
September 30, 2021
($ in thousands)	Cost/ Amortized Cost		Allowance for Credit Losses	Unrealized Gains	Unrealized Losses	Fair Value
AFS fixed income securities:
U.S. government and government agencies	$	128,415	—	3,600	(957)	131,058
Foreign government	14,567		(47)	695	(75)	15,140
Obligations of states and political subdivisions	1,094,619		(99)	71,507	(103)	1,165,924
Corporate securities	2,420,904		(4,719)	131,442	(3,101)	2,544,526
Collateralized loan obligations ("CLO") and other asset-backed securities ("ABS")	1,326,348		(926)	18,896	(4,517)	1,339,801
Residential mortgage-backed securities ("RMBS")	785,840		(1,363)	33,361	(1,056)	816,782
Commercial mortgage-backed securities ("CMBS")	630,474		(15)	34,465	(1,085)	663,839
Total AFS fixed income securities	$	6,401,167	(7,169)	293,966	(10,894)	6,677,070


December 31, 2020
($ in thousands)	Cost/ Amortized Cost		Allowance for Credit Losses	Unrealized Gains	Unrealized Losses	Fair 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


Quarter ended September 30, 2021
($ in thousands)	Beginning Balance		Current Provision for Securities without Prior Allowance	Increase (Decrease) on Securities with Prior Allowance, excluding intent (or Requirement) to Sell Securities	Reductions for Securities Sold	Reductions for Securities Identified as Intent (or Requirement) to Sell during the Period	Ending Balance
Foreign government	$	49	—	(2)	—	—	47
Obligations of states and political subdivisions	38		61	—	—	—	99
Corporate securities	3,477		1,307	64	(49)	(80)	4,719
CLO and other ABS	1,399		46	(517)	(2)	—	926
RMBS	1,034		248	125	(44)	—	1,363
CMBS	14		4	(3)	—	—	15
Total AFS fixed income securities	$	6,011	1,666	(333)	(95)	(80)	7,169


Quarter ended September 30, 2020
($ in thousands)	Beginning Balance		Current Provision for Securities without Prior Allowance	Increase (Decrease) on Securities with Prior Allowance, excluding intent (or Requirement) to Sell Securities	Reductions for Securities Sold	Reductions for Securities Identified as Intent (or Requirement) to Sell during the Period	Ending Balance
Foreign government	$	28	—	(2)	(19)	—	7
Obligations of states and political subdivisions	17		9	(11)	—	—	15
Corporate securities	8,077		1,016	(3,455)	(265)	(15)	5,358
CLO and other ABS	1,389		—	(210)	(51)	(7)	1,121
RMBS	831		—	(157)	(27)	—	647
CMBS	53		—	(21)	—	—	32
Total AFS fixed income securities	$	10,395	1,025	(3,856)	(362)	(22)	7,180


Nine Months ended September 30, 2021
($ in thousands)	Beginning Balance		Current Provision for Securities without Prior Allowance	Increase (Decrease) on Securities with Prior Allowance, excluding intent (or Requirement) to Sell Securities	Reductions for Securities Sold	Reductions for Securities Identified as Intent (or Requirement) to Sell during the Period	Ending Balance
Foreign government	$	1	47	(1)	—	—	47
Obligations of states and political subdivisions	4		84	11	—	—	99
Corporate securities	2,782		3,413	(765)	(570)	(141)	4,719
CLO and other ABS	592		573	(219)	(20)	—	926
RMBS	561		1,018	(95)	(121)	—	1,363
CMBS	29		4	(18)	—	—	15
Total AFS fixed income securities	$	3,969	5,139	(1,087)	(711)	(141)	7,169


Nine Months ended September 30, 2020
($ in thousands)	Beginning Balance		Current Provision for Securities without Prior Allowance	Increase (Decrease) on Securities with Prior Allowance, excluding intent (or Requirement) to Sell Securities	Reductions for Securities Sold	Reductions for Securities Identified as Intent (or Requirement) to Sell during the Period	Ending Balance
Foreign government	$	—	26	—	(19)	—	7
Obligations of states and political subdivisions	—		15	—	—	—	15
Corporate securities	—		6,100	—	(659)	(83)	5,358
CLO and other ABS	—		1,237	—	(109)	(7)	1,121
RMBS	—		690	—	(43)	—	647
CMBS	—		32	—	—	—	32
Total AFS fixed income securities	$	—	8,100	—	(830)	(90)	7,180

For information on our methodology and significant inputs used to measure expected credit losses, our accounting policy for recognizing write-offs of uncollectible amounts, and our treatment of accrued interest, refer to Note 2. "Summary of Significant Accounting Policies" in Item 8. "Financial Statements and Supplementary Data." of our 2020 Annual Report. Accrued interest on AFS securities was $44.9 million as of September 30, 2021, and $43.8 million as of December 31, 2020. We did not record any material write-offs during 2021 or 2020.


September 30, 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	$	34,717	(940)	156	(17)	34,873	(957)
Foreign government	3,114		(75)	—	—	3,114	(75)
Obligations of states and political subdivisions	7,936		(103)	—	—	7,936	(103)
Corporate securities	236,164		(3,067)	2,412	(34)	238,576	(3,101)
CLO and other ABS	515,458		(3,723)	57,153	(794)	572,611	(4,517)
RMBS	111,648		(1,055)	20	(1)	111,668	(1,056)
CMBS	75,714		(941)	8,286	(144)	84,000	(1,085)
Total AFS fixed income securities	$	984,751	(9,904)	68,027	(990)	1,052,778	(10,894)


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 reflected in the tables above, nor do we expect that we will be required to sell any of these securities. The decrease in gross unrealized losses during Nine Months 2021 was driven by a tightening of credit spreads, partially offset by an increase in longer-dated benchmark United States Treasury rates. Considering these factors and our review of these securities under our credit loss policy as described in Note 2. "Summary of Significant Accounting Policies" in Item 8. "Financial Statements and Supplementary Data." of our 2020 Annual Report, 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.

(c) Fixed income securities at September 30, 2021 are summarized below by contractual maturity. Mortgage-backed securities are reflected in the table 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	$	511,751	32	33
Due after one year through five years	3,389,351		14,548	15,340
Due after five years through 10 years	2,101,275		10,672	10,664
Due after 10 years	674,693		—	—
Total fixed income securities	$	6,677,070	25,252	26,037


Other Investments	September 30, 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	$	257,160	103,792	360,952	157,276	100,905	258,181
Private credit	62,462		91,991	154,453	54,017	98,330	152,347
Real assets	22,870		23,466	46,336	19,659	16,493	36,152
Total alternative investments	342,492		219,249	561,741	230,952	215,728	446,680
Other securities	50,296		—	50,296	35,370	—	35,370
Total other investments	$	392,788	219,249	612,037	266,322	215,728	482,050

1The maximum exposure to loss includes both the carry value of these investments and the related remaining commitments. In addition, tax credits that have been previously recognized in Other securities are subject to the risk of recapture, which we do not consider significant.

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

The following table shows gross summarized financial information for our other investments portfolio, including the portion we do not own. The majority of these investments are carried under the equity method of accounting and report results to us on a one-quarter lag. The following table provides (i) the gross summarized financial statement information for these investments for the three and nine-months ended June 30, and (ii) the portion of these results included in our Third Quarter and Nine Months results:


Income Statement Information	Quarter ended September 30,			Nine Months ended September 30,
($ in millions)	2021		2020	2021		2020
Net investment income	$	60.4	83.4	$	550.3	92.9
Realized gains	1,857.6		731.3	4,026.2		1,075.0
Net change in unrealized appreciation	11,188.2		2,230.4	20,767.9		571.6
Net income	$	13,106.2	3,045.1	$	25,344.4	1,739.5
Alternative investment income included in "Net investment income earned" on our Consolidated Statements of Income	$	42.8	18.7	$	92.9	8.9

(e) Certain of our insurance subsidiaries, as members of the Federal Home Loan Bank of Indianapolis ("FHLBI") and the Federal Home Loan Bank of New York ("FHLBNY"), have pledged certain AFS fixed income securities as collateral. Additionally, to comply with insurance laws, certain of our insurance subsidiaries have deposited certain securities with various state and regulatory agencies at September 30, 2021. We retain all rights regarding all securities pledged as collateral. The following table summarizes the market value of these securities at September 30, 2021:


($ in millions)	FHLBI Collateral		FHLBNY Collateral	State and Regulatory Deposits	Total
U.S. government and government agencies	$	—	—	22.1	22.1
Obligations of states and political subdivisions	—		—	4.0	4.0



RMBS	67.8		44.8	—	112.6
CMBS	6.6		14.6	—	21.2


Total pledged as collateral	$	74.4	59.4	26.1	159.9

(f) We did not have exposure to any credit concentration risk of a single issuer greater than 10% of our stockholders' equity, other than certain U.S. government-backed investments, as of September 30, 2021, or December 31, 2020.


	Quarter ended September 30,			Nine Months ended September 30,
($ in thousands)	2021		2020	2021		2020
Fixed income securities	$	51,683	51,285	$	157,114	152,617
Commercial mortgage loans ("CMLs")	683		245	1,892		463
Equity securities	2,955		1,948	8,425		5,523
Short-term investments	64		244	204		1,830
Other investments	42,865		18,671	93,158		9,167
Investment expenses	(5,218)		(4,208)	(14,314)		(11,004)
Net investment income earned	$	93,032	68,185	$	246,479	158,596

The increases in net investment income earned in Third Quarter and Nine Months 2021 compared to the prior year periods were driven by the alternative investments in our other investments portfolio. The results principally reflect unrealized gains on our private equity holdings that benefited from the upward movement in private market valuations in the three and nine-month periods ending June 30, 2021, as our results on these holdings are recorded on a one-quarter lag.


	Quarter ended September 30,			Nine Months ended September 30,
($ in thousands)	2021		2020	2021		2020
Gross gains on sales	$	7,151	2,975	$	12,906	15,129
Gross losses on sales	(2,505)		(2,402)	(8,787)		(7,841)
Net realized gains on disposals	4,646		573	4,119		7,288
Net unrealized (losses) gains on equity securities	(3,111)		4,338	15,830		(7,098)
Net credit loss (expense) benefit on fixed income securities, AFS	(1,334)		2,853	(4,059)		(8,011)
Net credit loss benefit (expense) on fixed income securities, HTM	6		3	(54)		4
Net credit loss benefit (expense) on CMLs	—		(2)	—		(220)
Losses on securities for which we have the intent to sell	(30)		(44)	(483)		(16,259)
Net realized and unrealized gains (losses)	$	177	7,721	$	15,353	(24,296)


	Quarter ended September 30,			Nine Months ended September 30,
($ in thousands)	2021		2020	2021		2020
Unrealized gains (losses) recognized in income on equity securities:
On securities remaining in our portfolio at period end	$	269	4,338	$	14,767	(7,101)
On securities sold during period	(3,380)		—	1,063		3
Total unrealized (losses) gains recognized in income on equity securities	$	(3,111)	4,338	$	15,830	(7,098)

The improvement in net realized and unrealized gains in Nine Months 2021 compared to Nine Months 2020 was primarily driven by (i) unrealized gains on our equity securities compared to unrealized losses last year, driven by COVID-19-related market disruption, and (ii) lower intent-to-sell losses given the significant trading flexibility we allowed our investment managers given last year's market conditions.