
($ in thousands)	2021		2020	2019
AFS securities:
Fixed income securities	$	228,947	386,380	215,634

Total AFS securities	228,947		386,380	215,634

HTM securities:
Fixed income securities	(4)		7	31
Total HTM securities	(4)		7	31

Short-term securities	20		6	23

Total net unrealized gains	228,963		386,393	215,688
Deferred income tax	(48,082)		(81,142)	(45,294)
Net unrealized gains, net of deferred income tax	180,881		305,251	170,394



Increase (decrease) in net unrealized gains in OCI, net of deferred income tax	$	(124,370)	134,857	168,505


December 31, 2021
	Cost/
	Amortized		Allowance for	Unrealized	Unrealized	Fair
($ in thousands)	Cost		Credit Losses	Gains	Losses	Value
AFS fixed income securities:
U.S. government and government agencies	$	127,974	—	3,629	(1,145)	130,458
Foreign government	15,420		(46)	609	(123)	15,860
Obligations of states and political subdivisions	1,121,422		(137)	68,258	(235)	1,189,308
Corporate securities	2,478,348		(6,682)	106,890	(4,953)	2,573,603
CLO and other ABS	1,343,687		(939)	14,350	(6,284)	1,350,814
RMBS	756,280		(1,909)	24,813	(2,932)	776,252
CMBS	647,622		(11)	27,752	(1,682)	673,681
Total AFS fixed income securities	$	6,490,753	(9,724)	246,301	(17,354)	6,709,976


December 31, 2020
	Cost/
	Amortized		Allowance for		Unrealized	Unrealized	Fair
($ in thousands)	Cost		Credit Losses		Gains	Losses	Value
AFS fixed income securities:
U.S. government and government agencies	$	110,038	—		6,239	(137)	116,140
Foreign government	16,801		(1)		1,569	(3)	18,366
Obligations of states and political subdivisions	1,159,588		(4)		87,564	(11)	1,247,137
Corporate securities	2,152,203		(2,782)		180,971	(2,340)	2,328,052
CLO and other ABS	1,014,820		(592)		20,166	(7,843)	1,026,551
RMBS	999,485		(561)		53,065	(201)	1,051,788
CMBS	620,582		(29)		48,348	(1,007)	667,894
Total AFS fixed income securities	$	6,073,517	$	(3,969)	397,922	(11,542)	6,455,928


2021	Beginning Balance		Current Provisions for Securities without Prior Allowance	Increase (Decrease) on Securities with Prior Allowance, excluding intent (or Requirements) to Sell Securities	Reductions for Securities Sold	Reductions for Securities Identified as Intent (or Requirement) to Sell during the Period	Ending Balance
($ in thousands)
Foreign Government	$	1	46	(1)	—	—	46
Obligations of states and political subdivisons	4		122	11	—	—	137
Corporate Securities	2,782		5,785	(992)	(723)	(170)	6,682
CLO and other ABS	592		579	(211)	(21)	—	939
RMBS	561		1,593	(63)	(182)	—	1,909
CMBS	29		10	(28)	—	—	11
Total AFS fixed income securities	$	3,969	8,135	(1,284)	(926)	(170)	9,724


2020	Beginning Balance		Current Provisions for Securities without Prior Allowance	Increase (Decrease) on Securities with Prior Allowance, excluding intent (or Requirements) to Sell Securities	Reductions for Securities Sold	Reductions for Securities Identified as Intent (or Requirement) to Sell during the Period	Ending Balance
($ in thousands)
Foreign Government	$	—	19	—	(18)	—	1
Obligations of states and political subdivisons	—		4	—	—	—	4
Corporate Securities	—		3,645	—	(781)	(82)	2,782
CLO and other ABS	—		722	—	(113)	(17)	592
RMBS	—		623	—	(62)	—	561
CMBS	—		29	—	—	—	29
Total AFS fixed income securities	$	—	5,042	—	(974)	(99)	3,969

During 2021 or 2020, we did not have any write-offs or recoveries of our AFS fixed income securities and we did not purchase any assets with credit deterioration, so these items are not included in the tables above.

securities for expected credit loss as we write-off these balances in a timely manner. Accrued interest on AFS securities was $46.3 million as of December 31, 2021, and $43.8 million as of December 31, 2020. We did not record any material write-offs of accrued interest during 2021 or 2020.


December 31, 2021	Less than 12 months			12 months or longer		Total
($ in thousands)	Fair Value		Unrealized Losses	Fair Value	Unrealized Losses	Fair Value	Unrealized Losses
AFS fixed income securities:
U.S. government and government agencies	$	34,857	(746)	7,827	(399)	42,684	(1,145)
Foreign government	2,000		(84)	1,061	(39)	3,061	(123)
Obligations of states and political subdivisions	25,837		(235)	—	—	25,837	(235)
Corporate securities	300,549		(4,903)	2,520	(50)	303,069	(4,953)
CLO and other ABS	663,976		(4,934)	53,368	(1,350)	717,344	(6,284)
RMBS	236,010		(2,931)	20	(1)	236,030	(2,932)
CMBS	112,899		(1,016)	20,326	(666)	133,225	(1,682)
Total AFS fixed income securities	$	1,376,128	(14,849)	85,122	(2,505)	1,461,250	(17,354)


December 31, 2020	Less than 12 months			12 months or longer		Total
($ in thousands)	Fair Value		Unrealized Losses	Fair Value	Unrealized Losses	Fair Value	Unrealized Losses
AFS fixed income securities:
U.S. government and government agencies	$	11,519	(137)	—	—	11,519	(137)
Foreign government	1,122		(3)	—	—	1,122	(3)
Obligations of states and political subdivisions	2,223		(11)	—	—	2,223	(11)
Corporate securities	65,187		(2,152)	2,400	(188)	67,587	(2,340)
CLO and other ABS	261,746		(2,995)	165,661	(4,848)	427,407	(7,843)
RMBS	18,227		(194)	1,181	(7)	19,408	(201)
CMBS	55,482		(616)	16,093	(391)	71,575	(1,007)
Total AFS fixed income securities	$	415,506	(6,108)	185,335	(5,434)	600,841	(11,542)

We do not currently intend to sell any of the securities in the tables above, nor will we be required to sell any of these securities. The increase in gross unrealized losses during 2021 was driven by an increase in benchmark U.S. Treasury rates, partially offset by a tightening of credit spreads. Considering these factors and our review of these securities under our credit loss policy as described in Note 2. “Summary of Significant Accounting Policies” of this Form 10-K, we have concluded that no allowance for credit loss is required on these balances. This conclusion reflects our current judgment about the financial position and future prospects of the entity that issued the investment security and underlying collateral.

(d) Fixed income securities at December 31, 2021, by contractual maturity are shown below. Mortgage-backed securities are included in the maturity tables using the estimated average life of each security. Expected maturities may differ from contractual maturities because issuers may have the right to call or prepay obligations with or without call or prepayment penalties.


	AFS		HTM
($ in thousands)	Fair Value		Carrying Value	Fair Value
Due in one year or less	$	500,579	1,384	1,401
Due after one year through five years	3,182,282		11,811	12,493
Due after five years through 10 years	2,316,389		15,590	15,566
Due after 10 years	710,726		—	—
Total fixed income securities	$	6,709,976	28,785	29,460


Other Investments	December 31, 2021				December 31, 2020
($ in thousands)	Carrying Value		Remaining Commitment	Maximum Exposure to Loss1	Carrying Value	Remaining Commitment	Maximum Exposure to Loss1
Alternative Investments
Private equity	$	273,070	99,734	372,804	157,276	100,905	258,181
Private credit	63,138		92,674	155,812	54,017	98,330	152,347
Real assets	23,524		22,579	46,103	19,659	16,493	36,152




Total alternative investments	359,732		214,987	574,719	230,952	215,728	446,680
Other securities	49,300		—	49,300	35,370	—	35,370
Total other investments	$	409,032	214,987	624,019	266,322	215,728	482,050

1In addition to the amounts in this table, previously recognized tax credits are subject to the risk of recapture. We do not consider this significant and therefore do not include in this table.

We are contractually committed to make additional investments up to the remaining commitments stated above. We did not provide any non-contractual financial support during 2021 or 2020.

•Primary Private Equity: This strategy makes private equity investments, primarily in established large and middle market companies across diverse industries globally, with an emphasis on North America.

•Secondary Private Equity: This strategy purchases seasoned private equity funds from investors desiring liquidity prior to normal fund termination. Investments are made across all sectors of the private equity market, including leveraged buyouts ("LBO"), venture capital, distressed securities, mezzanine financing, real estate, and infrastructure.

•Venture Capital: In general, these investments are made principally by investing in equity securities of startup companies and small-to-medium sized privately-held corporations with strong long-term growth potential. This strategy makes private equity investments in seed stage, early stage, late stage, and growth equity partnerships.

•Direct Lending: This strategy provides privately negotiated loans to U.S. middle market companies. Typically, these are floating rate, senior secured loans diversified across industries. Loans are made to companies that may or may not have private equity sponsors to finance LBOs, recapitalizations, and acquisitions.

•Mezzanine Financing: This strategy provides privately-negotiated fixed income securities, generally with an equity component, to LBO firms and private and publicly-traded large, mid, and small-cap companies to finance LBOs, recapitalizations, and acquisitions.

•Opportunistic and Distressed Debt: This strategy makes investments in debt and equity securities of companies that are experiencing financial distress, operational issues, or dislocated pricing of publicly-traded securities. Investments include buying indebtedness of bankrupt or financially-troubled companies, small balance loan portfolios, special situations and capital structure arbitrage trades, commercial real estate mortgages, and similar non-U.S. securities and debt obligations.

•Infrastructure: This strategy invests in the equity or debt of cash flow generating assets, diversified across a variety of industries, including transportation, energy infrastructure, renewable power, such as wind and solar, social infrastructure, power generation, water, telecom, and other regulated entities principally located in North America and Western Europe.

•Real Estate: This strategy invests in real estate in North America, Europe, and Asia via direct property ownership, joint ventures, mortgages, and investments in equity and debt instruments.

Our alternative investment strategies may employ leverage and may use hedging to reduce foreign exchange or interest rate volatility. At this time, our alternative investment strategies do not include hedge funds. We typically cannot redeem our investments with the general partners of these investments; however, occasionally these partnership positions can be sold on the secondary market. Once liquidation is triggered by clauses within the limited partnership agreements or at the funds’ stated end date, we receive our final allocation of capital and any earned appreciation of the underlying investments, assuming we have not divested ourselves of our partnership interests prior to that time. We currently receive distributions from these alternative investments through the realization of the underlying investments of, or income generated by, the limited partnerships.

The following tables show gross summarized financial information for our other investments portfolio, including the portion we do not own. As the majority of these investments report results to us on a one quarter lag, the summarized financial statement information is as of, and for the 12-month period ended, September 30:


Balance Sheet Information
December 31,
($ in millions)	2021		2020
Investments	$	107,347	55,145
Total assets	112,232		58,819
Total liabilities	12,371		6,744
Total partners’ capital	99,861		52,075


Income Statement Information
12 months ended September 30,
($ in millions)	2021		2020	2019
Net investment (loss) income	$	653	(26)	(8)
Realized gains	6,121		1,452	695
Net change in unrealized appreciation	26,877		4,898	5,543
Net income before tax	$	33,651	6,324	6,230

Alternative investment income included in "Net investment income earned" on our Consolidated Statements of Income	117.7		26.5	17.9

(f) We did not have exposure to any credit concentration risk of a single issuer greater than 10% of our stockholders' equity, other than to certain U.S. government agencies, as of December 31, 2021 or December 31, 2020.

(g) We have pledged certain AFS fixed income securities as collateral related to our borrowing relationships with the Federal Home Loan Bank of Indianapolis ("FHLBI") and the Federal Home Loan Bank of New York ("FHLBNY"). In addition, certain securities were on deposit with various state and regulatory agencies at December 31, 2021 to comply with insurance laws. We retain all rights regarding all securities pledged as collateral.


($ in millions)	FHLBI Collateral		FHLBNY Collateral	State and Regulatory Deposits	Total
U.S. government and government agencies	$	—	—	22.3	22.3
Obligations of states and political subdivisions	—		—	4.0	4.0

RMBS	62.4		40.4	—	102.8
CMBS	6.3		14.1	—	20.4
Total pledged as collateral	$	68.7	54.5	26.3	149.5


($ in thousands)	2021		2020	2019
Fixed income securities	$	209,709	203,926	203,255
CMLs	2,743		844	—
Equity securities	15,920		9,286	6,996
Short-term investments	260		1,821	6,653
Other investments	118,060		26,922	18,778
Investment expenses	(20,103)		(15,692)	(13,139)
Net investment income earned	$	326,589	227,107	222,543


($ in thousands)	2021		2020	2019
Gross gains on sales	$	15,284	18,893	31,910
Gross losses on sales	(8,140)		(9,745)	(5,195)
Net realized gains on disposals	7,144		9,148	26,715
Net unrealized gains (losses) on equity securities	17,881		7,939	(8,649)
Net credit loss (expense) on fixed maturities, AFS	(6,858)		(5,042)
Net credit loss (expense) benefit on fixed maturities, HTM	(49)		4
Losses on securities for which we have the intent to sell	(519)		(16,266)
Net other-than-temporary-impairment ("OTTI") losses recognized in earnings				(3,644)
Net realized and unrealized gains (losses)	$	17,599	(4,217)	14,422


($ in thousands)	2021		2020	2019
Unrealized gains (losses) recognized in income on equity securities:
On securities remaining in our portfolio at end of period	$	16,473	7,936	1,219
On securities sold in period	1,408		3	(9,868)
Total unrealized gains (losses) recognized in income on equity securities	$	17,881	7,939	(8,649)

Proceeds from the sales of AFS fixed income securities were $502.9 million, $487.1 million, and $594.7 million in 2021, 2020, and 2019, respectively. Proceeds from the sales of equity securities were $99.2 million, $1.3 million, and $137.3 million in 2021, 2020, and 2019, respectively.