ​ | 22.9 | ​ | ​ | 2,776.0 | ​ | ​ | —
Sub-total excluding separate account assets | ​ | ​ | 68,586.4 | ​ | ​ | 90.0 | ​ | ​ | 2,514.5 | ​ | ​ | 64,012.0 | ​ | ​ | 1,969.9
Separate account assets | ​ | ​ | 146,571.4 | ​ | ​ | 9,707.6 | ​ | ​ | 87,723.2 | ​ | ​ | 48,059.2 | ​ | ​ | 1,081.4
Total assets | ​ | $ | 215,157.8 | ​ | $ | 9,797.6 | ​ | $ | 90,237.7 | ​ | $ | 112,071.2 | ​ | $ | 3,051.3
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Liabilities | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Investment and universal life contracts (3) | ​ | $ | (25.9) | ​ | $ | — | ​ | $ | — | ​ | $ | — | ​ | $ | (25.9)
Funds withheld payable embedded derivative (3) | ​ | ​ | 4,305.0 | ​ | ​ | — | ​ | ​ | — | ​ | ​ | — | ​ | ​ | 4,305.0
Derivative liabilities (2) | ​ | ​ | (716.6) | ​ | ​ | — | ​ | ​ | — | ​ | ​ | (699.2) | ​ | ​ | (17.4)
Other liabilities | ​ | ​ | (2.2) | ​ | ​ | — | ​ | ​ | — | ​ | ​ | (2.2) | ​ | ​ | —
Total liabilities | ​ | $ | 3,560.3 | ​ | $ | — | ​ | $ | — | ​ | $ | (701.4) | ​ | $ | 4,261.7
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Net assets | ​ | $ | 218,718.1 | ​ | $ | 9,797.6 | ​ | $ | 90,237.7 | ​ | $ | 111,369.8 | ​ | $ | 7,313.0
​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | December 31, 2021
​ | ​ | Assets/ | ​ | Amount | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | (liabilities) | ​ | measured at | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | measured at | ​ | net asset | ​ | Fair value hierarchy level
​ |  | fair value |  | value (4) |  | Level 1 |  | Level 2 |  | Level 3
​ | ​ | (in millions)
Assets | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Fixed maturities, available-for-sale: | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
U.S. government and agencies | ​ | $ | 2,088.6 | ​ | $ | — | ​ | $ | 1,716.5 | ​ | $ | 372.1 | ​ | $ | —
Non-U.S. governments | ​ |  | 982.0 | ​ |  | — | ​ | ​ | 0.6 | ​ | ​ | 981.4 | ​ | ​ | —
States and political subdivisions | ​ |  | 9,304.4 | ​ |  | — | ​ | ​ | — | ​ | ​ | 9,209.6 | ​ | ​ | 94.8
Corporate | ​ |  | 45,944.4 | ​ |  | — | ​ | ​ | 41.5 | ​ | ​ | 45,068.6 | ​ | ​ | 834.3
Residential mortgage-backed pass-through securities | ​ |  | 3,152.9 | ​ |  | — | ​ | ​ | — | ​ | ​ | 3,152.9 | ​ | ​ | —
Commercial mortgage-backed securities | ​ |  | 5,562.2 | ​ |  | — | ​ | ​ | — | ​ | ​ | 5,543.0 | ​ | ​ | 19.2
Collateralized debt obligations (1) | ​ |  | 3,559.6 | ​ |  | — | ​ | ​ | — | ​ | ​ | 3,473.8 | ​ | ​ | 85.8
Other debt obligations | ​ |  | 7,560.4 | ​ |  | — | ​ | ​ | — | ​ | ​ | 7,518.3 | ​ | ​ | 42.1
Total fixed maturities, available-for-sale | ​ |  | 78,154.5 | ​ |  | — | ​ | ​ | 1,758.6 | ​ | ​ | 75,319.7 | ​ | ​ | 1,076.2
Fixed maturities, trading | ​ |  | 422.2 | ​ |  | — | ​ | ​ | 0.5 | ​ | ​ | 416.8 | ​ | ​ | 4.9
Equity securities | ​ |  | 2,347.2 | ​ |  | — | ​ | ​ | 1,027.5 | ​ | ​ | 1,319.7 | ​ | ​ | —
Derivative assets (2) | ​ |  | 337.1 | ​ |  | — | ​ | ​ | — | ​ | ​ | 336.5 | ​ | ​ | 0.6
Other investments | ​ |  | 896.2 | ​ |  | 92.7 | ​ | ​ | 395.3 | ​ | ​ | 406.1 | ​ | ​ | 2.1
Cash equivalents | ​ |  | 1,117.8 | ​ |  | — | ​ | ​ | 14.2 | ​ | ​ | 1,103.6 | ​ | ​ | —
Sub-total excluding separate account assets | ​ |  | 83,275.0 | ​ |  | 92.7 | ​ | ​ | 3,196.1 | ​ | ​ | 78,902.4 | ​ | ​ | 1,083.8
Separate account assets | ​ |  | 182,345.4 | ​ |  | 8,942.9 | ​ | ​ | 115,261.7 | ​ | ​ | 57,195.5 | ​ | ​ | 945.3
Total assets | ​ | $ | 265,620.4 | ​ | $ | 9,035.6 | ​ | $ | 118,457.8 | ​ | $ | 136,097.9 | ​ | $ | 2,029.1
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Liabilities | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Investment and universal life contracts (3) | ​ | $ | (356.3) | ​ | $ | — | ​ | $ | — | ​ | $ | — | ​ | $ | (356.3)
Derivative liabilities (2) | ​ |  | (226.0) | ​ |  | — | ​ | ​ | — | ​ | ​ | (225.4) | ​ | ​ | (0.6)
Other liabilities | ​ |  | (0.7) | ​ |  | — | ​ | ​ | — | ​ | ​ | (0.7) | ​ | ​ | —
Total liabilities | ​ | $ | (583.0) | ​ | $ | — | ​ | $ | — | ​ | $ | (226.1) | ​ | $ | (356.9)
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Net assets | ​ | $ | 265,037.4 | ​ | $ | 9,035.6 | ​ | $ | 118,457.8 | ​ | $ | 135,871.8 | ​ | $ | 1,672.2
(1) | Primarily consists of collateralized loan obligations backed by secured corporate loans.
(2) | Within the consolidated statements of financial position, derivative assets are reported with other investments and derivative liabilities are reported with other liabilities. The amounts are presented gross in the tables above to reflect the presentation on the consolidated statements of financial position; however, are presented net for purposes of the rollforward in the Changes in Level 3 Fair Value Measurements tables. Refer to Note 4, Derivative Financial Instruments, for further information on fair value by class of derivative instruments.
(3) | Includes bifurcated embedded derivatives that are reported at net asset (liability) fair value within the same line item in the consolidated statements of financial position in which the host contract is reported. The funds withheld payable embedded derivative could be in either an asset or (liability) position.
(4) | Certain investments are measured at fair value using the NAV per share (or its equivalent) practical expedient and have not been classified in the fair value hierarchy. Other investments using the NAV practical expedient consist of certain fund interests that are restricted until maturity with unfunded commitments totaling $7.8 million and $10.2 million as of September 30, 2022 and December 31, 2021, respectively. Separate account assets using the NAV practical expedient consist of hedge funds and a real estate fund with varying investment strategies that also have a variety of redemption terms and conditions. We do not have unfunded commitments associated with these funds.
​
Reconciliation for All Assets and Liabilities Measured at Fair Value on a Recurring Basis Using Significant Unobservable Inputs (Table) | ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | For the three months ended September 30, 2022
​ | ​ | Beginning | ​ | ​ | ​ | ​ | ​ | ​ | ​ | Net | ​ | ​ | ​ | ​ | ​ | ​ | ​ | Ending
​ | ​ | asset/ | ​ | Total realized/unrealized | ​ | purchases, | ​ | ​ | ​ | ​ | ​ | ​ | ​ | asset/
​ | ​ | (liability) | ​ | gains (losses) | ​ | sales, | ​ | ​ | ​ | ​ | ​ | ​ | ​ | (liability)
​ | ​ | balance | ​ | ​ | ​ | Included in | ​ | issuances | ​ | ​ | ​ | ​ | ​ | ​ | ​ | balance
​ | ​ | as of | ​ | Included in | ​ | other | ​ | and | ​ | Transfers | ​ | Transfers | ​ | as of
​ | ​ | July 1, | ​ | net income | ​ | comprehensive | ​ | settlements | ​ | into | ​ | out of | ​ | September 30,
​ |  | 2022 |  | (2) |  | income (3) |  | (4) |  | Level 3 |  | Level 3 |  | 2022
​ | ​ | (in millions)
Assets | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Fixed maturities, available-for-sale: | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
States and political subdivisions | ​ | $ | 86.7 | ​ | $ | — | ​ | $ | (4.5) | ​ | $ | (0.4) | ​ | $ | — | ​ | $ | (10.2) | ​ | $ | 71.6
Corporate | ​ |  | 1,248.7 | ​ | ​ | — | ​ | ​ | (1.5) | ​ | ​ | 232.3 | ​ | ​ | — | ​ | ​ | — | ​ | ​ | 1,479.5
Commercial mortgage-backed securities | ​ |  | 3.8 | ​ | ​ | — | ​ | ​ | (0.3) | ​ | ​ | (0.1) | ​ | ​ | — | ​ | ​ | — | ​ | ​ | 3.4
Collateralized debt obligations | ​ |  | 1.3 | ​ | ​ | — | ​ | ​ | (0.7) | ​ | ​ | 42.1 | ​ | ​ | — | ​ | ​ | — | ​ | ​ | 42.7
Other debt obligations | ​ |  | 20.8 | ​ | ​ | — | ​ | ​ | (11.5) | ​ | ​ | 239.1 | ​ | ​ | — | ​ | ​ | (1.0) | ​ | ​ | 247.4
Total fixed maturities, available-for-sale | ​ | ​ | 1,361.3 | ​ | ​ | — | ​ | ​ | (18.5) | ​ | ​ | 513.0 | ​ | ​ | — | ​ | ​ | (11.2) | ​ | ​ | 1,844.6
Fixed maturities, trading | ​ | ​ | 85.7 | ​ | ​ | 0.1 | ​ | ​ | — | ​ | ​ | 38.1 | ​ | ​ | — | ​ | ​ | — | ​ | ​ | 123.9
Other investments | ​ |  | 1.4 | ​ | ​ | — | ​ | ​ | — | ​ | ​ | — | ​ | ​ | — | ​ | ​ | — | ​ | ​ | 1.4
Separate account assets (1) | ​ |  | 1,058.6 | ​ | ​ | 23.1 | ​ | ​ | — | ​ | ​ | (0.3) | ​ | ​ | — | ​ | ​ | — | ​ | ​ | 1,081.4
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Liabilities | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Investment and universal life contracts | ​ |  | (75.5) | ​ | ​ | 46.2 | ​ | ​ | — | ​ | ​ | 3.4 | ​ | ​ | — | ​ | ​ | — | ​ | ​ | (25.9)
Funds withheld payable embedded derivative | ​ | ​ | 3,067.3 | ​ | ​ | 1,237.7 | ​ | ​ | — | ​ | ​ | — | ​ | ​ | — | ​ | ​ | — | ​ | ​ | 4,305.0
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Derivatives | ​ |  | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Net derivative assets (liabilities) | ​ |  | (0.2) | ​ | ​ | (17.7) | ​ | ​ | — | ​ | ​ | 0.5 | ​ | ​ | — | ​ | ​ | — | ​ | ​ | (17.4)
​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | For the three months ended September 30, 2021
​ | ​ | Beginning | ​ | ​ | ​ | ​ | ​ | ​ | ​ | Net | ​ | ​ | ​ | ​ | ​ | ​ | ​ | Ending
​ | ​ | asset/ | ​ | Total realized/unrealized | ​ | purchases, | ​ | ​ | ​ | ​ | ​ | ​ | ​ | asset/
​ | ​ | (liability) | ​ | gains (losses) | ​ | sales, | ​ | ​ | ​ | ​ | ​ | ​ | ​ | (liability)
​ | ​ | balance | ​ | ​ | ​ | Included in | ​ | issuances | ​ | ​ | ​ | ​ | ​ | ​ | ​ | balance
​ | ​ | as of | ​ | Included in | ​ | other | ​ | and | ​ | Transfers | ​ | Transfers | ​ | as of
​ | ​ | July 1, | ​ | net income | ​ | comprehensive | ​ | settlements | ​ | into | ​ | out of | ​ | September 30,
​ |  | 2021 |  | (2) |  | income (3) |  | (4) |  | Level 3 |  | Level 3 |  | 2021
​ | ​ | (in millions)
Assets | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Fixed maturities, available-for-sale: | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Corporate | ​ | $ | 549.0 | ​ | $ | (7.8) | ​ | $ | 10.5 | ​ | $ | 229.0 | ​ | $ | 25.1 | ​ | $ | — | ​ | $ | 805.8
Commercial mortgage-backed securities | ​ |  | 11.6 | ​ | ​ | — | ​ | ​ | (0.1) | ​ | ​ | 2.7 | ​ | ​ | — | ​ | ​ | — | ​ | ​ | 14.2
Collateralized debt obligations | ​ |  | 195.6 | ​ | ​ | — | ​ | ​ | — | ​ | ​ | 27.6 | ​ | ​ | — | ​ | ​ | (172.8) | ​ | ​ | 50.4
Other debt obligations | ​ |  | 61.4 | ​ | ​ | — | ​ | ​ | (0.2) | ​ | ​ | (14.0) | ​ | ​ | — | ​ | ​ | (25.0) | ​ | ​ | 22.2
Total fixed maturities, available-for-sale | ​ |  | 817.6 | ​ | ​ | (7.8) | ​ | ​ | 10.2 | ​ | ​ | 245.3 | ​ | ​ | 25.1 | ​ | ​ | (197.8) | ​ | ​ | 892.6
Other investments | ​ |  | 44.5 | ​ | ​ | (0.1) | ​ | ​ | (0.6) | ​ | ​ | (41.1) | ​ | ​ | — | ​ | ​ | — | ​ | ​ | 2.7
Separate account assets (1) | ​ |  | 1,217.4 | ​ | ​ | 71.0 | ​ | ​ | — | ​ | ​ | (21.1) | ​ | ​ | — | ​ | ​ | — | ​ | ​ | 1,267.3
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Liabilities | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Investment and universal life contracts | ​ |  | (281.6) | ​ | ​ | (80.4) | ​ | ​ | 0.1 | ​ | ​ | 6.6 | ​ | ​ | — | ​ | ​ | — | ​ | ​ | (355.3)
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Derivatives | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Net derivative assets (liabilities) | ​ |  | (8.9) | ​ | ​ | (1.8) | ​ | ​ | — | ​ | ​ | 10.7 | ​ | ​ | — | ​ | ​ | — | ​ | ​ | —
​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | For the nine months ended September 30, 2022
​ | ​ | Beginning | ​ | ​ | ​ | ​ | ​ | ​ | ​ | Net | ​ | ​ | ​ | ​ | ​ | ​ | ​ | Ending
​ | ​ | asset/ | ​ | Total realized/unrealized | ​ | purchases, | ​ | ​ | ​ | ​ | ​ | ​ | ​ | asset/
​ | ​ | (liability) | ​ | gains (losses) | ​ | sales, | ​ | ​ | ​ | ​ | ​ | ​ | ​ | (liability)
​ | ​ | balance | ​ | Included | ​ | Included in | ​ | issuances | ​ | ​ | ​ | ​ | ​ | ​ | ​ | balance
​ | ​ | as of | ​ | in net | ​ | other | ​ | and | ​ | Transfers | ​ | Transfers | ​ | as of
​ | ​ | January 1, | ​ | income | ​ | comprehensive | ​ | settlements | ​ | into | ​ | out of | ​ | September 30,
​ |  | 2022 |  | (2) |  | income (3) |  | (4) |  | Level 3 |  | Level 3 |  | 2022
​ | ​ | (in millions)
Assets | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Fixed maturities, available-for-sale: | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
States and political subdivisions | ​ | $ | 94.8 | ​ | $ | — | ​ | $ | (23.8) | ​ | $ | (1.2) | ​ | $ | 12.0 | ​ | $ | (10.2) | ​ | $ | 71.6
Corporate | ​ | ​ | 834.3 | ​ | ​ | (3.4) | ​ | ​ | (28.1) | ​ | ​ | 500.4 | ​ | ​ | 176.3 | ​ | ​ | — | ​ | ​ | 1,479.5
Commercial mortgage-backed securities | ​ |  | 19.2 | ​ | ​ | — | ​ | ​ | (1.0) | ​ | ​ | (4.6) | ​ | ​ | — | ​ | ​ | (10.2) | ​ | ​ | 3.4
Collateralized debt obligations | ​ |  | 85.8 | ​ | ​ | — | ​ | ​ | (1.4) | ​ | ​ | 97.6 | ​ | ​ | — | ​ | ​ | (139.3) | ​ | ​ | 42.7
Other debt obligations | ​ |  | 42.1 | ​ | ​ | — | ​ | ​ | (12.1) | ​ | ​ | 238.4 | ​ | ​ | — | ​ | ​ | (21.0) | ​ | ​ | 247.4
Total fixed maturities, available-for-sale | ​ |  | 1,076.2 | ​ | ​ | (3.4) | ​ | ​ | (66.4) | ​ | ​ | 830.6 | ​ | ​ | 188.3 | ​ | ​ | (180.7) | ​ | ​ | 1,844.6
Fixed maturities, trading | ​ |  | 4.9 | ​ | ​ | (0.4) | ​ | ​ | — | ​ | ​ | 90.4 | ​ | ​ | 29.0 | ​ | ​ | — | ​ | ​ | 123.9
Other investments | ​ |  | 2.1 | ​ | ​ | — | ​ | ​ | (0.7) | ​ | ​ | — | ​ | ​ | — | ​ | ​ | — | ​ | ​ | 1.4
Separate account assets (1) | ​ |  | 945.3 | ​ | ​ | 138.8 | ​ | ​ | — | ​ | ​ | (2.7) | ​ | ​ | — | ​ | ​ | — | ​ | ​ | 1,081.4
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Liabilities | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Investment and universal life contracts | ​ |  | (356.3) | ​ | ​ | 314.4 | ​ | ​ | 0.2 | ​ | ​ | 15.8 | ​ | ​ | — | ​ | ​ | — | ​ | ​ | (25.9)
Funds withheld payable embedded derivative | ​ | ​ | — | ​ | ​ | 4,305.0 | ​ | ​ | — | ​ | ​ | — | ​ | ​ | — | ​ | ​ | — | ​ | ​ | 4,305.0
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Derivatives | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Net derivative assets (liabilities) | ​ |  | — | ​ | ​ | (19.7) | ​ | ​ | (0.3) | ​ | ​ | 2.9 | ​ | ​ | — | ​ | ​ | (0.3) | ​ | ​ | (17.4)
​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | For the nine months ended September 30, 2021
​ | ​ | Beginning | ​ | ​ | ​ | ​ | ​ | ​ | ​ | Net | ​ | ​ | ​ | ​ | ​ | ​ | ​ | Ending
​ | ​ | asset/ | ​ | Total realized/unrealized | ​ | purchases, | ​ | ​ | ​ | ​ | ​ | ​ | ​ | asset/
​ | ​ | (liability) | ​ | gains (losses) | ​ | sales, | ​ | ​ | ​ | ​ | ​ | ​ | ​ | (liability)
​ | ​ | balance | ​ | Included | ​ | Included in | ​ | issuances | ​ | ​ | ​ | ​ | ​ | ​ | ​ | balance
​ | ​ | as of | ​ | in net | ​ | other | ​ | and | ​ | Transfers | ​ | Transfers | ​ | as of
​ | ​ | January 1, | ​ | income | ​ | comprehensive | ​ | settlements | ​ | into | ​ | out of | ​ | September 30,
​ |  | 2021 |  | (2) |  | income (3) |  | (4) |  | Level 3 |  | Level 3 |  | 2021
​ | ​ | (in millions)
Assets | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Fixed maturities, available-for-sale: | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Corporate | ​ | $ | 290.8 | ​ | $ | (12.7) | ​ | $ | 5.8 | ​ | $ | 354.3 | ​ | $ | 167.6 | ​ | $ | — | ​ | $ | 805.8
Commercial mortgage-backed securities | ​ |  | 13.2 | ​ | ​ | (1.0) | ​ | ​ | (0.6) | ​ | ​ | 2.6 | ​ | ​ | — | ​ | ​ | — | ​ | ​ | 14.2
Collateralized debt obligations | ​ |  | 27.2 | ​ | ​ | (2.0) | ​ | ​ | 1.8 | ​ | ​ | 337.5 | ​ | ​ | 84.1 | ​ | ​ | (398.2) | ​ | ​ | 50.4
Other debt obligations | ​ |  | 29.2 | ​ | ​ | — | ​ | ​ | 0.6 | ​ | ​ | (3.2) | ​ | ​ | 20.6 | ​ | ​ | (25.0) | ​ | ​ | 22.2
Total fixed maturities, available-for-sale | ​ |  | 360.4 | ​ | ​ | (15.7) | ​ | ​ | 7.6 | ​ | ​ | 691.2 | ​ | ​ | 272.3 | ​ | ​ | (423.2) | ​ | ​ | 892.6
Other investments | ​ |  | 31.9 | ​ | ​ | 12.5 | ​ | ​ | (0.6) | ​ | ​ | (41.1) | ​ | ​ | — | ​ | ​ | — | ​ | ​ | 2.7
Separate account assets (1) | ​ |  | 8,893.2 | ​ | ​ | 215.6 | ​ | ​ | — | ​ | ​ | (7,841.5) | ​ | ​ | — | ​ | ​ | — | ​ | ​ | 1,267.3
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Liabilities | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Investment and universal life contracts | ​ |  | (467.8) | ​ | ​ | 89.3 | ​ | ​ | 0.2 | ​ | ​ | 23.0 | ​ | ​ | — | ​ | ​ | — | ​ | ​ | (355.3)
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Derivatives | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Net derivative assets (liabilities) | ​ |  | (5.1) | ​ | ​ | (6.2) | ​ | ​ | — | ​ | ​ | 11.3 | ​ | ​ | — | ​ | ​ | — | ​ | ​ | —
(1) | Gains and losses for separate account assets do not impact net income as the change in value of separate account assets is offset by a change in value of separate account liabilities. Foreign currency translation adjustments related to the Principal International segment separate account assets are recorded in AOCI and are offset by foreign currency translation adjustments of the corresponding separate account liabilities.
(2) | Both realized gains (losses) and mark-to-market unrealized gains (losses) are generally reported in net realized capital gains (losses), net realized capital gains (losses) on funds withheld assets or change in fair value of funds withheld embedded derivative within the consolidated statements of operations. Realized and unrealized gains (losses) on certain securities with an investment objective to realize economic value through mark-to-market changes are reported in net investment income within the consolidated statements of operations. Changes in unrealized gains (losses) included in net income relating to positions still held were:
​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | For the three months ended | ​ | For the nine months ended
​ | ​ | September 30, | ​ | September 30,
​ |  | 2022 |  | 2021 |  | 2022 |  | 2021
​ | ​ | (in millions)
Assets | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ |  | ​ | ​ |
Fixed maturities, available-for-sale: | ​ | ​ | ​ | ​ | ​ | ​ |  | ​ |  |  | ​ |
Corporate | ​ | $ | — | ​ | $ | (7.8) | ​ | $ | — | ​ | $ | (12.6)
Collateralized debt obligations | ​ | ​ | — | ​ | ​ | — | ​ | ​ | — | ​ | ​ | (2.0)
Total fixed maturities, available-for-sale | ​ | ​ | — | ​ | ​ | (7.8) | ​ |  | — | ​ |  | (14.6)
Fixed maturities, trading | ​ | ​ | (0.4) | ​ | ​ | — | ​ | ​ | (0.4) | ​ | ​ | —
Other investments | ​ | ​ | — | ​ | ​ | (0.1) | ​ |  | — | ​ |  | 12.6
Separate account assets | ​ | ​ | 13.1 | ​ | ​ | 71.5 | ​ |  | 126.0 | ​ |  | 215.6
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Liabilities | ​ | ​ | ​ | ​ | ​ | ​ | ​ |  | ​ | ​ |  | ​
Investment and universal life contracts | ​ | ​ | 44.7 | ​ | ​ | (76.4) | ​ |  | 303.8 | ​ |  | 86.1
Funds withheld payable embedded derivative | ​ | ​ | 1,237.7 | ​ | ​ | — | ​ | ​ | 4,305.0 | ​ | ​ | —
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Derivatives | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Net derivative assets (liabilities) | ​ | ​ | (22.9) | ​ | ​ | (0.7) | ​ | ​ | (17.3) | ​ | ​ | (0.6)
​
(3) | Changes in unrealized gains (losses) included in OCI, including foreign currency translation adjustments related to our Principal International segment, relating to positions still held were:
​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | For the three months ended | ​ | For the nine months ended
​ | ​ | September 30, | ​ | September 30,
​ |  | 2022 |  | 2021 |  | 2022 |  | 2021
​ | ​ | (in millions)
Assets |  | ​ |  | ​ | ​ | ​ |  | ​ |  | ​ | ​ | ​
Fixed maturities, available-for-sale: | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
States and political subdivisions | ​ | $ | (4.4) | ​ | $ | — | ​ | $ | (22.0) | ​ | $ | —
Corporate | ​ | ​ | (1.7) | ​ | ​ | 10.6 | ​ | ​ | (29.8) | ​ | ​ | 4.4
Commercial mortgage-backed securities | ​ | ​ | (0.3) | ​ | ​ | (0.2) | ​ | ​ | (0.6) | ​ | ​ | (0.6)
Collateralized debt obligations | ​ | ​ | (0.8) | ​ | ​ | — | ​ | ​ | (1.3) | ​ | ​ | 2.1
Other debt obligations | ​ | ​ | (11.5) | ​ | ​ | — | ​ | ​ | (11.5) | ​ | ​ | —
Total fixed maturities, available-for-sale | ​ | ​ | (18.7) | ​ | ​ | 10.4 | ​ | ​ | (65.2) | ​ | ​ | 5.9
Other investments | ​ | ​ | — | ​ | ​ | (0.6) | ​ | ​ | — | ​ | ​ | (0.6)
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Liabilities | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Investment and universal life contracts | ​ | ​ | — | ​ | ​ | 0.1 | ​ | ​ | 0.2 | ​ | ​ | 0.2
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Derivatives | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Net derivative assets (liabilities) | ​ | ​ | — | ​ | ​ | — | ​ | ​ | (0.2) | ​ | ​ | —
​
(4) | Gross purchases, sales, issuances and settlements were:
​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | For the three months ended September 30, 2022
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | Net purchases,
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | sales, issuances
​ |  | Purchases |  | Sales |  | Issuances | ​ | Settlements |  | and settlements
​ | ​ | (in millions)
Assets | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Fixed maturities, available-for-sale: | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
States and political subdivisions | ​ | $ | — | ​ | $ | — | ​ | $ | — | ​ | $ | (0.4) | ​ | $ | (0.4)
Corporate | ​ | ​ | 308.2 | ​ | ​ | (11.2) | ​ | ​ | — | ​ | ​ | (64.7) | ​ | ​ | 232.3
Commercial mortgage-backed securities | ​ | ​ | — | ​ | ​ | — | ​ | ​ | — | ​ | ​ | (0.1) | ​ | ​ | (0.1)
Collateralized debt obligations | ​ | ​ | 42.1 | ​ | ​ | — | ​ | ​ | — | ​ | ​ | — | ​ | ​ | 42.1
Other debt obligations | ​ | ​ | 242.0 | ​ | ​ | — | ​ | ​ | — | ​ | ​ | (2.9) | ​ | ​ | 239.1
Total fixed maturities, available-for-sale | ​ | ​ | 592.3 | ​ | ​ | (11.2) | ​ | ​ | — | ​ | ​ | (68.1) | ​ | ​ | 513.0
Fixed maturities, trading | ​ | ​ | 38.1 | ​ | ​ | — | ​ | ​ | — | ​ | ​ | — | ​ | ​ | 38.1
Separate account assets (5) | ​ | ​ | — | ​ | ​ | — | ​ | ​ | (0.1) | ​ | ​ | (0.2) | ​ | ​ | (0.3)
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Liabilities | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Investment and universal life contracts | ​ | ​ | — | ​ | ​ | — | ​ | ​ | 0.1 | ​ | ​ | 3.3 | ​ | ​ | 3.4
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Derivatives | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Net derivative assets (liabilities) | ​ | ​ | — | ​ | ​ | 0.5 | ​ | ​ | — | ​ | ​ | — | ​ | ​ | 0.5
​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | For the three months ended September 30, 2021
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | Net purchases,
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | sales, issuances
​ |  | Purchases |  | Sales |  | Issuances | ​ | Settlements |  | and settlements
​ | ​ | (in millions)
Assets | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Fixed maturities, available-for-sale: | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Corporate | ​ | $ | 268.5 | ​ | $ | (3.4) | ​ | $ | — | ​ | $ | (36.1) | ​ | $ | 229.0
Commercial mortgage-backed securities | ​ | ​ | 2.7 | ​ | ​ | — | ​ | ​ | — | ​ | ​ | — | ​ | ​ | 2.7
Collateralized debt obligations | ​ | ​ | 27.6 | ​ | ​ | — | ​ | ​ | — | ​ | ​ | — | ​ | ​ | 27.6
Other debt obligations | ​ | ​ | — | ​ | ​ | — | ​ | ​ | — | ​ | ​ | (14.0) | ​ | ​ | (14.0)
Total fixed maturities, available-for-sale | ​ | ​ | 298.8 | ​ | ​ | (3.4) | ​ | ​ | — | ​ | ​ | (50.1) | ​ | ​ | 245.3
Other investments | ​ | ​ | — | ​ | ​ | (41.1) | ​ | ​ | — | ​ | ​ | — | ​ | ​ | (41.1)
Separate account assets (5) | ​ | ​ | — | ​ | ​ | (2.0) | ​ | ​ | (34.4) | ​ | ​ | 15.3 | ​ | ​ | (21.1)
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Liabilities | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Investment and universal life contracts | ​ | ​ | — | ​ | ​ | — | ​ | ​ | (3.5) | ​ | ​ | 10.1 | ​ | ​ | 6.6
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Derivatives | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Net derivative assets (liabilities) | ​ | ​ | — | ​ | ​ | 10.7 | ​ | ​ | — | ​ | ​ | — | ​ | ​ | 10.7
​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | For the nine months ended September 30, 2022
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | Net purchases,
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | sales, issuances
​ |  | Purchases |  | Sales |  | Issuances | ​ | Settlements |  | and settlements
​ | ​ | (in millions)
Assets | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Fixed maturities, available-for-sale: | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
States and political subdivisions | ​ | $ | — | ​ | $ | — | ​ | $ | — | ​ | $ | (1.2) | ​ | $ | (1.2)
Corporate | ​ | ​ | 659.1 | ​ | ​ | (36.5) | ​ | ​ | — | ​ | ​ | (122.2) | ​ | ​ | 500.4
Commercial mortgage-backed securities | ​ | ​ | — | ​ | ​ | (4.2) | ​ | ​ | — | ​ | ​ | (0.4) | ​ | ​ | (4.6)
Collateralized debt obligations | ​ | ​ | 97.6 | ​ | ​ | — | ​ | ​ | — | ​ | ​ | — | ​ | ​ | 97.6
Other debt obligations | ​ | ​ | 242.0 | ​ | ​ | — | ​ | ​ | — | ​ | ​ | (3.6) | ​ | ​ | 238.4
Total fixed maturities, available-for-sale | ​ | ​ | 998.7 | ​ | ​ | (40.7) | ​ | ​ | — | ​ | ​ | (127.4) | ​ | ​ | 830.6
Fixed maturities, trading | ​ | ​ | 90.6 | ​ | ​ | — | ​ | ​ | — | ​ | ​ | (0.2) | ​ | ​ | 90.4
Separate account assets (5) | ​ | ​ | — | ​ | ​ | — | ​ | ​ | (2.0) | ​ | ​ | (0.7) | ​ | ​ | (2.7)
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Liabilities | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Investment and universal life contracts | ​ | ​ | — | ​ | ​ | — | ​ | ​ | (7.0) | ​ | ​ | 22.8 | ​ | ​ | 15.8
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Derivatives | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Net derivative assets (liabilities) | ​ | ​ | — | ​ | ​ | 2.9 | ​ | ​ | — | ​ | ​ | — | ​ | ​ | 2.9
​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | For the nine months ended September 30, 2021
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | Net purchases,
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | sales, issuances
​ |  | Purchases |  | Sales |  | Issuances | ​ | Settlements |  | and settlements
​ | ​ | (in millions)
Assets | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Fixed maturities, available-for-sale: | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Corporate | ​ | $ | 469.3 | ​ | $ | (14.3) | ​ | $ | — | ​ | $ | (100.7) | ​ | $ | 354.3
Commercial mortgage-backed securities | ​ | ​ | 2.7 | ​ | ​ | — | ​ | ​ | — | ​ | ​ | (0.1) | ​ | ​ | 2.6
Collateralized debt obligations | ​ | ​ | 362.0 | ​ | ​ | — | ​ | ​ | — | ​ | ​ | (24.5) | ​ | ​ | 337.5
Other debt obligations | ​ | ​ | 25.1 | ​ | ​ | — | ​ | ​ | — | ​ | ​ | (28.3) | ​ | ​ | (3.2)
Total fixed maturities, available-for-sale | ​ | ​ | 859.1 | ​ | ​ | (14.3) | ​ | ​ | — | ​ | ​ | (153.6) | ​ | ​ | 691.2
Other investments | ​ | ​ | — | ​ | ​ | (41.1) | ​ | ​ | — | ​ | ​ | — | ​ | ​ | (41.1)
Separate account assets (5) | ​ | ​ | 36.7 | ​ | ​ | (7,795.2) | ​ | ​ | (175.4) | ​ | ​ | 92.4 | ​ | ​ | (7,841.5)
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Liabilities | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Investment and universal life contracts | ​ | ​ | — | ​ | ​ | — | ​ | ​ | (11.7) | ​ | ​ | 34.7 | ​ | ​ | 23.0
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Derivatives | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Net derivative assets (liabilities) | ​ | ​ | — | ​ | ​ | 11.3 | ​ | ​ | — | ​ | ​ | — | ​ | ​ | 11.3
​
(5) | Issuances and settlements include amounts related to mortgage encumbrances associated with real estate in our separate accounts.
Transfers (Table) | ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | For the three months ended September 30, 2022
​ |  | Transfers out |  | Transfers out |  | Transfers out |  | Transfers out
​ | ​ | of Level 1 into | ​ | of Level 2 into | ​ | of Level 3 into | ​ | of Level 3 into
​ | ​ | Level 3 | ​ | Level 3 | ​ | Level 1 | ​ | Level 2
​ | ​ | (in millions)
Assets | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Fixed maturities, available-for-sale: | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
States and political subdivisions | ​ | $ | — | ​ | $ | — | ​ | $ | — | ​ | $ | 10.2
Other debt obligations | ​ | ​ | — | ​ | ​ | — | ​ | ​ | — | ​ | ​ | 1.0
Total fixed maturities, available-for-sale | ​ | ​ | — | ​ | ​ | — | ​ | ​ | — | ​ | ​ | 11.2
​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | For the three months ended September 30, 2021
​ |  | Transfers out |  | Transfers out |  | Transfers out |  | Transfers out
​ | ​ | of Level 1 into | ​ | of Level 2 into | ​ | of Level 3 into | ​ | of Level 3 into
​ | ​ | Level 3 | ​ | Level 3 | ​ | Level 1 | ​ | Level 2
​ | ​ | (in millions)
Assets | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Fixed maturities, available-for-sale: | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Corporate | ​ | $ | — | ​ | $ | 25.1 | ​ | $ | — | ​ | $ | —
Collateralized debt obligations | ​ | ​ | — | ​ | ​ | — | ​ | ​ | — | ​ | ​ | 172.8
Other debt obligations | ​ | ​ | — | ​ | ​ | — | ​ | ​ | — | ​ | ​ | 25.0
Total fixed maturities, available-for-sale | ​ | ​ | — | ​ | ​ | 25.1 | ​ | ​ | — | ​ | ​ | 197.8
​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | For the nine months ended September 30, 2022
​ |  | Transfers out |  | Transfers out |  | Transfers out |  | Transfers out
​ | ​ | of Level 1 into | ​ | of Level 2 into | ​ | of Level 3 into | ​ | of Level 3 into
​ | ​ | Level 3 | ​ | Level 3 | ​ | Level 1 | ​ | Level 2
​ | ​ | (in millions)
Assets | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Fixed maturities, available-for-sale: | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
States and political subdivisions | ​ | $ | — | ​ | $ | 12.0 | ​ | $ | — | ​ | $ | 10.2
Corporate | ​ | ​ | — | ​ | ​ | 176.3 | ​ | ​ | — | ​ | ​ | —
Commercial mortgage-backed securities | ​ | ​ | — | ​ | ​ | — | ​ | ​ | — | ​ | ​ | 10.2
Collateralized debt obligations | ​ | ​ | — | ​ | ​ | — | ​ | ​ | — | ​ | ​ | 139.3
Other debt obligations | ​ | ​ | — | ​ | ​ | — | ​ | ​ | — | ​ | ​ | 21.0
Total fixed maturities, available-for-sale | ​ | ​ | — | ​ | ​ | 188.3 | ​ | ​ | — | ​ | ​ | 180.7
Fixed maturities, trading | ​ | ​ | — | ​ | ​ | 29.0 | ​ | ​ | — | ​ | ​ | —
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Derivatives | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Net derivative assets (liabilities) | ​ | ​ | — | ​ | ​ | — | ​ | ​ | — | ​ | ​ | 0.3
​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | For the nine months ended September 30, 2021
​ |  | Transfers out |  | Transfers out |  | Transfers out |  | Transfers out
​ | ​ | of Level 1 into | ​ | of Level 2 into | ​ | of Level 3 into | ​ | of Level 3 into
​ | ​ | Level 3 | ​ | Level 3 | ​ | Level 1 | ​ | Level 2
​ | ​ | (in millions)
Assets | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Fixed maturities, available-for-sale: | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Corporate | ​ | $ | — | ​ | $ | 167.6 | ​ | $ | — | ​ | $ | —
Collateralized debt obligations | ​ | ​ | — | ​ | ​ | 84.1 | ​ | ​ | — | ​ | ​ | 398.2
Other debt obligations | ​ | ​ | — | ​ | ​ | 20.6 | ​ | ​ | — | ​ | ​ | 25.0
Total fixed maturities, available-for-sale | ​ |  | — | ​ |  | 272.3 | ​ |  | — | ​ |  | 423.2
​
Quantitative Information about Level 3 Fair Value Measurements (Table) | ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | September 30, 2022
​ |  | Assets / |  | ​ |  | ​ |  | ​ |  | ​ |  |  | ​ | ​
​ | ​ | (liabilities) | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | measured at | ​ | Valuation | ​ | Unobservable | ​ | Input/range of | ​ | Weighted
​ | ​ | fair value | ​ | technique(s) | ​ | input description | ​ | inputs | ​ | average
​ | ​ | (in millions) | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Assets | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Fixed maturities, available-for-sale:
Corporate | ​ | $ | 1,474.0 |  | Discounted cash flow |  | Discount rate (1) | ​ | 5.7 | % - | 17.6 | % | ​ | 9.8 | %
​ | ​ | ​ | ​ | ​ | ​ |  | Illiquidity premium |  | 0 | basis points (“bps”)- | 517 | bps | ​ | 53 | bps
Other debt obligations | ​ |  | 247.4 |  | Discounted cash flow |  | Discount rate (1) |  | 6.2 | % - | 9.5 | % | ​ | 8.0 | %
​ | ​ | ​ | ​ | ​ | ​ |  | Illiquidity premium |  | 0 | bps- | 361 | bps | ​ | 229 | bps
​ | ​ | ​ | ​ | ​ | ​ | ​ | Comparability adjustment | ​ | ​ | ​ | 35 | bps | ​ | 35 | bps
Fixed maturities, trading | ​ | ​ | 123.9 | ​ | Discounted cash flow | ​ | Discount rate (1) | ​ | 7.5 | % - | 15.7 | % | ​ | 10.3 | %
Separate account assets | ​ |  | 1,081.7 |  | Discounted cash flow - mortgage loans |  | Discount rate (1) |  | ​ | ​ | 4.9 | % | ​ | 4.9 | %
​ | ​ | ​ | ​ | ​ | ​ |  | Credit spread rate |  | ​ | ​ | 143 | bps | ​ | 143 | bps
​ | ​ | ​ | ​ |  | Discounted cash flow - real estate |  | Discount rate (1) |  | 5.5 | % - | 10.0 | % | ​ | 6.8 | %
​ | ​ | ​ | ​ | ​ | ​ |  | Terminal capitalization rate |  | 4.3 | % - | 9.3 | % | ​ | 5.5 | %
​ | ​ | ​ | ​ | ​ | ​ |  | Average market rent growth rate |  | 2.0 | % - | 3.9 | % | ​ | 3.0 | %
​ | ​ | ​ | ​ |  | Discounted cash flow - real estate debt |  | Loan to value |  | 40.3 | % - | 56.3 | % | ​ | 45.2 | %
​ | ​ | ​ | ​ | ​ | ​ |  | Market interest rate |  | 4.6 | % - | 7.0 | % | ​ | 5.8 | %
​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Liabilities |  | ​ |  | ​ |  | ​ |  | ​ |  |  | ​ |
Investment and universal life contracts (6) | ​ | ​ | (25.9) |  | Discounted cash flow |  | Long duration interest rate | ​ | 2.0 | % - | 4.1 | % | (3) | 3.3 | %
​ | ​ | ​ | ​ | ​ | ​ |  | Long-term equity market volatility |  | 18.1 | % - | 41.1 | % | ​ | 22.0 | %
​ | ​ | ​ | ​ | ​ | ​ |  | Nonperformance risk |  | 0.8 | % - | 2.1 | % | ​ | 1.6 | %
​ | ​ | ​ | ​ | ​ | ​ |  | Utilization rate |  | See note (4) | ​ | ​ | ​
​ | ​ | ​ | ​ | ​ | ​ |  | Lapse rate |  | 0.0 | % - | 19.4 | % | ​ | 7.9 | %
​ | ​ | ​ | ​ | ​ | ​ |  | Mortality rate |  | See note (5) | ​ | ​ | ​
​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | December 31, 2021 | ​
​ |  | Assets / |  | ​ |  | ​ |  | ​ | ​ | ​ | ​ | ​ |  | ​ | ​
​ | ​ | (liabilities) | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | measured at | ​ | Valuation | ​ | Unobservable | ​ | Input/range of | ​ | Weighted
​ | ​ | fair value | ​ | technique(s) | ​ | input description | ​ | inputs | ​ | average
​ | ​ | (in millions) | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Assets | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Fixed maturities, available-for-sale:
Corporate | ​ | $ | 829.9 |  | Discounted cash flow |  | Discount rate (1) |  | ​ | 0.9 | % - | 15.5 | % | ​ | 6.8 | %
​ | ​ | ​ | ​ | ​ | ​ | ​ | Illiquidity premium | ​ | ​ | 0 | bps- | 70 | bps | ​ | 6 | bps
​ | ​ | ​ | ​ | ​ | Market comparables | ​ | Potential loss severity | ​ | ​ | ​ | ​ | 39.4 | % | ​ | 39.4 | %
​ | ​ | ​ | ​ | ​ | ​ |  | Probability of default |  | ​ | ​ | ​ | 100.0 | % | ​ | 100.0 | %
Commercial mortgage-backed securities | ​ |  | 3.5 |  | Discounted cash flow |  | Discount rate (1) | ​ | ​ | ​ | ​ | 3.7 | % | ​ | 3.7 | %
Collateralized debt obligations | ​ |  | 45.9 |  | Discounted cash flow |  | Discount rate (1) | ​ | ​ | 3.0 | % - | 5.3 | % | ​ | 4.0 | %
​ | ​ | ​ | ​ | ​ | ​ | ​ | Illiquidity premium | ​ | ​ | 0 | bps- | 385 | bps | ​ | 255 | bps
Other debt obligations | ​ |  | 22.1 |  | Discounted cash flow |  | Discount rate (1) |  | ​ | 3.0 | % - | 10.0 | % | ​ | 3.3 | %
​ | ​ | ​ | ​ | ​ | ​ |  | Illiquidity premium |  | ​ | 225 | bps- | 500 | bps | ​ | 237 | bps
Fixed maturities, trading | ​ | ​ | 4.9 | ​ | Discounted cash flow | ​ | Discount rate (1) | ​ | ​ | ​ | ​ | 7.5 | % | ​ | 7.5 | %
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Other investments | ​ |  | 0.6 | ​ | Market comparables - other investments |  | Revenue multiples (2) |  | ​ | 6.8 | x - | 9.1 | x | ​ | 8.0 | x
Separate account assets | ​ |  | 946.0 |  | Discounted cash flow - mortgage loans |  | Discount rate (1) |  | ​ | ​ | ​ | 1.4 | % | ​ | 1.4 | %
​ | ​ | ​ | ​ | ​ | ​ |  | Credit spread rate |  | ​ | ​ | ​ | 120 | bps | ​ | 120 | bps
​ | ​ | ​ | ​ |  | Discounted cash flow - real estate |  | Discount rate (1) |  | ​ | 5.3 | % - | 10.0 | % | ​ | 6.6 | %
​ | ​ | ​ | ​ | ​ | ​ |  | Terminal capitalization rate |  | ​ | 4.3 | % - | 9.3 | % | ​ | 5.6 | %
​ | ​ | ​ | ​ | ​ | ​ |  | Average market rent growth rate |  | ​ | 1.6 | % - | 3.6 | % | ​ | 2.7 | %
​ | ​ | ​ | ​ |  | Discounted cash flow - real estate debt |  | Loan to value |  | ​ | 40.1 | % - | 58.5 | % | ​ | 46.0 | %
​ | ​ | ​ | ​ | ​ | ​ |  | Market interest rate |  | ​ | 2.5 | % - | 3.1 | % | ​ | 2.7 | %
​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Liabilities |  | ​ | ​ |  | ​ |  | ​ |  | ​ | ​ | ​ |  |  | ​
Investment and universal life contracts (6) | ​ |  | (356.3) |  | Discounted cash flow |  | Long duration interest rate |  | ​ | 1.8 | % - | 1.9 | % | (3) | 1.9 | %
​ | ​ | ​ | ​ | ​ | ​ |  | Long-term equity market volatility |  | ​ | 18.0 | % - | 32.5 | % | ​ | 22.1 | %
​ | ​ | ​ | ​ | ​ | ​ |  | Nonperformance risk |  | ​ | 0.3 | % - | 1.1 | % | ​ | 0.9 | %
​ | ​ | ​ | ​ | ​ | ​ |  | Utilization rate |  | ​ | See note (4) | ​ | ​
​ | ​ | ​ | ​ | ​ | ​ |  | Lapse rate |  | ​ | 0.0 | % - | 17.0 | % | ​ | 5.1 | %
​ | ​ | ​ | ​ | ​ | ​ |  | Mortality rate |  | ​ | See note (5) | ​ | ​
(1) | Represents market comparable interest rate or an index adjusted rate used as the base rate in the discounted cash flow analysis prior to any illiquidity or other adjustments, where applicable.
(2) | Revenue multiples are amounts used when we have determined market participants would use such multiples to value the investments.
(3) | Represents the range of rate curves used in the valuation analysis that we have determined market participants would use when pricing the instrument. Derived from interpolation between various observable swap rates.
(4) | This input factor is the number of contractholders taking withdrawals as well as the amount and timing of the withdrawals and a range does not provide a meaningful presentation.
(5) | This input is based on an appropriate industry mortality table and a range does not provide a meaningful presentation.
(6) | Includes bifurcated embedded derivatives that are reported at net asset (liability) fair value within the same line item in the consolidated statements of financial position in which the host contract is reported.
Fair Value Option (Table) | ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | For the three months ended September 30, | ​ | For the nine months ended September 30,
​ |  | 2022 |  | 2021 |  | 2022 |  | 2021
​ | ​ | (in millions)
Real estate ventures | ​ |  | ​ | ​ | ​ |  | ​ |  | ​ | ​ | ​ |
Change in fair value pre-tax gain (1) | ​ | $ | — | ​ | $ | (0.1) | ​ | $ | — | ​ | $ | 12.6
(1) | Reported in net investment income on the consolidated statements of operations.
​
Financial Instruments Not Reported at Fair Value (Table) | ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | September 30, 2022
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | Fair value hierarchy level
​ |  | Carrying amount |  | Fair value |  | Level 1 |  | Level 2 |  | Level 3
​ | ​ | (in millions)
Assets (liabilities) | ​ | ​ | ​ |  | ​ | ​ |  | ​ | ​ |  | ​ | ​ |  | ​ | ​
Mortgage loans | ​ | $ | 20,602.6 | ​ | $ | 18,553.9 | ​ | $ | — | ​ | $ | — | ​ | $ | 18,553.9
Policy loans | ​ |  | 766.2 | ​ |  | 788.5 | ​ |  | — | ​ |  | — | ​ |  | 788.5
Other investments | ​ |  | 132.6 | ​ |  | 121.7 | ​ |  | — | ​ |  | 24.1 | ​ |  | 97.6
Cash and cash equivalents | ​ |  | 1,440.7 | ​ |  | 1,440.7 | ​ |  | 1,415.6 | ​ |  | 25.1 | ​ |  | —
Reinsurance deposit receivable | ​ | ​ | 8,810.8 | ​ | ​ | 7,662.4 | ​ | ​ | — | ​ | ​ | — | ​ | ​ | 7,662.4
Investment contracts | ​ |  | (36,144.4) | ​ | ​ | (32,896.7) | ​ | ​ | — | ​ | ​ | (7,202.2) | ​ | ​ | (25,694.5)
Short-term debt | ​ |  | (66.5) | ​ | ​ | (66.5) | ​ | ​ | — | ​ | ​ | (66.5) | ​ | ​ | —
Long-term debt | ​ |  | (3,981.0) | ​ | ​ | (3,590.3) | ​ | ​ | — | ​ | ​ | (3,553.0) | ​ | ​ | (37.3)
Separate account liabilities | ​ |  | (133,400.3) | ​ | ​ | (132,520.1) | ​ | ​ | — | ​ | ​ | — | ​ | ​ | (132,520.1)
Bank deposits (1) | ​ |  | (348.8) | ​ | ​ | (331.2) | ​ | ​ | — | ​ | ​ | (331.2) | ​ | ​ | —
Cash collateral payable | ​ |  | (388.2) | ​ | ​ | (388.2) | ​ | ​ | (388.2) | ​ | ​ | — | ​ | ​ | —
​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | December 31, 2021
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | Fair value hierarchy level
​ |  | Carrying amount |  | Fair value |  | Level 1 |  | Level 2 |  | Level 3
​ | ​ | (in millions)
Assets (liabilities) | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Mortgage loans | ​ | $ | 19,668.7 | ​ | $ | 20,602.7 | ​ | $ | — | ​ | $ | — | ​ | $ | 20,602.7
Policy loans | ​ |  | 759.6 | ​ |  | 952.9 | ​ |  | — | ​ |  | — | ​ |  | 952.9
Other investments | ​ |  | 304.0 | ​ |  | 294.8 | ​ |  | — | ​ |  | 198.6 | ​ |  | 96.2
Cash and cash equivalents | ​ |  | 1,214.2 | ​ |  | 1,214.2 | ​ |  | 1,197.8 | ​ |  | 16.4 | ​ |  | —
Investment contracts | ​ |  | (35,810.4) | ​ | ​ | (36,088.6) | ​ | ​ | — | ​ | ​ | (7,454.3) | ​ | ​ | (28,634.3)
Short-term debt | ​ |  | (79.8) | ​ | ​ | (79.8) | ​ | ​ | — | ​ | ​ | (79.8) | ​ | ​ | —
Long-term debt | ​ |  | (4,280.2) | ​ | ​ | (4,793.1) | ​ | ​ | — | ​ | ​ | (4,755.1) | ​ | ​ | (38.0)
Separate account liabilities | ​ |  | (165,098.7) | ​ | ​ | (164,028.9) | ​ | ​ | — | ​ | ​ | — | ​ | ​ | (164,028.9)
Bank deposits (1) | ​ |  | (373.3) | ​ | ​ | (372.8) | ​ | ​ | — | ​ | ​ | (372.8) | ​ | ​ | —
Cash collateral payable | ​ |  | (214.9) | ​ | ​ | (214.9) | ​ | ​ | (214.9) | ​ | ​ | — | ​ | ​ | —
(1) | Excludes deposit liabilities without defined or contractual maturities.

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