
($ in thousands)	2022		2021	2020
AFS securities:
Fixed income securities	$	(527,926)	228,947	386,380

Total AFS securities	(527,926)		228,947	386,380

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

Short-term securities	35		20	6

Total net unrealized (losses) gains	(527,891)		228,963	386,393
Deferred income tax	110,857		(48,082)	(81,142)
Net unrealized (losses) gains, net of deferred income tax	(417,034)		180,881	305,251



(Decrease) increase in net unrealized (losses) gains in OCI, net of deferred income tax	$	(597,915)	(124,370)	134,857


December 31, 2022
	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	$	209,528	—	37	(20,326)	189,239
Foreign government	11,199		(284)	—	(1,307)	9,608
Obligations of states and political subdivisions	965,231		(1,024)	1,812	(48,001)	918,018
Corporate securities	2,558,655		(30,330)	3,509	(196,809)	2,335,025
CLO and other ABS	1,607,660		(2,375)	2,408	(121,720)	1,485,973
RMBS	1,169,546		(11,597)	1,148	(99,265)	1,059,832
CMBS	663,935		(111)	348	(49,760)	614,412
Total AFS fixed income securities	$	7,185,754	(45,721)	9,262	(537,188)	6,612,107


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


2022	Beginning Balance		Current Provision for Securities without Prior Allowance	Initial Allowance for Purchased Credit Deteriorated Assets with Credit Deterioration	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	$	46	291	—	4	(57)	—	284
Obligations of states and political subdivisons	137		1,087	—	(6)	(194)	—	1,024
Corporate securities	6,682		30,670	—	3,714	(6,902)	(3,834)	30,330
CLO and other ABS	939		2,158	—	(652)	(50)	(20)	2,375
RMBS	1,909		245	8,318	1,558	(433)	—	11,597
CMBS	11		110	—	(10)	—	—	111
Total AFS fixed income securities	$	9,724	34,561	8,318	4,608	(7,636)	(3,854)	45,721


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

As disclosed in Note 2. "Summary of Significant Accounting Policies," we do not evaluate accrued interest on our AFS securities for expected credit loss as we write-off these balances in a timely manner. Accrued interest on AFS securities was $56.4 million as of December 31, 2022, and $46.3 million as of December 31, 2021. We did not record any material write-offs of accrued interest during 2022 or 2021.


December 31, 2022	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	$	166,975	(13,658)	16,011	(6,668)	182,986	(20,326)
Foreign government	5,573		(608)	2,456	(699)	8,029	(1,307)
Obligations of states and political subdivisions	681,795		(43,767)	16,618	(4,234)	698,413	(48,001)
Corporate securities	1,889,492		(164,197)	133,223	(32,612)	2,022,715	(196,809)
CLO and other ABS	916,423		(69,155)	411,283	(52,565)	1,327,706	(121,720)
RMBS	887,229		(76,432)	108,041	(22,833)	995,270	(99,265)
CMBS	512,953		(37,815)	77,181	(11,945)	590,134	(49,760)
Total AFS fixed income securities	$	5,060,440	(405,632)	764,813	(131,556)	5,825,253	(537,188)


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)

We currently do not intend to sell any of the securities summarized in the tables above, nor will we be required to sell any of them. The increase in gross unrealized losses as December 31, 2022, compared to December 31, 2021, was driven by an increase in benchmark U.S. Treasury rates and a widening of credit spreads, with the increase in interest rates having the most significant impact. The severity of impairment on these securities is less than 10% at both periods. 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 beyond the allowance for credit loss recorded as of December 31, 2022. This conclusion reflects our current judgment about the financial position and future prospects of the entities that issued the investment security and underlying collateral.

(d) AFS and HTM fixed income securities at December 31, 2022, by contractual maturity are shown below. The maturities of mortgage-backed securities were calculated using each security's estimated average life. 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	$	324,394	6,093	6,090
Due after one year through five years	2,928,594		3,779	3,798
Due after five years through 10 years	2,600,001		21,285	19,949
Due after 10 years	759,118		—	—
Total fixed income securities	$	6,612,107	31,157	29,837


	December 31, 2022				December 31, 2021
($ in thousands)	Carrying Value		Remaining Commitment	Maximum Exposure to Loss	Carrying Value	Remaining Commitment	Maximum Exposure to Loss
Alternative investments
Private equity	$	280,980	134,676	415,656	273,070	99,734	372,804
Private credit	54,866		89,481	144,347	63,138	92,674	155,812
Real assets	35,470		21,945	57,415	23,524	22,579	46,103




Total alternative investments	371,316		246,102	617,418	359,732	214,987	574,719

•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.

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 alternative 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)	2022		2021
Investments	$	114,038	107,347
Total assets	128,158		112,232
Total liabilities	15,464		12,371
Total partners’ capital	112,694		99,861


Income Statement Information
12 months ended September 30,
($ in millions)	2022		2021	2020
Net investment income (loss)	$	765	653	(26)
Realized gains	12,590		6,121	1,452
Net change in unrealized appreciation	(5,215)		26,877	4,898
Net income	$	8,140	33,651	6,324

Alternative investment income included in "Net investment income earned" on our Consolidated Statements of Income	23.0		117.7	26.5

(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, 2022 or December 31, 2021.

(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, we had certain securities on deposit with various state and regulatory agencies at December 31, 2022 to comply with insurance laws. We retain all rights regarding all securities pledged as collateral.


($ in millions)	FHLBI Collateral		FHLBNY Collateral	Regulatory Deposits	Total
U.S. government and government agencies	$	—	—	19.3	19.3
Obligations of states and political subdivisions	—		—	3.6	3.6

RMBS	61.4		28.8	—	90.2
CMBS	4.6		9.6	—	14.2
Total pledged as collateral	$	66.0	38.4	22.9	127.3


($ in thousands)	2022		2021	2020
Fixed income securities	$	259,918	209,709	203,926
CMLs	5,555		2,743	844
Equity securities	13,554		15,920	9,286
Short-term investments	3,997		260	1,821
Alternative investments	23,003		117,701	26,504
Other investments	258		359	418
Investment expenses	(18,130)		(20,103)	(15,692)
Net investment income earned	$	288,155	326,589	227,107


($ in thousands)	2022		2021	2020
Gross gains on sales	$	28,419	15,284	18,893
Gross losses on sales	(60,055)		(8,140)	(9,745)
Net realized (losses) gains on disposals	(31,636)		7,144	9,148
Net unrealized (losses) gains on equity securities	(32,127)		17,881	7,939
Net credit loss (expense) on fixed income securities, AFS	(39,169)		(6,858)	(5,042)
Net credit loss (expense) benefit on fixed income securities, HTM	63		(49)	4
Net credit loss (expense) on CMLs	(116)		—	—
Losses on securities for which we have the intent to sell	(11,823)		(519)	(16,266)
Net realized and unrealized investment (losses) gains	$	(114,808)	17,599	(4,217)

Net realized and unrealized investment losses in 2022 were primarily driven by (i) a decrease in valuations reflecting the current public equities market, (ii) active trading of our fixed income securities in an effort to opportunistically increase yield given the rising interest rate environment, and (iii) higher credit loss expense on our AFS fixed income securities portfolio.


($ in thousands)	2022		2021	2020
Unrealized (losses) gains recognized in income on equity securities:
On securities remaining in our portfolio at end of period	$	(10,454)	16,473	7,936
On securities sold in period	(21,673)		1,408	3
Total unrealized (losses) gains recognized in income on equity securities	$	(32,127)	17,881	7,939

Proceeds from the sales of AFS fixed income securities were $1,211.7 million, $502.9 million, and $487.1 million in 2022, 2021, and 2020, respectively. Proceeds from the sales of equity securities were $186.1 million, $99.2 million, and $1.3 million in 2022, 2021, and 2020, respectively.