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Investments | 9 Months Ended
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Sep. 30, 2024
Investments, Debt and Equity Securities [Abstract] |
Investments | 3. Investments A. Fixed maturities The amortized cost and fair value of available-for-sale fixed maturities were as follows:
|  | September 30, 2024 |
|  |  |  |  |  |  |  | Amortized Cost, |  |  |  |  |  |  |  |  |  |
|  |  |  |  | Allowance |  |  | Net of Allowance |  |  | Gross |  |  | Gross |  |  |  |
|  | Amortized |  |  | for Credit |  |  | for Credit |  |  | Unrealized |  |  | Unrealized |  |  |  |
(in millions) |  | Cost |  |  | Losses |  |  | Losses |  |  | Gains |  |  | Losses |  |  | Fair Value |
U.S. Treasury and government agencies |  | $ | 616.8 |  |  | $ | — |  |  | $ | 616.8 |  |  | $ | 4.0 |  |  | $ | 44.0 |  |  | $ | 576.8 |
Foreign governments |  |  | 1.7 |  |  |  | — |  |  |  | 1.7 |  |  |  | 0.1 |  |  |  | — |  |  |  | 1.8 |
Municipals |  |  | 1,135.0 |  |  |  | — |  |  |  | 1,135.0 |  |  |  | 4.3 |  |  |  | 90.0 |  |  |  | 1,049.3 |
Corporates |  |  | 4,047.3 |  |  |  | (0.6 | ) |  |  | 4,046.7 |  |  |  | 46.1 |  |  |  | 118.9 |  |  |  | 3,973.9 |
Residential mortgage-backed |  |  | 1,813.2 |  |  |  | — |  |  |  | 1,813.2 |  |  |  | 20.7 |  |  |  | 105.1 |  |  |  | 1,728.8 |
Commercial mortgage-backed |  |  | 621.9 |  |  |  | — |  |  |  | 621.9 |  |  |  | 0.7 |  |  |  | 36.4 |  |  |  | 586.2 |
Other asset-backed |  |  | 701.2 |  |  |  | — |  |  |  | 701.2 |  |  |  | 4.2 |  |  |  | 2.2 |  |  |  | 703.2 |
Total fixed maturities |  | $ | 8,937.1 |  |  | $ | (0.6 | ) |  | $ | 8,936.5 |  |  | $ | 80.1 |  |  | $ | 396.6 |  |  | $ | 8,620.0 |
|  | December 31, 2023 |
|  |  |  |  |  |  |  | Amortized Cost, |  |  |  |  |  |  |  |  |  |
|  |  |  |  | Allowance |  |  | Net of Allowance |  |  | Gross |  |  | Gross |  |  |  |
|  | Amortized |  |  | for Credit |  |  | for Credit |  |  | Unrealized |  |  | Unrealized |  |  |  |
(in millions) |  | Cost |  |  | Losses |  |  | Losses |  |  | Gains |  |  | Losses |  |  | Fair Value |
U.S. Treasury and government agencies |  | $ | 512.9 |  |  | $ | — |  |  | $ | 512.9 |  |  | $ | 1.4 |  |  | $ | 51.7 |  |  | $ | 462.6 |
Foreign governments |  |  | 2.2 |  |  |  | — |  |  |  | 2.2 |  |  |  | — |  |  |  | — |  |  |  | 2.2 |
Municipals |  |  | 1,309.3 |  |  |  | — |  |  |  | 1,309.3 |  |  |  | 5.5 |  |  |  | 129.6 |  |  |  | 1,185.2 |
Corporates |  |  | 4,053.8 |  |  |  | (1.9 | ) |  |  | 4,051.9 |  |  |  | 22.9 |  |  |  | 225.1 |  |  |  | 3,849.7 |
Residential mortgage-backed |  |  | 1,435.6 |  |  |  | — |  |  |  | 1,435.6 |  |  |  | 5.5 |  |  |  | 130.2 |  |  |  | 1,310.9 |
Commercial mortgage-backed |  |  | 890.3 |  |  |  | — |  |  |  | 890.3 |  |  |  | 0.1 |  |  |  | 72.2 |  |  |  | 818.2 |
Other asset-backed |  |  | 371.7 |  |  |  | — |  |  |  | 371.7 |  |  |  | 0.7 |  |  |  | 15.9 |  |  |  | 356.5 |
Total fixed maturities |  | $ | 8,575.8 |  |  | $ | (1.9 | ) |  | $ | 8,573.9 |  |  | $ | 36.1 |  |  | $ | 624.7 |  |  | $ | 7,985.3 |
The Company deposits funds with various state and governmental authorities. For a discussion of the Company’s deposits with state and governmental authorities, see also Note 2 – “Investments” in the Notes to Consolidated Financial Statements in the Company’s 2023 Annual Report on Form 10-K. The amortized cost and fair value by maturity periods for fixed maturities are shown in the following table. Actual maturities may differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment penalties, or the Company may have the right to put or sell the obligations back to the issuers.
|  | September 30, 2024 |
|  | Amortized Cost, Net |  |  |  |
|  | of Allowance for |  |  | Fair |
(in millions) |  | Credit Losses |  |  | Value |
Due in one year or less |  | $ | 369.6 |  |  | $ | 367.8 |
Due after one year through five years |  |  | 2,623.2 |  |  |  | 2,594.7 |
Due after five years through ten years |  |  | 2,552.5 |  |  |  | 2,407.8 |
Due after ten years |  |  | 254.9 |  |  |  | 231.5 |
|  |  | 5,800.2 |  |  |  | 5,601.8 |
Mortgage-backed and other asset-backed securities |  |  | 3,136.3 |  |  |  | 3,018.2 |
Total fixed maturities |  | $ | 8,936.5 |  |  | $ | 8,620.0 |
B. Fixed maturity securities in an unrealized loss position The following tables provide information about the Company’s available-for-sale fixed maturity securities that were in an unrealized loss position at September 30, 2024 and December 31, 2023, including the length of time the securities have been in an unrealized loss position:
|  | September 30, 2024 |
|  | 12 months or less |  |  | Greater than 12 months |  |  | Total |
|  | Gross |  |  |  |  |  | Gross |  |  |  |  |  | Gross |  |  |  |
|  | Unrealized |  |  | Fair |  |  | Unrealized |  |  | Fair |  |  | Unrealized |  |  | Fair |
(in millions) |  | Losses |  |  | Value |  |  | Losses |  |  | Value |  |  | Losses |  |  | Value |
Investment grade: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
U.S. Treasury and government agencies |  | $ | 0.3 |  |  | $ | 106.0 |  |  | $ | 43.7 |  |  | $ | 330.2 |  |  | $ | 44.0 |  |  | $ | 436.2 |
Municipals |  |  | 0.2 |  |  |  | 39.8 |  |  |  | 89.8 |  |  |  | 848.0 |  |  |  | 90.0 |  |  |  | 887.8 |
Corporates |  |  | 0.6 |  |  |  | 347.4 |  |  |  | 112.6 |  |  |  | 2,005.6 |  |  |  | 113.2 |  |  |  | 2,353.0 |
Residential mortgage-backed |  |  | 0.1 |  |  |  | 78.1 |  |  |  | 105.0 |  |  |  | 808.1 |  |  |  | 105.1 |  |  |  | 886.2 |
Commercial mortgage-backed |  |  | — |  |  |  | — |  |  |  | 36.4 |  |  |  | 545.4 |  |  |  | 36.4 |  |  |  | 545.4 |
Other asset-backed |  |  | 0.2 |  |  |  | 60.8 |  |  |  | 2.0 |  |  |  | 126.1 |  |  |  | 2.2 |  |  |  | 186.9 |
Total investment grade |  |  | 1.4 |  |  |  | 632.1 |  |  |  | 389.5 |  |  |  | 4,663.4 |  |  |  | 390.9 |  |  |  | 5,295.5 |
Below investment grade: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Corporates |  |  | 0.9 |  |  |  | 61.7 |  |  |  | 4.8 |  |  |  | 57.1 |  |  |  | 5.7 |  |  |  | 118.8 |
Commercial mortgage-backed |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 0.9 |  |  |  | — |  |  |  | 0.9 |
Total below investment grade |  |  | 0.9 |  |  |  | 61.7 |  |  |  | 4.8 |  |  |  | 58.0 |  |  |  | 5.7 |  |  |  | 119.7 |
Total fixed maturities |  | $ | 2.3 |  |  | $ | 693.8 |  |  | $ | 394.3 |  |  | $ | 4,721.4 |  |  | $ | 396.6 |  |  | $ | 5,415.2 |
|  | December 31, 2023 |
|  | 12 months or less |  |  | Greater than 12 months |  |  | Total |
|  | Gross |  |  |  |  |  | Gross |  |  |  |  |  | Gross |  |  |  |
|  | Unrealized |  |  | Fair |  |  | Unrealized |  |  | Fair |  |  | Unrealized |  |  | Fair |
(in millions) |  | Losses |  |  | Value |  |  | Losses |  |  | Value |  |  | Losses |  |  | Value |
Investment grade: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
U.S. Treasury and government agencies |  | $ | 0.6 |  |  | $ | 62.2 |  |  | $ | 51.1 |  |  | $ | 331.0 |  |  | $ | 51.7 |  |  | $ | 393.2 |
Foreign governments |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 2.0 |  |  |  | — |  |  |  | 2.0 |
Municipals |  |  | 2.5 |  |  |  | 72.5 |  |  |  | 127.1 |  |  |  | 935.2 |  |  |  | 129.6 |  |  |  | 1,007.7 |
Corporates |  |  | 1.3 |  |  |  | 159.9 |  |  |  | 214.9 |  |  |  | 2,870.2 |  |  |  | 216.2 |  |  |  | 3,030.1 |
Residential mortgage-backed |  |  | 1.2 |  |  |  | 139.3 |  |  |  | 129.0 |  |  |  | 865.4 |  |  |  | 130.2 |  |  |  | 1,004.7 |
Commercial mortgage-backed |  |  | 0.2 |  |  |  | 14.0 |  |  |  | 72.0 |  |  |  | 770.0 |  |  |  | 72.2 |  |  |  | 784.0 |
Other asset-backed |  |  | 0.1 |  |  |  | 28.1 |  |  |  | 15.8 |  |  |  | 260.2 |  |  |  | 15.9 |  |  |  | 288.3 |
Total investment grade |  |  | 5.9 |  |  |  | 476.0 |  |  |  | 609.9 |  |  |  | 6,034.0 |  |  |  | 615.8 |  |  |  | 6,510.0 |
Below investment grade: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Corporates |  |  | 2.5 |  |  |  | 33.8 |  |  |  | 6.4 |  |  |  | 66.2 |  |  |  | 8.9 |  |  |  | 100.0 |
Commercial mortgage-backed |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 0.9 |  |  |  | — |  |  |  | 0.9 |
Total below investment grade |  |  | 2.5 |  |  |  | 33.8 |  |  |  | 6.4 |  |  |  | 67.1 |  |  |  | 8.9 |  |  |  | 100.9 |
Total fixed maturities |  | $ | 8.4 |  |  | $ | 509.8 |  |  | $ | 616.3 |  |  | $ | 6,101.1 |  |  | $ | 624.7 |  |  | $ | 6,610.9 |
The Company views gross unrealized losses on fixed maturities as non-credit related and through its assessment of unrealized losses has determined that these securities will recover, allowing the Company to realize the anticipated long-term economic value. The Company currently does not intend to sell, nor does it expect to be required to sell these securities before recovery of their amortized cost. The Company employs a systematic methodology to evaluate declines in fair value below amortized cost for fixed maturity securities. In determining impairments, the Company evaluates several factors and circumstances, including the issuer’s overall financial condition; the issuer’s credit and financial strength ratings; the issuer’s financial performance, including earnings trends and asset quality; any specific events which may influence the operations of the issuer; the general outlook for market conditions in the industry or geographic region in which the issuer operates; and the degree to which the fair value of an issuer’s securities is below the Company’s amortized cost. The Company also considers any factors that might raise doubt about the issuer’s ability to make contractual payments as they come due and whether the Company expects to recover the entire amortized cost basis of the security. C. Proceeds from sales The proceeds from sales of available-for-sale fixed maturities and gross realized gains and gross realized losses on those sales were as follows:
|  | Three Months Ended September 30, |  |  | Nine Months Ended September 30, |
|  | 2024 |  |  | 2023 |  |  | 2024 |  |  | 2023 |
(in millions) |  |  |  |  |  |  |  |  |  |  |  |
Proceeds from sales |  | $ | 479.5 |  |  | $ | 16.9 |  |  | $ | 1,145.9 |  |  | $ | 103.5 |
Gross gains |  |  | 0.5 |  |  |  | — |  |  |  | 2.4 |  |  |  | 0.9 |
Gross losses |  |  | 25.8 |  |  |  | 1.3 |  |  |  | 60.1 |  |  |  | 3.3 |
D. Impairments (Recoveries) For the three months ended September 30, 2024, the Company recognized net impairment losses of $0.6 million, consisting of $0.4 million on mortgage loans and $0.2 million on fixed maturities. For the nine months ended September 30, 2024, the Company recognized net impairment losses of $5.5 million, consisting of $4.0 million on mortgage loans and $1.5 million on fixed maturities. For the three months ended September 30, 2023, impairments were not material. For the nine months ended September 30, 2023, the Company recognized net impairments of $16.5 million, consisting primarily of losses on intent to sell fixed maturities of $10.3 million and $5.4 million of estimated credit losses on mortgage loans. At September 30, 2024 and December 31, 2023, the allowance for credit losses on mortgage loans was $7.5 million and $10.0 million respectively, and the allowance for credit losses on available-for-sale debt securities was $0.6 million and $1.9 million, respectively. The following table provides a rollforward of the allowance for credit losses on mortgage loans:
| Three Months Ended September 30, |  |  | Nine Months Ended September 30, |
(in millions) | 2024 |  |  | 2023 |  |  | 2024 |  |  | 2023 |
Allowance for credit losses as of the beginning of the period | $ | 8.6 |  |  | $ | 8.5 |  |  | $ | 10.0 |  |  | $ | 3.2 |
Reductions for writedowns |  | — |  |  |  | — |  |  |  | (3.0 | ) |  |  | — |
Reductions for disposals |  | (1.3 | ) |  |  | — |  |  |  | (1.6 | ) |  |  | — |
Additional credit losses on investments for which an allowance was previously recognized |  | 0.2 |  |  |  | — |  |  |  | 2.1 |  |  |  | 5.4 |
Recoveries |  | — |  |  |  | — |  |  |  | — |  |  |  | (0.1 | )
Allowance for credit losses as of the end of the period | $ | 7.5 |  |  | $ | 8.5 |  |  | $ | 7.5 |  |  | $ | 8.5 |
The methodology and significant inputs used to measure the amount of credit losses were as follows: Mortgage loans – the Company estimated losses by applying expected loss rates, which are based on historical data. Embedded in expected loss rates are mortgage risk ratings and risk factors associated with property type such as office, retail, lodging, multi-family and industrial. Risk ratings, based on property characteristics and metrics including the geographic market, are predominantly driven by estimates of loan-to-value and debt service coverage ratios. Ratings may be adjusted to reflect current conditions and to incorporate reasonable and supportable forecasts, such as volatility of cash flows and valuation. Fixed maturities, Corporate bonds – the Company utilized a financial model that derives expected cash flows based on probability-of-default factors by credit rating and asset duration, and loss-given-default factors based on security type. These factors are based on historical data provided by an independent third-party rating agency. In addition, other qualitative market data relevant to the realizability of contractual cash flows may be considered, including current conditions and reasonable and supportable forecasts. E. Equity securities The following table provides pre-tax net unrealized gains (losses) on equity securities. There were no realized gains or losses from sales of equities for the three or nine months ended September 30, 2024.
| Three Months Ended September 30, |  |  | Nine Months Ended September 30, |
(in millions) | 2024 |  |  | 2023 |  |  | 2024 |  |  | 2023 |
Net gains (losses) recognized during the period | $ | 11.7 |  |  | $ | (5.2 | ) |  | $ | 19.3 |  |  | $ | (13.4 | )
Less: net losses recognized on equity securities sold during the period |  | — |  |  |  | (11.9 | ) |  |  | — |  |  |  | (11.9 | )
Net unrealized gains (losses) recognized during the period on equity securities still held | $ | 11.7 |  |  | $ | 6.7 |  |  | $ | 19.3 |  |  | $ | (1.5 | )

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