We classify our fixed maturity securities into one of two categories: (i) "available for sale" (which we carry at estimated fair value with any unrealized gain or loss, net of tax and related adjustments, recorded as a component of shareholders' equity); or (ii) "trading" (which we carry at estimated fair value with changes in such value recognized as either net investment income (classified as investment income from policyholder and other special-purpose portfolios) or investment gains (losses)).

Trading securities include: (i) investments purchased with the intent of selling in the near term to generate income; and (ii) certain fixed maturity securities containing embedded derivatives for which we have elected the fair value option. The change in fair value of the income generating investments is recognized in income from policyholder and other special-purpose portfolios (a component of net investment income). The change in fair value of securities with embedded derivatives is recognized in other investment gains (losses).

We review our available for sale fixed maturity securities with unrealized losses to determine whether such impairments are the result of credit losses. We analyze various factors to make such determinations including, but not limited to: (i) actions taken by rating agencies; (ii) default by the issuer; (iii) the significance of the decline; (iv) an assessment of our intent to sell the security before recovering the security's amortized cost; (v) an economic analysis of the issuer's industry; and (vi) the financial strength, liquidity, and recoverability of the issuer. We perform a security by security review each quarter to evaluate whether a credit loss has occurred.

In determining the credit loss component, we discount the estimated cash flows on a security by security basis. We consider the impact of macroeconomic conditions on inputs used to measure the amount of credit loss. For most structured securities, cash flow estimates are based on bond-specific facts and circumstances that may include collateral characteristics, expectations of delinquency and default rates, loss severity, prepayment speeds and structural support, including overcollateralization, excess spread, subordination and guarantees. For corporate bonds, cash flow estimates are derived by considering asset type, rating, time to maturity, and applying an expected loss rate.

If a portion of the decline is due to credit-related factors, we separate the credit loss component of the impairment from the amount related to all other factors. The credit loss component is recorded as an allowance and reported in other investment gains (losses) (limited to the difference between estimated fair value and amortized cost). The impairment related to all other factors (non-credit factors) is reported in accumulated other comprehensive income (loss) along with unrealized gains (losses) related to fixed maturity investments, available for sale, net of tax and related adjustments. The allowance is adjusted for any additional credit losses and subsequent recoveries. When recognizing an allowance associated with a credit loss, the cost basis is not adjusted. When we determine a security is uncollectable, the remaining amortized cost will be written off.

If we intend to sell an impaired fixed maturity security, available for sale, or identify an impaired fixed maturity security, available for sale, for which it is more likely than not we will be required to sell before anticipated recovery, the

difference between the fair value and the amortized cost is included in other investment gains (losses) and the fair value becomes the new amortized cost. The new cost basis is not adjusted for any subsequent recoveries in fair value.

The Company reports accrued investment income separately from fixed maturities, available for sale, and has elected not to measure an allowance for credit losses for accrued investment income. Accrued investment income is written off through net investment income at the time the issuer of the bond defaults or is expected to default on payments.


	September 30, 2023		December 31, 2022
Net unrealized losses on investments having no allowance for credit losses	$	(1,506.2)	$	(1,247.0)
Unrealized losses on investments with an allowance for credit losses	(2,038.5)		(1,780.7)
Change in discount rates for liability for future policy benefits	1,021.6		500.7
Change in instrument-specific credit risk for market risk benefits	7.8		12.2
Deferred income tax assets	558.6		557.5
Accumulated other comprehensive loss	$	(1,956.7)	$	(1,957.3)

At September 30, 2023, the amortized cost, gross unrealized gains, gross unrealized losses, allowance for credit losses and estimated fair value of fixed maturities, available for sale, were as follows (dollars in millions):


	Amortized cost		Gross unrealized gains		Gross unrealized losses		Allowance for credit losses		Estimated fair value
Corporate securities	$	13,312.1	$	10.7	$	(2,297.1)	$	(66.8)	$	10,958.9
United States Treasury securities and obligations of United States government corporations and agencies	194.2		—		(28.8)		—		165.4
States and political subdivisions	2,848.5		7.0		(547.8)		(1.7)		2,306.0
Foreign governments	93.3		—		(16.6)		(.7)		76.0
Asset-backed securities	1,500.2		.2		(141.0)		(.2)		1,359.2
Agency residential mortgage-backed securities	627.9		.6		(12.6)		—		615.9
Non-agency residential mortgage-backed securities	1,695.8		33.7		(204.3)		—		1,525.2
Collateralized loan obligations	1,077.7		1.9		(20.1)		—		1,059.5
Commercial mortgage-backed securities	2,549.8		.6		(311.3)		—		2,239.1
Total fixed maturities, available for sale	$	23,899.5	$	54.7	$	(3,579.6)	$	(69.4)	$	20,305.2

At December 31, 2022, the amortized cost, gross unrealized gains, gross unrealized losses, allowance for credit losses and estimated fair value of fixed maturities, available for sale, were as follows (dollars in millions):


	Amortized cost		Gross unrealized gains		Gross unrealized losses		Allowance for credit losses		Estimated fair value
Corporate securities	$	13,649.1	$	29.9	$	(1,911.9)	$	(54.4)	$	11,712.7
United States Treasury securities and obligations of United States government corporations and agencies	171.7		—		(13.0)		—		158.7
States and political subdivisions	2,846.9		19.3		(476.8)		(.9)		2,388.5
Foreign governments	86.3		.1		(11.3)		(.4)		74.7
Asset-backed securities	1,435.7		1.0		(149.4)		(.3)		1,287.0
Agency residential mortgage-backed securities	174.3		1.4		(.7)		—		175.0
Non-agency residential mortgage-backed securities	1,700.4		40.0		(191.9)		—		1,548.5
Collateralized loan obligations	825.2		.3		(39.6)		—		785.9
Commercial mortgage-backed securities	2,494.6		.1		(272.3)		—		2,222.4
Total fixed maturities, available for sale	$	23,384.2	$	92.1	$	(3,066.9)	$	(56.0)	$	20,353.4

The following table sets forth the amortized cost and estimated fair value of fixed maturities, available for sale, at September 30, 2023, by contractual maturity. Actual maturities will differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without penalties. Structured securities (such as asset-backed securities, agency residential mortgage-backed securities, non-agency residential mortgage-backed securities, collateralized loan obligations and commercial mortgage-backed securities, collectively referred to as "structured securities") frequently include provisions for periodic principal payments and permit periodic unscheduled payments.


	Amortized cost		Estimated fair value
	(Dollars in millions)
Due in one year or less	$	171.9	$	161.9
Due after one year through five years	2,217.5		2,069.5
Due after five years through ten years	1,729.0		1,551.7
Due after ten years	12,329.7		9,723.2
Subtotal	16,448.1		13,506.3
Structured securities	7,451.4		6,798.9
Total fixed maturities, available for sale	$	23,899.5	$	20,305.2


	Amortized cost		Estimated fair value
	(Dollars in millions)
Due in one year or less	$	112.0	$	110.8
Due after one year through five years	1,913.7		1,790.2
Due after five years through ten years	2,098.9		1,910.4
Due after ten years	12,629.4		10,523.2
Subtotal	16,754.0		14,334.6
Structured securities	6,630.2		6,018.8
Total fixed maturities, available for sale	$	23,384.2	$	20,353.4

Our investment strategy is to maximize, over a sustained period and within acceptable parameters of quality and risk, investment income and total investment return through active strategic asset allocation and investment management. Accordingly, we may sell securities at a gain or a loss to enhance the projected total return of the portfolio as market opportunities change, to reflect changing perceptions of risk, or to better match certain characteristics of our investment portfolio with the corresponding characteristics of our insurance liabilities.

The following table summarizes the gross unrealized losses and fair values of our investments with unrealized losses for which an allowance for credit losses has not been recorded, aggregated by investment category and length of time that such securities have been in a continuous unrealized loss position, at September 30, 2023 (dollars in millions):


	Less than 12 months				12 months or greater				Total
Description of securities	Fair value		Unrealized losses		Fair value		Unrealized losses		Fair value		Unrealized losses
Corporate securities	$	591.1	$	(42.3)	$	2,938.4	$	(631.8)	$	3,529.5	$	(674.1)
United States Treasury securities and obligations of United States government corporations and agencies	131.9		(24.7)		33.5		(4.1)		165.4		(28.8)
States and political subdivisions	181.9		(12.9)		436.5		(145.7)		618.4		(158.6)
Foreign governments	6.5		(.5)		23.3		(2.8)		29.8		(3.3)
Asset-backed securities	212.8		(4.1)		1,050.6		(133.6)		1,263.4		(137.7)
Agency residential mortgage-backed securities	505.8		(12.3)		7.1		(.3)		512.9		(12.6)
Non-agency residential mortgage-backed securities	245.1		(6.6)		1,014.5		(197.7)		1,259.6		(204.3)
Collateralized loan obligations	114.4		(.4)		642.6		(19.7)		757.0		(20.1)
Commercial mortgage-backed securities	223.3		(4.3)		1,927.6		(307.0)		2,150.9		(311.3)
Total fixed maturities, available for sale	$	2,212.8	$	(108.1)	$	8,074.1	$	(1,442.7)	$	10,286.9	$	(1,550.8)


	Less than 12 months				12 months or greater				Total
Description of securities	Fair value		Unrealized losses		Fair value		Unrealized losses		Fair value		Unrealized losses
Corporate securities	$	2,830.8	$	(329.4)	$	370.4	$	(129.3)	$	3,201.2	$	(458.7)
United States Treasury securities and obligations of United States government corporations and agencies	134.4		(9.6)		21.9		(3.4)		156.3		(13.0)
States and political subdivisions	667.0		(124.8)		132.1		(58.5)		799.1		(183.3)
Foreign governments	35.0		(3.5)		2.1		(.3)		37.1		(3.8)
Asset-backed securities	914.0		(90.1)		258.1		(53.4)		1,172.1		(143.5)
Agency residential mortgage-backed securities	59.7		(.7)		—		—		59.7		(.7)
Non-agency residential mortgage-backed securities	861.6		(89.7)		335.4		(102.2)		1,197.0		(191.9)
Collateralized loan obligations	553.0		(27.4)		184.2		(12.2)		737.2		(39.6)
Commercial mortgage-backed securities	1,581.4		(160.0)		593.3		(112.3)		2,174.7		(272.3)
Total fixed maturities, available for sale	$	7,636.9	$	(835.2)	$	1,897.5	$	(471.6)	$	9,534.4	$	(1,306.8)

Based on management's current assessment of investments with unrealized losses at September 30, 2023, the Company believes the issuers of the securities will continue to meet their obligations. While we do not have the intent to sell securities with unrealized losses and it is not more likely than not that we will be required to sell securities with unrealized losses prior to their anticipated recovery, our intent on an individual security may change, based upon market or other unforeseen developments. In such instances, if a loss is recognized from a sale subsequent to a balance sheet date due to these unexpected developments, the loss is recognized in the period in which we had the intent to sell the security before its anticipated recovery.


	Corporate securities		States and political subdivisions		Foreign governments		Asset-backed securities		Total
Allowance at June 30, 2023	$	64.4	$	1.0	$	.5	$	.2	$	66.1
Additions for securities for which credit losses were not previously recorded	1.2		—		—		.1		1.3
Additions for purchased securities with deteriorated credit	—		—		—		—		—
Additions (reductions) for securities where an allowance was previously recorded	1.5		.7		.2		(.1)		2.3
Reduction for securities sold during the period	(.3)		—		—		—		(.3)
Reduction for securities for which the Company made the decision to sell where an allowance was previously recorded	—		—		—		—		—
Write-offs	—		—		—		—		—
Recoveries of previously written-off amount	—		—		—		—		—
Allowance at September 30, 2023	$	66.8	$	1.7	$	.7	$	.2	$	69.4


	Corporate securities		States and political subdivisions		Foreign governments		Asset-backed securities		Total
Allowance at December 31, 2022	$	54.4	$	.9	$	.4	$	.3	$	56.0
Additions for securities for which credit losses were not previously recorded	5.9		.2		.1		—		6.2
Additions for purchased securities with deteriorated credit	—		—		—		—		—
Additions (reductions) for securities where an allowance was previously recorded	9.2		.6		.2		(.1)		9.9
Reduction for securities sold during the period	(2.7)		—		—		—		(2.7)
Reduction for securities for which the Company made the decision to sell where an allowance was previously recorded	—		—		—		—		—
Write-offs	—		—		—		—		—
Recoveries of previously written-off amount	—		—		—		—		—
Allowance at September 30, 2023	$	66.8	$	1.7	$	.7	$	.2	$	69.4


	Corporate securities		States and political subdivisions		Foreign governments		Asset-backed securities		Total
Allowance at June 30, 2022	$	52.2	$	1.1	$	.7	$	.2	$	54.2
Additions for securities for which credit losses were not previously recorded	7.2		.2		.1		.1		7.6
Additions for purchased securities with deteriorated credit	—		—		—		—		—
Additions (reductions) for securities where an allowance was previously recorded	(6.9)		.5		—		—		(6.4)
Reduction for securities sold during the period	(3.3)		(.1)		—		—		(3.4)
Reduction for securities for which the Company made the decision to sell where an allowance was previously recorded	—		—		—		—		—
Write-offs	—		—		—		—		—
Recoveries of previously written-off amount	—		—		—		—		—
Allowance at September 30, 2022	$	49.2	$	1.7	$	.8	$	.3	$	52.0


	Corporate securities		States and political subdivisions		Foreign governments		Asset-backed securities		Total
Allowance at December 31, 2021	$	7.4	$	—	$	.2	$	—	$	7.6
Additions for securities for which credit losses were not previously recorded	39.8		.7		.5		.2		41.2
Additions for purchased securities with deteriorated credit	—		—		—		—		—
Additions (reductions) for securities where an allowance was previously recorded	11.8		1.1		.1		.1		13.1
Reduction for securities sold during the period	(9.8)		(.1)		—		—		(9.9)
Reduction for securities for which the Company made the decision to sell where an allowance was previously recorded	—		—		—		—		—
Write-offs	—		—		—		—		—
Recoveries of previously written-off amount	—		—		—		—		—
Allowance at September 30, 2022	$	49.2	$	1.7	$	.8	$	.3	$	52.0

Mortgage loans are carried at amortized unpaid balance, net of allowance for estimated credit losses. Interest income is accrued on the principal amount of the loan based on the loan's contractual interest rate. Payment terms specified for mortgage loans may include a prepayment penalty for unscheduled payoff of the investment. Prepayment penalties are recognized as investment income when received.

The allowance for estimated credit losses is measured using a loss-rate method on an individual asset basis. Inputs used include asset-specific characteristics, current economic conditions, historical loss information and reasonable and supportable forecasts about future economic conditions.

The mortgage loan balance was comprised of commercial and residential mortgage loans. At September 30, 2023, we held commercial mortgage loan investments with an amortized cost and fair value of $1,410.6 million and $1,217.8 million, respectively. There were no commercial mortgage loans in process of foreclosure. At September 30, 2023, we held residential mortgage loan investments with an amortized cost and fair value of $571.6 million and $572.4 million, respectively. At September 30, 2023, there were five residential mortgage loans that were noncurrent with a carrying value of $2.3 million (of which, four loans with a carrying value of $2.0 million were in foreclosure).

The following table provides the amortized cost by year of origination and estimated fair value of our outstanding commercial mortgage loans and the underlying collateral as of September 30, 2023 (dollars in millions):


															Estimated fair value
Loan-to-value ratio (a)	2023		2022		2021		2020		2019		Prior		Total amortized cost		Mortgage loans		Collateral
Less than 60%	$	163.6	$	147.3	$	115.1	$	36.7	$	73.8	$	482.3	$	1,018.8	$	880.8	$	3,789.7
60% to less than 70%	47.1		87.3		11.1		5.6		—		36.8		187.9		165.5		287.0
70% to less than 80%	19.5		77.8		24.8		—		—		40.1		162.2		138.7		214.1
80% to less than 90%	—		—		—		—		—		17.4		17.4		15.8		20.8
90% or greater	—		—		—		—		—		24.3		24.3		17.0		25.1
Total	$	230.2	$	312.4	$	151.0	$	42.3	$	73.8	$	600.9	$	1,410.6	$	1,217.8	$	4,336.7


	Three months ended
	September 30,
	2023		2022
Allowance at the beginning of the period	$	10.3	$	4.9
Current period provision for expected credit losses	.6		.4
Initial allowance recognized for purchased financial assets with credit deterioration	—		—
Write-offs charged against the allowance	—		—
Recoveries of amounts previously written off	—		—
Allowance at the end of the period	$	10.9	$	5.3


	Nine months ended
	September 30,
	2023		2022
Allowance at the beginning of the period	$	8.0	$	5.6
Current period provision for expected credit losses	2.9		(.3)
Initial allowance recognized for purchased financial assets with credit deterioration	—		—
Write-offs charged against the allowance	—		—
Recoveries of amounts previously written off	—		—
Allowance at the end of the period	$	10.9	$	5.3


	Three months ended				Nine months ended
	September 30,				September 30,
	2023		2022		2023		2022
Realized investment gains (losses):
Gross realized gains on sales of fixed maturities, available for sale	$	1.3	$	18.1	$	11.4	$	96.4
Gross realized losses on sales of fixed maturities, available for sale	(9.8)		(24.4)		(45.8)		(81.3)
Equity securities, net	—		—		(.6)		(8.3)
Other, net	(13.1)		(1.9)		(23.0)		(3.2)
Total realized investment gains (losses)	(21.6)		(8.2)		(58.0)		3.6
Change in allowance for credit losses (a)	(2.3)		7.5		(13.7)		(46.9)
Change in fair value of equity securities (b)	(.9)		(.7)		(.5)		(2.4)
Other changes in fair value (c)	(4.5)		(16.3)		(7.0)		(53.5)

Other investment losses	(7.7)		(9.5)		(21.2)		(102.8)
Total investment losses	$	(29.3)	$	(17.7)	$	(79.2)	$	(99.2)

(a) Changes in the allowance for credit losses includes $1.6 million and $5.7 million in the three months ended September 30, 2023 and 2022, respectively, and $2.6 million and $(2.8) million in the nine months ended September 30, 2023 and 2022, respectively, related to investments held by variable interest entities ("VIEs").

(b) Changes in the estimated fair value of equity securities (that are still held as of the end of the respective periods) were $(0.7) million and $(6.9) million for the nine months ended September 30, 2023 and 2022, respectively.

(c) Changes in the estimated fair value of trading securities that we have elected the fair value option (that are still held as of the end of the respective periods) were $(8.0) million and $(36.6) million in the nine months ended September 30, 2023 and 2022, respectively.

During the first nine months of 2023, we recognized net investment losses of $79.2 million, which were comprised of: (i) $50.5 million of net losses from the sales of investments; (ii) $1.1 million of losses related to equity securities, including the change in fair value; (iii) $11.4 million of losses related to certain fixed maturity investments with embedded derivatives, including the change in fair value; (iv) the decrease in fair value of embedded derivatives related to a modified coinsurance agreement of $2.5 million; and (v) an increase in the allowance for credit losses of $13.7 million.

During the first nine months of 2022, we recognized net investment losses of $99.2 million, which were comprised of: (i) $11.9 million of net gains from the sales of investments; (ii) $10.7 million of losses related to equity securities, including the

change in fair value; (iii) the decrease in fair value of certain fixed maturity investments with embedded derivatives of $37.4 million; (iv) the decrease in fair value of embedded derivatives related to a modified coinsurance agreement of $16.1 million; and (v) an increase in the allowance for credit losses of $46.9 million.

Our fixed maturity investments are generally purchased in the context of various long-term strategies, including funding insurance liabilities, so we do not generally seek to generate short-term realized gains through the purchase and sale of such securities. In certain circumstances, including those in which securities are selling at prices which exceed our view of their underlying economic value, or when it is possible to reinvest the proceeds to better meet our long-term asset-liability objectives, we may sell certain securities.

During the first nine months of 2023, the $45.8 million of gross realized losses on sales of $527.0 million of fixed maturity securities, available for sale, included: (i) $37.8 million related to various corporate securities; (ii) $6.0 million related to commercial mortgage-backed securities; and (iii) $2.0 million related to various other investments. Securities are generally sold at a loss following unforeseen issuer-specific events or conditions or shifts in perceived relative values. These reasons include but are not limited to: (i) changes in the investment environment; (ii) expectation that the market value could deteriorate; (iii) our desire to reduce our exposure to an asset class, an issuer or an industry; (iv) prospective or actual changes in credit quality; (v) better match certain characteristics of our investment portfolio with the corresponding characteristics of our insurance liabilities; or (vi) changes in expected portfolio cash flows.

During the first nine months of 2022, the $81.3 million of gross realized losses on sales of $1,321.7 million of fixed maturity securities, available for sale, included: (i) $54.3 million related to various corporate securities; (ii) $14.0 million related to non-agency residential mortgage-backed securities; (iii) $7.3 million related to states and political subdivisions; and (iv) $5.7 million related to various other investments.

Future events may occur, or additional information may become available, which may necessitate future realized losses in our portfolio. Significant losses could have a material adverse effect on our consolidated financial statements in future periods.