Due in one year or less, cost or amortized cost, net of allowance

  


|  |  |  |  |  |  |  |  |  |  |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
|  |  |  |  |  |  |  |  |  |  |  |  |
|  | December 31, 2021 |
|  | Cost orAmortizedCost, Net of Allowance |  | Fair Value |
| Due in one year or less | $ | 15.3  |  |  | $ | 15.1  |  |
| Due after one year through five years | 443.2  |  |  | 436.6  |  |
| Due after five years through ten years | 602.9  |  |  | 591.3  |  |
| Due after ten years | 369.8  |  |  | 360.3  |  |
| Total | 1,431.2  |  |  | 1,403.3  |  |
| Asset-backed | 269.8  |  |  | 267.5  |  |
| Commercial mortgage-backed | 280.1  |  |  | 276.8  |  |
| Residential mortgage-backed | 105.7  |  |  | 104.0  |  |
| Total | $ | 2,086.8  |  |  | $ | 2,051.6  |  |

  The Company has entered into commercial mortgage loans, collateralized by the underlying real estate, on properties located throughout the U.S. As of December 31, 2021, approximately 38% of the outstanding principal balance of commercial mortgage loans was concentrated in the states of California, Texas and Illinois. Although the Company has a diversified loan portfolio, an economic downturn could have an adverse impact on the ability of its debtors to repay their loans. The outstanding balance of commercial mortgage loans range in size from $0.1 million to $9.6 million as of December 31, 2021 and from $0.1 million to $9.9 million as of December 31, 2020. Credit quality indicators for commercial mortgage loans are loan-to-value and debt-service coverage ratios. The loan-to-value ratio compares the principal amount of the loan to the fair value of the underlying property collateralizing the loan, and is commonly expressed as a percentage. The debt-service coverage ratio compares a property’s net operating income to its debt-service payments and is commonly expressed as a ratio. The loan-to-value and debt-service coverage ratios are generally updated annually in the fourth quarter.The following table presents the amortized cost basis of commercial mortgage loans, excluding allowance for credit losses, by origination year for certain key credit quality indicators at December 31, 2021 and 2020, respectively. 

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|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|  | 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  | % |

F-35
