
($ in millions)	Year Ended December 31,
	2021		2020		2019
Fixed maturity securities	$	235.6	$	232.9	$	283.2
Equity securities	5.3		4.7		4.9
Limited partnership interests	79.0		20.9		25.7
Short-term and other investments	11.6		11.4		(10.1)
Investment expenses	(10.1)		(9.6)		(9.4)
Net investment income - investment portfolio	321.4		260.3		294.3
Investment income - deposit asset on reinsurance	101.1		97.3		70.8
Total net investment income	$	422.5	$	357.6	$	365.1

(1) Net investment gains on fixed maturity securities include a $135.3 million realized investment gain associated with a transfer of investments to a reinsurer as consideration paid in connection with a reinsurance transaction of a $2.9 billion block of in force fixed and variable annuity business in 2019. See Notes 6 and 18 for further information.

The Company, from time to time, sells fixed maturity securities subsequent to the reporting date that were considered temporarily impaired at such reporting date. Such sales are due to issuer specific events occurring subsequent to the reporting date that result in a change in the Company's intent or ability to hold a fixed maturity security. The types of events that may result in a sale include significant changes in the economic facts and circumstances related to the invested asset, significant unforeseen changes in liquidity needs, or changes in the Company's investment strategy.


($ in millions)	Year Ended December 31,
	2021		2020		2019
Credit loss impairments(1)	$	(8.1)	$	—	$	(1.1)
Intent-to-sell impairments	(2.3)		(5.3)		(0.3)
Total impairments on investments recognized in net income	(10.4)		(5.3)		(1.4)
Sales and other, net	4.3		15.0		151.5
Change in fair value - equity securities	(2.3)		(0.2)		7.3
Change in fair value and losses realized on settlements - derivatives	(2.6)		(11.8)		(4.1)
Net investment (losses) gains	$	(11.0)	$	(2.3)	$	153.3

The following table presents changes in the allowance for credit loss impairments on fixed maturity securities classified as available for sale for the category of other asset-backed securities (no other categories of fixed maturity securities have an allowance for credit loss impairments):


($ in millions)	Year Ended December 31,
	2021		2020
Beginning balance	$	—	$	—
Credit losses on fixed maturity securities for which credit losses were not previously reported(1)	8.1		—
Net (increases) decreases related to credit losses previously reported	—		—
Reduction of credit allowances related to sales	—		—
Write-offs	(0.4)		—
Ending balance	$	7.7	$	—


($ in millions)	Amortized Cost, net		Gross Unrealized Gains		Gross Unrealized Losses		Fair Value
December 31, 2021
Fixed maturity securities
U.S. Government and federally sponsored agency obligations:(1)
Mortgage-backed securities	$	612.1	$	51.9	$	1.5	$	662.5
Other, including U.S. Treasury securities	342.5		27.7		4.3		365.9
Municipal bonds	1,519.7		184.4		0.7		1,703.4
Foreign government bonds	40.2		3.4		—		43.6
Corporate bonds	2,217.7		176.2		5.2		2,388.7
Other asset-backed securities	1,065.5		16.6		6.9		1,075.2
Totals	$	5,797.7	$	460.2	$	18.6	$	6,239.3

December 31, 2020
Fixed maturity securities
U.S. Government and federally sponsored agency obligations:(1)
Mortgage-backed securities	$	605.5	$	79.6	$	0.3	$	684.8
Other, including U.S. Treasury securities	395.0		39.2		1.0		433.2
Municipal bonds	1,612.3		215.7		0.5		1,827.5
Foreign government bonds	40.2		4.9		—		45.1
Corporate bonds	1,905.2		221.6		3.9		2,122.9
Other asset-backed securities	1,230.4		24.1		22.7		1,231.8
Totals	$	5,788.6	$	585.1	$	28.4	$	6,345.3

(1) Fair value includes securities issued by Federal National Mortgage Association (FNMA) of $376.7 million and $387.1 million; Federal Home Loan Mortgage Corporation (FHLMC) of $326.5 million and $344.3 million; and Government National Mortgage Association (GNMA) of $112.1 million and $132.3 million as of December 31, 2021 and 2020, respectively.

The following table presents the fair value and gross unrealized losses for fixed maturity securities in an unrealized loss position at December 31, 2021 and 2020, respectively. The Company views the decrease in fair value of all fixed maturity securities with unrealized losses at December 31, 2021 — which was driven largely by increasing interest rates, spread widening, financial market illiquidity and/or market volatility from the date of acquisition — as temporary. As of December 31, 2021, the Company has not made the decision to sell and it is not more likely than not the Company will be required to sell the fixed maturity securities with unrealized losses before anticipated recovery in value. Therefore, it was determined that the unrealized losses on the fixed maturity securities presented in the table below were not indicative of any impairments as of December 31, 2021.


($ in millions)	12 months or less					More than 12 months					Total
	Fair Value			Gross Unrealized Losses		Fair Value			Gross Unrealized Losses		Fair Value			Gross Unrealized Losses
December 31, 2021
Fixed maturity securities
U.S. Government and federally sponsored agency obligations:
Mortgage-backed securities	$	67.4		$	1.3	$	3.9		$	0.2	$	71.3		$	1.5
Other	59.5			1.7		35.1			2.6		94.6			4.3
Municipal bonds	56.8			0.7		0.6			—		57.4			0.7
Foreign government bonds	—			—		—			—		—			—
Corporate bonds	220.7			3.8		44.1			1.4		264.8			5.2
Other asset-backed securities	379.0			3.8		128.2			3.1		507.2			6.9
Total	$	783.4		$	11.3	$	211.9		$	7.3	$	995.3		$	18.6

Number of positions with a gross unrealized loss	516					122					638
Fair value as a percentage of total fixed maturities securities fair value	12.6		%			3.4		%			16.0		%

December 31, 2020
Fixed maturity securities
U.S. Government and federally sponsored agency obligations:
Mortgage-backed securities	$	4.9		$	0.1	$	2.6		$	0.2	$	7.5		$	0.3
Other	95.9			1.0		—			—		95.9			1.0
Municipal bonds	18.1			0.5		—			—		18.1			0.5
Foreign government bonds	—			—		—			—		—			—
Corporate bonds	126.6			3.7		10.9			0.2		137.5			3.9
Other asset-backed securities	316.9			17.2		409.3			5.5		726.2			22.7
Total	$	562.4		$	22.5	$	422.8		$	5.9	$	985.2		$	28.4

Number of positions with a gross unrealized loss	308					123					431
Fair value as a percentage of total fixed maturities securities fair value	8.9		%			6.7		%			15.6		%

Fixed maturity securities with an investment grade rating represented 69.8% of the gross unrealized losses as of December 31, 2021. With respect to fixed maturity securities involving securitized financial assets, the underlying collateral cash flows were stress tested to determine there was no adverse change in the present value of cash flows below the amortized cost basis.

The following table presents the distribution of the Company's fixed maturity securities portfolio by estimated expected maturity. Estimated expected maturities differ from contractual maturities, reflecting assumptions regarding borrowers' utilization of the right to call or prepay obligations with or without call or prepayment penalties. For structured securities, estimated expected maturities consider broker-dealer survey prepayment assumptions and are verified for consistency with the interest rate and economic environments.


($ in millions)	December 31, 2021
	Amortized Cost, net		Fair Value		Percent of Total Fair Value
Estimated expected maturity:
Due in 1 year or less	$	245.4	$	250.8	4.0	%
Due after 1 year through 5 years	1,613.8		1,686.2		27.0	%
Due after 5 years through 10 years	1,600.5		1,729.5		27.7	%
Due after 10 years through 20 years	1,339.9		1,488.2		23.9	%
Due after 20 years	998.1		1,084.6		17.4	%
Total	$	5,797.7	$	6,239.3	100.0	%

Average option-adjusted duration, in years	6.7


($ in millions)	Year Ended December 31,
	2021		2020		2019(1)
Fixed maturity securities
Proceeds received	$	578.2	$	472.9	$	805.9
Gross gains realized	10.5		20.5		150.9
Gross losses realized	(7.7)		(6.1)		(7.8)

Equity securities
Proceeds received	$	4.7	$	12.7	$	29.9
Gross gains realized	1.5		2.2		9.2
Gross losses realized	(0.1)		(1.9)		(0.8)

(1) Gross gains realized presented above include a $135.3 million realized investment gain associated with a transfer of investments to a reinsurer as consideration paid during the second quarter of 2019 in connection with the reinsurance of a $2.9 billion block of in force fixed and variable annuity business. See Notes 6 and 18 for further information.


($ in millions)	Year Ended December 31,
	2021		2020		2019
Net unrealized investment gains (losses) on fixed maturity securities, net of tax
Beginning of period	$	439.8	$	264.4	$	111.7
Change in net unrealized investment (losses) gains on fixed maturity securities	(97.6)		184.2		277.1
Reclassification of net investment losses (gains) on fixed maturity securities to net income	6.7		(8.8)		(124.4)
End of period	$	348.9	$	439.8	$	264.4

All investments in limited partnership interests are accounted for using EMA and include interests in commercial mortgage loan funds, private equity funds, infrastructure debt funds, infrastructure equity funds and other funds. Principal factors influencing carrying amount appreciation or decline include operating performance, comparable public company earnings multiples, capitalization rates and the economic environment. The Company recognizes an impairment loss for equity method limited partnership interests when evidence demonstrates that the loss is other than temporary. Evidence of a loss in value that is other than temporary may include the absence of an ability to recover the carrying amount of the investment or the inability of the investee to sustain a level of earnings that would justify the carrying amount of the investment. The carrying amounts of equity method limited partnership interests were as follows:

The Company's derivatives are subject to enforceable master netting arrangements. Collateral support agreements associated with each master netting arrangement provide that the Company will receive or pledge financial collateral in the event minimum thresholds have been reached.


($ in millions)			Gross Amounts Offset in the Consolidated Balance Sheets		Net Amounts of Assets/ Liabilities Presented in the Consolidated Balance Sheets		Gross Amounts Not Offset in the Consolidated Balance Sheets
	Gross Amounts						Financial Instruments		Cash Collateral Received		Net Amount
December 31, 2021
Asset derivatives
Free-standing derivatives	$	10.7	$	—	$	10.7	$	4.5	$	6.4	$	(0.2)

December 31, 2020
Asset derivatives
Free-standing derivatives	$	16.8	$	—	$	16.8	$	13.7	$	2.6	$	0.5

At December 31, 2021 and 2020, fixed maturity securities with a fair value of $26.2 million and $26.9 million, respectively, were on deposit with governmental agencies as required by law in various states for which the insurance subsidiaries of the Company conduct business. In addition, at December 31, 2021 and 2020, fixed maturity securities with a fair value of $870.1 million and $707.3 million, respectively, were on deposit with FHLB as collateral for amounts subject to funding agreements, advances and borrowings which were equal to $787.5 million and $644.5 million at the respective dates. The deposited securities are reported as Fixed maturity securities on the Company's Consolidated Balance Sheets.